# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001410368-26-008132
**Filing Date:** 2026-1
**Character Count:** 208798
**Document Hash:** 17f4cfae70f40c90825b0a0eda25d9de
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-008132.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0001410368-26-008132

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Series Trust II
- **CENTRAL INDEX KEY:** 0001352280

**ORGANIZATION NAME:**
- **EIN:** 204384176
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21852
- **FILM NUMBER:** 26569535

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RIVERSOURCE SERIES TRUST
- **DATE OF NAME CHANGE:** 20070928

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RIVERSOURCE RETIREMENT SERIES TRUST
- **DATE OF NAME CHANGE:** 20060801

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Retirement Series Trust
- **DATE OF NAME CHANGE:** 20060206

## Series and Classes Contracts Data

### Columbia Mortgage Opportunities Fund (Series ID: S000045258)

| Class ID   | Class Name                                                 | Ticker Symbol   |
|:---|:---|:---|
| C000140950 | Columbia Mortgage Opportunities Fund Class A               | CLMAX           |
| C000140951 | Columbia Mortgage Opportunities Fund Class C               | CLMCX           |
| C000140954 | Columbia Mortgage Opportunities Fund Institutional 2 Class | CLMVX           |
| C000140955 | Columbia Mortgage Opportunities Fund Institutional Class   | CLMZX           |
| C000175684 | Columbia Mortgage Opportunities Fund Institutional 3 Class | CMOYX           |
| C000255612 | Columbia Mortgage Opportunities Fund Class S               | CLMDX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Columbia Funds Series Trust II

- **b. Investment Company Act file number:** 811-21852

- **c. CIK number of Registrant:** 0001352280

- **d. LEI of Registrant:** 549300ETFU8G7TK7WT48

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 800-345-6611

**Item A.2. Information about the Series.**

- **a. Name of Series:** Columbia Mortgage Opportunities Fund

- **b. EDGAR series identifier (if any):** S000045258

- **c. LEI of Series:** 549300WK44U8MSIPOD39

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $4786935625.44

**Total Liabilities:** $2269413691.05

**Net Assets:** $2517521934.39

**Delayed Delivery Securities:** $2223562585.07

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 918352.42000000 | **1-Year:** 0.00000000 | **5-Year:** 12225.25000000 | **10-Year:** 5620.24000000 | **30-Year:** 443290.18000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -106545.24000000 | **1-Year:** -82812.74000000 | **5-Year:** 56571.84000000 | **10-Year:** 107304.93000000 | **30-Year:** 282876.40000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000140950 | 1.19%                | 0.92%                | 0.56%                |
| Class ID C000140951 | 1.13%                | 0.74%                | 0.62%                |
| Class ID C000140954 | 1.22%                | 0.83%                | 0.71%                |
| Class ID C000140955 | 1.21%                | 0.82%                | 0.70%                |
| Class ID C000175684 | 1.22%                | 0.95%                | 0.59%                |
| Class ID C000255612 | 1.21%                | 0.82%                | 0.70%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $34348436.19             | $-9880713.97                               |
| Month 2  | $-1944206.53             | $16649950.23                               |
| Month 3  | $548994.94               | $15869839.22                               |

### Schedule of Portfolio Investments

| Name                                                             | Title                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                               | A&D Mortgage Trust 2024-NQM1                                     | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    3049591 | PA      | $3073412.14   | 0.12%             | 2069-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | A&D MTG TR ADMT_24-NQM1                                          | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5600000 | PA      | $5676205.92   | 0.23%             | 2069-02-25      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                               | A&D Mortgage Trust 2025-NQM4                                     | CUSIP: 002941AA0<br>LEI: 9845006Y6D399D9E8O78 | Long             | ABS-MBS          | CORP              | US        |   10161333 | PA      | $10185304.73  | 0.40%             | 2070-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                                       | Affirm Asset Securitization Trust 2024-X2                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      70500 | PA      | $1716985.24   | 0.07%             | 2029-12-17      | Variable      | 100.00%               | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-C                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3048570 | PA      | $3068088.10   | 0.12%             | 2061-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                  | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8617660 | PA      | $5410871.87   | 0.21%             | 2060-12-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  150000000 | PA      | $138726862.50 | 5.51%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  437500000 | PA      | $416646864.38 | 16.55%            | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  633000000 | PA      | $619611847.44 | 24.61%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  261000000 | PA      | $260445609.90 | 10.35%            | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $60756361.80  | 2.41%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  473000000 | PA      | $484280647.95 | 19.24%            | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                               | Ally Bank Auto Credit-Linked Notes Series 2025-A                 | CUSIP: 02007G5K5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4732732 | PA      | $4778108.86   | 0.19%             | 2033-06-15      | Fixed         | 10.22%                | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                               | Ally Bank Auto Credit-Linked Notes Series 2025-B                 | CUSIP: 02007G6T5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3502622.55   | 0.14%             | 2033-09-15      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES ABCLN_25-B                    | ALLY BANK AUTO CREDIT-LINKED NOTES ABCLN_25-B                    | CUSIP: 02007G6U2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3610000 | PA      | $3611635.69   | 0.14%             | 2033-09-15      | Fixed         | 10.78%                | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST AFLOW_21-WL1               | ALPHAFLOW TRANSITIONAL MORTGAGE TRUST AFLOW_21-WL1               | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     832466 | PA      | $729202.84    | 0.03%             | 2026-01-25      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2019-6                                  | CUSIP: 03464VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9450000 | PA      | $9042034.05   | 0.36%             | 2059-11-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2021-5                                  | CUSIP: 03465HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3402481 | PA      | $3011327.43   | 0.12%             | 2066-07-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2025-8                                  | CUSIP: 03466UAA2<br>LEI: 254900WZRTR935QJJ709 | Long             | ABS-MBS          | CORP              | US        |    6305235 | PA      | $6356658.12   | 0.25%             | 2070-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                                     | ARES LX CLO LTD                                                  | CUSIP: 04018JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4948075.00   | 0.20%             | 2034-07-18      | Floating      | 10.40%                | No            |                  2 | On Loan: No      |
| ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | CUSIP: 04524YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18000000 | PA      | $18000000.00  | 0.71%             | 2029-03-29      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| BXP TRUST BXP_21-601L                                            | BXP TRUST BXP_21-601L                                            | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7150000 | PA      | $5655577.79   | 0.22%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3649224 | PA      | $3652669.60   | 0.15%             | 2051-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                              | BHMS Commercial Mortgage Trust 2025-ATLS                         | CUSIP: 088928AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $3802387.92   | 0.15%             | 2042-08-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO Residential Funding Trust 2025-HE1                         | CUSIP: 10568VAE4<br>LEI: 254900V4GL9A5JTVB991 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1475282.25   | 0.06%             | 2072-09-25      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_25-HE1                     | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_25-HE1                     | CUSIP: 10568VAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10498000 | PA      | $9951294.60   | 0.40%             | 2072-09-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO Residential Funding Trust 2020-NQM1                        | CUSIP: 105699AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2206788.76   | 0.09%             | 2060-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | CUSIP: 105699AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2820675.48   | 0.11%             | 2060-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6626000 | PA      | $6228733.53   | 0.25%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | CUSIP: 10569EAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4100000 | PA      | $3684653.60   | 0.15%             | 2060-03-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                    | CAFL 2025-RRTL1 Issuer LP                                        | CUSIP: 124760AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3062305.80   | 0.12%             | 2040-05-28      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                                      | CHNGE MORTGAGE TRUST CHNGE_22-2                                  | CUSIP: 12546YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4569000 | PA      | $4085809.06   | 0.16%             | 2067-03-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CUSIP: 12547QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5373000 | PA      | $5364294.67   | 0.21%             | 2058-03-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CUSIP: 12547QAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8894000 | PA      | $8862034.07   | 0.35%             | 2058-03-25      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                             | CHNGE Mortgage Trust 2022-NQM1                                   | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3150000 | PA      | $3139266.69   | 0.12%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2014-USA OA LLC                                             | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2425000 | PA      | $1890008.14   | 0.08%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC_14-USA                                                      | CUSIP: 12649AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15400000 | PA      | $9386375.46   | 0.37%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE LTD CAFL_25-RRTL2 ISSUER LP            | COREVEST AMERICAN FINANCE LTD CAFL_25-RRTL2 ISSUER LP            | CUSIP: 12770JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6500000 | PA      | $6441165.90   | 0.26%             | 2040-11-28      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CUSIP: 169926AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4942000 | PA      | $4985695.19   | 0.20%             | 2058-06-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CUSIP: 17030AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8900000 | PA      | $8969542.82   | 0.36%             | 2058-07-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CUSIP: 17030AAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3700000 | PA      | $3716815.39   | 0.15%             | 2058-07-25      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                      | CHNGE Mortgage Trust 2022-1                                      | CUSIP: 17030JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4650000 | PA      | $4045934.78   | 0.16%             | 2067-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                                                       | CUSIP: 17030JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8350000 | PA      | $7341106.24   | 0.29%             | 2067-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                      | CHNGE Mortgage Trust 2022-1                                      | CUSIP: 17030JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7431000 | PA      | $6246118.13   | 0.25%             | 2067-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CITIGROUP MORTGAGE LOAN TRUST IN                                 | CUSIP: 17323TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13217335 | PA      | $10106978.57  | 0.40%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CITIGROUP MORTGAGE LOAN TRUST IN                                 | CUSIP: 17323TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   32577827 | PA      | $900066.71    | 0.04%             | 2053-01-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CITIGROUP MORTGAGE LOAN TRUST IN                                 | CUSIP: 17323TAM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1320000 | PA      | $537714.63    | 0.02%             | 2053-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CUSIP: 17327DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10497650 | PA      | $7666886.24   | 0.30%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-4                               | COLT MORTGAGE LOAN TRUST COLT_22-4                               | CUSIP: 19685GAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4993000 | PA      | $4667302.62   | 0.19%             | 2067-03-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                 | COLT MORTGAGE LOAN TRUST COLT_21-3                               | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5455932 | PA      | $4767068.40   | 0.19%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT MORTGAGE LOAN TRUST COLT_21-3                               | CUSIP: 19688FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2502000 | PA      | $1838025.24   | 0.07%             | 2066-09-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-4                               | COLT MORTGAGE LOAN TRUST COLT_21-4                               | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5969000 | PA      | $4797535.40   | 0.19%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_23-1                               | COLT MORTGAGE LOAN TRUST COLT_23-1                               | CUSIP: 19688NAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4546000 | PA      | $4536177.91   | 0.18%             | 2068-04-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                 | COLT 2025-5 Mortgage Loan Trust                                  | CUSIP: 19689AAA3<br>LEI: 213800S6EGXVNRKXHN58 | Long             | ABS-MBS          | CORP              | US        |    7466052 | PA      | $7533199.28   | 0.30%             | 2070-05-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_25-5                               | COLT MORTGAGE LOAN TRUST COLT_25-5                               | CUSIP: 19689AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3728000 | PA      | $3814231.62   | 0.15%             | 2070-05-25      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_25-7                               | COLT MORTGAGE LOAN TRUST COLT_25-7                               | CUSIP: 19689CAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7106880 | PA      | $7166893.78   | 0.28%             | 2070-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND                                    | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  140291484 | NS      | $140249396.45 | 5.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7059000 | PA      | $7318918.03   | 0.29%             | 2041-12-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11350000 | PA      | $11799304.51  | 0.47%             | 2041-11-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10350000 | PA      | $10778860.53  | 0.43%             | 2041-12-25      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  240000000 | PA      | $234698436.00 | 9.32%             | 2055-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DailyPay Securitization Trust                                    | DailyPay Securitization Trust 2025-1                             | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4533183.90   | 0.18%             | 2028-06-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                             | Deephaven Residential Mortgage Trust 2020-2                      | CUSIP: 24380NAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4911000 | PA      | $4969770.92   | 0.20%             | 2065-05-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | CUSIP: 24380WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4800000 | PA      | $4798872.96   | 0.19%             | 2055-10-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | CUSIP: 24380WAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2965200 | PA      | $2964335.35   | 0.12%             | 2055-10-25      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_25-RTL1                  | ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_25-RTL1                  | CUSIP: 26846FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2003972.20   | 0.08%             | 2040-11-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_25-RTL1                  | ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_25-RTL1                  | CUSIP: 26846FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2250000 | PA      | $2254328.33   | 0.09%             | 2040-11-25      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | CUSIP: 27786FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10132433.00  | 0.40%             | 2040-05-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | CUSIP: 27786FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3750000 | PA      | $3766300.13   | 0.15%             | 2040-05-25      | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                                  | Easy Street Mortgage Loan Trust 2025-RTL2                        | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16700000 | PA      | $16745039.90  | 0.67%             | 2040-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| EDGEX Issuer Trust                                               | EDGEX 2025-1NN Issuer Trust                                      | CUSIP: 280579103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8358000 | PA      | $7916984.53   | 0.31%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX ISSUER TRUST EDGEX_25-1                                    | CUSIP: 280579AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6537299 | PA      | $6581075.86   | 0.26%             | 2031-01-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| EDGEX Issuer Trust                                               | EDGEX 2025-2NN Issuer Trust                                      | CUSIP: 28057AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9023000 | PA      | $9064983.12   | 0.36%             | 2032-01-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                                             | Elmwood CLO VIII Ltd                                             | CUSIP: 290021AL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2451082.50   | 0.10%             | 2037-04-20      | Floating      | 10.13%                | No            |                  2 | On Loan: No      |
| Elmwood CLO 16 Ltd                                               | Elmwood CLO 16 Ltd                                               | CUSIP: 29003DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2750000 | PA      | $2714379.25   | 0.11%             | 2037-04-20      | Floating      | 10.63%                | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2025-HE1                                             | CUSIP: 30191LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2110000 | PA      | $2229099.16   | 0.09%             | 2055-01-25      | Variable      | 8.53%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                            | FMC GMSR Issuer Trust                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9050000 | PA      | $9001484.67   | 0.36%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE_MAC FHLMC_304                                            | FREDDIE_MAC FHLMC_304                                            | CUSIP: 31325UQQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1184680 | PA      | $162113.38    | 0.01%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPO                                 | FEDERAL HOME LOAN MORTGAGE CORPO                                 | CUSIP: 31325USF4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1472670 | PA      | $165156.39    | 0.01%             | 2043-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22091633 | PA      | $21204420.60  | 0.84%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132E0B27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18652111 | PA      | $19018932.60  | 0.76%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20326761 | PA      | $20878948.25  | 0.83%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                           | FANNIE MAE FNMA_13-101                                           | CUSIP: 3136AGA93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1661943 | PA      | $185879.30    | 0.01%             | 2043-10-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                | FANNIE MAE FNMA_13-101                                           | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8545512 | PA      | $1166161.57   | 0.05%             | 2043-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                            | FANNIE MAE FNMA_14-93                                            | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     928406 | PA      | $121113.95    | 0.00%             | 2045-01-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_15-29                                            | FANNIE MAE FNMA_15-29                                            | CUSIP: 3136ANXF9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7303639 | PA      | $693399.49    | 0.03%             | 2045-05-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-31                                            | FANNIE MAE FNMA_16-31                                            | CUSIP: 3136ASJN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1001022 | PA      | $128605.55    | 0.01%             | 2046-06-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FANNIE MAE FNMA_17-81                                            | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21981336 | PA      | $2973538.48   | 0.12%             | 2047-10-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-50                                            | FANNIE MAE FNMA_17-50                                            | CUSIP: 3136AXAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6149795 | PA      | $760127.58    | 0.03%             | 2047-07-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FANNIE MAE FNMA_17-72                                            | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16114948 | PA      | $680431.10    | 0.03%             | 2047-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                            | FANNIE MAE FNMA_17-90                                            | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6184672 | PA      | $819668.16    | 0.03%             | 2047-11-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-3                                             | FANNIE MAE FNMA_18-3                                             | CUSIP: 3136B0VJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19485720 | PA      | $2669906.08   | 0.11%             | 2048-02-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-64                                            | FANNIE MAE FNMA_18-64                                            | CUSIP: 3136B23K6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19858758 | PA      | $2676164.26   | 0.11%             | 2048-09-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FANNIE MAE FNMA_19-5                                             | CUSIP: 3136B3L40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28141723 | PA      | $3197107.93   | 0.13%             | 2049-03-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-22                                            | FANNIE MAE FNMA_20-22                                            | CUSIP: 3136B9HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27905643 | PA      | $4232261.86   | 0.17%             | 2050-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FANNIE MAE FNMA_20-38                                            | CUSIP: 3136BACA0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4450914 | PA      | $580608.40    | 0.02%             | 2050-06-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FANNIE MAE FNMA_20-38                                            | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19169999 | PA      | $1681180.13   | 0.07%             | 2050-06-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | CUSIP: 3136BAHY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28387472 | PA      | $4003167.29   | 0.16%             | 2050-06-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-54                                            | FANNIE MAE FNMA_20-54                                            | CUSIP: 3136BBGH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19750223 | PA      | $2549504.88   | 0.10%             | 2050-08-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42244495 | PA      | $7274210.60   | 0.29%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | CUSIP: 3136BPRP8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   36681834 | PA      | $4574287.03   | 0.18%             | 2050-07-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-46                 | CUSIP: 3136BQLL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   55473188 | PA      | $6484055.65   | 0.26%             | 2050-06-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_24-74                                            | FANNIE MAE FNMA_24-74                                            | CUSIP: 3136BS3Q6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27325847 | PA      | $3526345.92   | 0.14%             | 2054-10-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                | CUSIP: 3136BU2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13097086 | PA      | $13154492.95  | 0.52%             | 2055-03-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                | CUSIP: 3136BU5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9263131 | PA      | $9463893.43   | 0.38%             | 2055-01-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-1                  | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-1                  | CUSIP: 3136BUE55<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16895498 | PA      | $16989937.26  | 0.67%             | 2055-02-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10                 | CUSIP: 3136BUS68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9235932 | PA      | $9202152.18   | 0.37%             | 2055-02-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21555886 | PA      | $22255255.83  | 0.88%             | 2055-03-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-86                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-86                 | CUSIP: 3136BXPP3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24618982 | PA      | $24502388.47  | 0.97%             | 2055-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137AFJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1715306 | PA      | $153730.21    | 0.01%             | 2041-09-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4097                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4097                | CUSIP: 3137ATPX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     663801 | PA      | $92608.24     | 0.00%             | 2042-08-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC_4215                                                       | FHLMC_4215                                                       | CUSIP: 3137B34H8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      94996 | PA      | $2044.08      | 0.00%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286                | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     794832 | PA      | $101200.68    | 0.00%             | 2043-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                           | FREDDIE MAC FHLMC_4606                                           | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   35161430 | PA      | $3886083.41   | 0.15%             | 2044-12-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                            | FANNIE MAE FHLMC_4620                                            | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     791034 | PA      | $82599.49     | 0.00%             | 2042-11-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137F1HV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6930958 | PA      | $862661.70    | 0.03%             | 2047-07-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5040                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5040                | CUSIP: 3137F6PD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9723437 | PA      | $1603663.16   | 0.06%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5083                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5083                | CUSIP: 3137FFRN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8083325 | PA      | $1415798.39   | 0.06%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4826                                           | FREDDIE MAC FHLMC_4826                                           | CUSIP: 3137FH4N0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7616573 | PA      | $989866.60    | 0.04%             | 2048-09-15      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4926                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4926                | CUSIP: 3137FPNZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5173250 | PA      | $356111.01    | 0.01%             | 2040-01-15      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8298107 | PA      | $1290054.38   | 0.05%             | 2050-06-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137FTYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18863358 | PA      | $2396150.07   | 0.10%             | 2050-06-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FREDDIE MAC FHLMC_4993                                           | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16274886 | PA      | $2576936.19   | 0.10%             | 2050-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| STARC_19-CS02                                                    | STARC_19-CS02                                                    | CUSIP: 3137G0VZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1293149 | PA      | $1275353.37   | 0.05%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                                                    | CUSIP: 3137G0WA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2950000 | PA      | $2849592.92   | 0.11%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                                                    | CUSIP: 3137G0WB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  245109387 | PA      | $1579730.00   | 0.06%             | 2029-02-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | CUSIP: 3137G0WF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7345104 | PA      | $6904594.09   | 0.27%             | 2032-10-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | CUSIP: 3137G0WG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  601642897 | PA      | $4417923.96   | 0.18%             | 2029-10-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | CUSIP: 3137G0WM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16988156 | PA      | $14098350.05  | 0.56%             | 2033-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STARC_20-CS01                                                    | STARC_20-CS01                                                    | CUSIP: 3137G0WN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 1927597397 | PA      | $4515782.42   | 0.18%             | 2030-04-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | CUSIP: 3137G0WP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 1927597397 | PA      | $7055970.27   | 0.28%             | 2030-04-25      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5650000 | PA      | $4807843.77   | 0.19%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  446521009 | PA      | $1572021.86   | 0.06%             | 2030-06-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  446521009 | PA      | $1230254.68   | 0.05%             | 2030-05-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33413680 | PA      | $5466788.87   | 0.22%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | CUSIP: 3137H06Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20144549 | PA      | $1760047.40   | 0.07%             | 2045-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_5119                                           | FREDDIE MAC FHLMC_5119                                           | CUSIP: 3137H0SU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33423528 | PA      | $5393130.29   | 0.21%             | 2051-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | CUSIP: 3137H2LM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24374632 | PA      | $3051874.61   | 0.12%             | 2047-09-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137H4ZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33506838 | PA      | $5461353.26   | 0.22%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HHKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28793225 | PA      | $28972750.96  | 1.15%             | 2054-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HK4A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12465527 | PA      | $12525416.34  | 0.50%             | 2055-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16815753 | PA      | $17397971.56  | 0.69%             | 2054-06-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | CUSIP: 3137HKF33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29544355 | PA      | $30643466.74  | 1.22%             | 2054-11-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HKPN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17287518 | PA      | $17804861.20  | 0.71%             | 2055-04-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FEDERAL HOME LOAN MORTGAGE CORPORATION                           | CUSIP: 3137HL3S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   54544906 | PA      | $4932670.39   | 0.20%             | 2055-05-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11091785 | PA      | $11355602.35  | 0.45%             | 2055-05-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLEG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12798213 | PA      | $12830658.89  | 0.51%             | 2055-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18723525 | PA      | $18806129.61  | 0.75%             | 2055-06-25      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FEDERAL HOME LOAN MORTGAGE CORPORATION                           | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   21392910 | PA      | $2899845.29   | 0.12%             | 2055-06-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLW24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33478472 | PA      | $2000465.94   | 0.08%             | 2055-06-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_5551                                           | FREDDIE MAC FHLMC_5551                                           | CUSIP: 3137HLWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12832051 | PA      | $12940282.65  | 0.51%             | 2055-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_25-5563             | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_25-5563             | CUSIP: 3137HMER7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25240043 | PA      | $25407523.27  | 1.01%             | 2055-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HPAK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62734375 | PA      | $8822021.48   | 0.35%             | 2055-11-25      | Floating      | 2.95%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HPAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77000000 | PA      | $7074375.00   | 0.28%             | 2055-12-25      | Floating      | 1.46%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                       | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   16796233 | PA      | $16996755.38  | 0.68%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140W1VH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   28539841 | PA      | $27694816.36  | 1.10%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140XHYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   32600709 | PA      | $31471392.12  | 1.25%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_23-HE3                                      | FIGURE LENDING FIGRE_23-HE3                                      | CUSIP: 31684CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2653514 | PA      | $2762274.79   | 0.11%             | 2042-01-25      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE5                                      | CUSIP: 31684FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3950000 | PA      | $4010630.13   | 0.16%             | 2054-10-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE5                                             | CUSIP: 31684FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $3033076.94   | 0.12%             | 2054-10-25      | Variable      | 8.63%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE3                                      | CUSIP: 31684GAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1850000 | PA      | $1942098.37   | 0.08%             | 2054-07-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE3                                      | CUSIP: 31684GAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1550000 | PA      | $1654287.10   | 0.07%             | 2054-07-25      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGURE LENDING FIGRE_24-HE1                                      | CUSIP: 31684HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2350000 | PA      | $2510498.19   | 0.10%             | 2054-03-25      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE1                                             | CUSIP: 31684HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3250000 | PA      | $3522507.30   | 0.14%             | 2054-03-25      | Variable      | 10.03%                | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE TRUST FIGRE_25-HE3                                         | CUSIP: 31684LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1604913.75   | 0.06%             | 2055-05-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| FIGRE TRUST FIGRE_25-HE3                                         | FIGRE TRUST FIGRE_25-HE3                                         | CUSIP: 31684LAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1608613.35   | 0.06%             | 2055-05-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE4                                      | CUSIP: 31684UAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1900000 | PA      | $1928562.89   | 0.08%             | 2054-09-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE4                                             | CUSIP: 31684UAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1369206.15   | 0.05%             | 2054-09-25      | Variable      | 8.48%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2025-PF2                                             | CUSIP: 316918AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11826306 | PA      | $11767125.79  | 0.47%             | 2055-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE2                                             | CUSIP: 316927AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7575000 | PA      | $8164240.31   | 0.32%             | 2054-05-25      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                          | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $15530082.40  | 0.62%             | 2051-01-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                          | CUSIP: 35564KJB6<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |   23300000 | PA      | $27896721.86  | 1.11%             | 2034-01-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                          | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |    7450000 | PA      | $7812958.79   | 0.31%             | 2041-10-25      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                          | CUSIP: 35565TBD0<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |    6750000 | PA      | $7429142.48   | 0.30%             | 2050-11-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2020-HQA5                          | CUSIP: 35565TBE8<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | USGSE             | US        |   14200000 | PA      | $17442609.76  | 0.69%             | 2050-11-25      | Floating      | 11.47%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2020-DNA6                          | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | USGSE             | US        |   15500000 | PA      | $17871664.30  | 0.71%             | 2050-12-25      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| GCAT                                                             | GCAT 2019-NQM3 Trust                                             | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5650000 | PA      | $5230970.01   | 0.21%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                              | GS Mortgage-Backed Securities Trust 2025-NQM4                    | CUSIP: 36272UAA6<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-MBS          | CORP              | US        |    8191153 | PA      | $8186916.58   | 0.33%             | 2065-10-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                              | GS Mortgage-Backed Securities Corp Trust 2025-NQM6               | CUSIP: 362933AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10290000 | PA      | $10287263.89  | 0.41%             | 2029-11-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GCAT                                                             | GCAT 2025-NQM5 Trust                                             | CUSIP: 36831KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14275869 | PA      | $14266922.77  | 0.57%             | 2070-08-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                       | GITSIT Mortgage Loan Trust 2025-NPL1                             | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2983718 | PA      | $2990446.20   | 0.12%             | 2055-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                       | GITSIT Mortgage Loan Trust 2025-NPL1                             | CUSIP: 375926AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $7031036.60   | 0.28%             | 2055-02-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38375AN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25774085 | PA      | $3115653.89   | 0.12%             | 2040-01-16      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_14-6               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_14-6               | CUSIP: 38378PQ84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7589982 | PA      | $865841.65    | 0.03%             | 2044-01-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GOVERNMENT NATIONAL MORTGAGE ASS                                 | CUSIP: 38379HFE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3748900 | PA      | $362539.63    | 0.01%             | 2041-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GOVERNMENT NATIONAL MORTGAGE ASS                                 | CUSIP: 38379U7F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   39962073 | PA      | $1014421.24   | 0.04%             | 2058-08-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-163             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-163             | CUSIP: 38380KLT0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7534663 | PA      | $1307752.99   | 0.05%             | 2047-11-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17150404 | PA      | $781597.07    | 0.03%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   11901253 | PA      | $558040.21    | 0.02%             | 2060-03-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40              | CUSIP: 38380V6B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4977957 | PA      | $671485.02    | 0.03%             | 2048-03-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63              | CUSIP: 38380WWB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6688373 | PA      | $903908.16    | 0.04%             | 2048-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63              | CUSIP: 38380WWC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6120847 | PA      | $756858.69    | 0.03%             | 2048-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-78              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-78              | CUSIP: 38380XFS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5628264 | PA      | $851739.24    | 0.03%             | 2048-06-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-78              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-78              | CUSIP: 38380XHW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4688728 | PA      | $815278.40    | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94              | CUSIP: 38380XSN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5258891 | PA      | $822563.68    | 0.03%             | 2048-05-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-124             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-124             | CUSIP: 38380YV77<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7633154 | PA      | $1000838.49   | 0.04%             | 2048-09-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                      | GNMA_18-155                                                      | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6393087 | PA      | $735957.47    | 0.03%             | 2048-11-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | CUSIP: 38381B6Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25764617 | PA      | $3301593.91   | 0.13%             | 2046-10-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                       | GNMA_19-43                                                       | CUSIP: 38381TQ24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12253041 | PA      | $185827.17    | 0.01%             | 2049-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | CUSIP: 38381XW44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11983166 | PA      | $1768293.45   | 0.07%             | 2049-08-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-128             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-128             | CUSIP: 38382AEF8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   32389418 | PA      | $121599.59    | 0.00%             | 2049-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17339487 | PA      | $639802.81    | 0.03%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | CUSIP: 38382DG94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18603394 | PA      | $2693752.90   | 0.11%             | 2050-03-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-31              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-31              | CUSIP: 38382DUY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16087899 | PA      | $2066445.55   | 0.08%             | 2050-03-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-62              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-62              | CUSIP: 38382FLJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8112576 | PA      | $1056804.25   | 0.04%             | 2050-05-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-67              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-67              | CUSIP: 38382FQZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16423799 | PA      | $2138294.85   | 0.08%             | 2050-05-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78              | CUSIP: 38382FW34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20964142 | PA      | $2796866.05   | 0.11%             | 2050-06-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-85              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-85              | CUSIP: 38382FWM2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10835529 | PA      | $2215693.32   | 0.09%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8340004 | PA      | $1099471.90   | 0.04%             | 2050-07-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133             | CUSIP: 38382JC46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   53232319 | PA      | $7750583.11   | 0.31%             | 2050-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | CUSIP: 38382KE58<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28627978 | PA      | $4396264.04   | 0.17%             | 2050-10-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | CUSIP: 38382KG49<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11350553 | PA      | $1650168.34   | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | CUSIP: 38382KG80<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15602844 | PA      | $2270021.90   | 0.09%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | CUSIP: 38382KH22<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12498506 | PA      | $1842684.67   | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-162             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-162             | CUSIP: 38382KNS8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11544767 | PA      | $1688110.41   | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-148             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-148             | CUSIP: 38382KZY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17479844 | PA      | $2572580.27   | 0.10%             | 2050-10-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-187             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-187             | CUSIP: 38382LD40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15577582 | PA      | $2302075.30   | 0.09%             | 2050-12-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | CUSIP: 38382LGD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14224912 | PA      | $2422237.97   | 0.10%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | CUSIP: 38382LMJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19896164 | PA      | $2928645.69   | 0.12%             | 2050-11-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | CUSIP: 38382M5E5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   26841382 | PA      | $6216351.37   | 0.25%             | 2051-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | CUSIP: 38382MRS0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   26908905 | PA      | $4232200.25   | 0.17%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17491899 | PA      | $3917821.45   | 0.16%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | CUSIP: 38382NPZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13928788 | PA      | $2289387.09   | 0.09%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-29              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-29              | CUSIP: 38382NV46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17651055 | PA      | $3352311.23   | 0.13%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-44              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-44              | CUSIP: 38382PLL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21402405 | PA      | $3647992.87   | 0.14%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-44              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-44              | CUSIP: 38382PSC7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14004696 | PA      | $2328647.69   | 0.09%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | CUSIP: 38382PZX3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28740760 | PA      | $3904078.78   | 0.16%             | 2051-03-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | CUSIP: 38382PZY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   34026329 | PA      | $5188331.26   | 0.21%             | 2050-11-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-58              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-58              | CUSIP: 38382RAZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11745630 | PA      | $2151606.78   | 0.09%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | CUSIP: 38382UM24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24123347 | PA      | $3642770.08   | 0.14%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | CUSIP: 38382UZE4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   39689391 | PA      | $700946.40    | 0.03%             | 2051-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | CUSIP: 38382VEF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   39037311 | PA      | $5538847.92   | 0.22%             | 2051-06-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | CUSIP: 38382WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   51943700 | PA      | $7529436.64   | 0.30%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | CUSIP: 38382WAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   51107860 | PA      | $258748.87    | 0.01%             | 2051-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | CUSIP: 38382WEG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28049980 | PA      | $3999683.11   | 0.16%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | CUSIP: 38382WEU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22509860 | PA      | $3252762.57   | 0.13%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28770783 | PA      | $4581704.05   | 0.18%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142             | CUSIP: 38382XSW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   55220322 | PA      | $7873655.85   | 0.31%             | 2051-08-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | CUSIP: 38383A6U3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   34042372 | PA      | $5039551.10   | 0.20%             | 2051-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-155             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-155             | CUSIP: 38383AJY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27746718 | PA      | $4006775.89   | 0.16%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | CUSIP: 38383ANE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   40180753 | PA      | $5613359.74   | 0.22%             | 2051-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | CUSIP: 38383AUH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   70504700 | PA      | $401101.24    | 0.02%             | 2051-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38383AZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   58851430 | PA      | $8071473.65   | 0.32%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38383BDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49808566 | PA      | $5428535.99   | 0.22%             | 2055-09-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | CUSIP: 38383BXL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   43645713 | PA      | $4711092.04   | 0.19%             | 2055-10-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  239817684 | PA      | $648251.18    | 0.03%             | 2051-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | CUSIP: 38383PRL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22378924 | PA      | $381755.34    | 0.02%             | 2052-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | CUSIP: 38383RH83<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29839187 | PA      | $3432404.62   | 0.14%             | 2050-01-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-83              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-83              | CUSIP: 38383RZG5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21120543 | PA      | $2801399.28   | 0.11%             | 2050-06-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23441154 | PA      | $1914687.49   | 0.08%             | 2053-03-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-161             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-161             | CUSIP: 38383YSS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   36737120 | PA      | $2473510.29   | 0.10%             | 2052-09-20      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | CUSIP: 38383YZB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   51771922 | PA      | $5219080.91   | 0.21%             | 2052-09-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | CUSIP: 38384AQY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   53841701 | PA      | $2683701.91   | 0.11%             | 2053-05-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | CUSIP: 38384ARD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21095855 | PA      | $2016845.97   | 0.08%             | 2053-05-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-101             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-101             | CUSIP: 38384CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   72147021 | PA      | $4695587.86   | 0.19%             | 2053-07-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | CUSIP: 38384CL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   39459213 | PA      | $2501118.25   | 0.10%             | 2053-08-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | CUSIP: 38384CVG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13962889 | PA      | $957820.67    | 0.04%             | 2053-08-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | CUSIP: 38384CZJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   47707310 | PA      | $5820329.93   | 0.23%             | 2049-09-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141             | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   31095803 | PA      | $3924806.49   | 0.16%             | 2049-12-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | CUSIP: 38384GBQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   61173722 | PA      | $4405621.33   | 0.17%             | 2053-11-20      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-51              | CUSIP: 38384KWT4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33469606 | PA      | $1657287.69   | 0.07%             | 2054-03-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | CUSIP: 38384MC21<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   47595788 | PA      | $5237254.94   | 0.21%             | 2054-04-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   44417670 | PA      | $2404577.24   | 0.10%             | 2054-04-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21409496 | PA      | $3220795.37   | 0.13%             | 2054-05-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | CUSIP: 38384PRM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27510870 | PA      | $3975279.49   | 0.16%             | 2054-06-20      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197             | CUSIP: 38385BEL0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19575352 | PA      | $2258101.03   | 0.09%             | 2054-12-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9412339 | PA      | $9724209.76   | 0.39%             | 2055-03-20      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP Issuer Trust 2024-2                                         | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13424490 | PA      | $13438834.93  | 0.53%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_24-2                                             | HTAP TRUST HTAP_24-2                                             | CUSIP: 40444WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4700000 | PA      | $4647228.87   | 0.18%             | 2042-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP 2024-1                                                      | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6969702 | PA      | $7019407.95   | 0.28%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP Issuer Trust 2025-1                                         | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6552924 | PA      | $6564789.67   | 0.26%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | Hilton USA Trust 2016-SFP                                        | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27400000 | PA      | $550964.68    | 0.02%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                   | HOME PARTNERS OF AMERICA TRUST HPA_19-2                          | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2747554 | PA      | $2664993.80   | 0.11%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                      | HOMES 2025-AFC4 Trust                                            | CUSIP: 43762DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9100000 | PA      | $9120363.98   | 0.36%             | 2060-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                              | Homeward Opportunities Fund Trust 2022-1                         | CUSIP: 43789KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2958744.90   | 0.12%             | 2067-07-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                              | Homeward Opportunities Fund I Trust 2020-2                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3750000 | PA      | $3765009.38   | 0.15%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | CUSIP: 452762AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7384000 | PA      | $6125801.84   | 0.24%             | 2056-11-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | CUSIP: 45276KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4489000 | PA      | $3737635.22   | 0.15%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                | Imperial Fund Mortgage Trust 2022-NQM5                           | CUSIP: 45276QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4944000 | PA      | $4924105.84   | 0.20%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2025-VIS3                               | CUSIP: 46594EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13628903 | PA      | $13657432.26  | 0.54%             | 2066-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Knock Issuer Trust 2025-1                                        | Knock Issuer Trust 2025-1                                        | CUSIP: 49917PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17040000 | PA      | $17238260.40  | 0.68%             | 2030-02-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Knock Issuer Trust 2025-1                                        | Knock Issuer Trust 2025-1                                        | CUSIP: 49917PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1508702.10   | 0.06%             | 2030-02-25      | Fixed         | 9.05%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME MORTGAGE TRUST LHOME_24-RTL1                               | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5200000 | PA      | $5235624.68   | 0.21%             | 2029-01-25      | Variable      | 9.17%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME MORTGAGE TRUST LHOME_24-RTL1                               | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3700000 | PA      | $3722783.86   | 0.15%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_23-RTL3                               | LHOME MORTGAGE TRUST LHOME_23-RTL3                               | CUSIP: 50205TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8400000 | PA      | $8437422.84   | 0.34%             | 2028-08-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_25-RTL1                               | LHOME MORTGAGE TRUST LHOME_25-RTL1                               | CUSIP: 50205UAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5368000 | PA      | $5422957.58   | 0.22%             | 2040-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL5                               | LHOME MORTGAGE TRUST LHOME_24-RTL5                               | CUSIP: 50205WAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4358000 | PA      | $4380896.06   | 0.17%             | 2039-09-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                             | LHOME MORTGAGE TRUST LHOME_25-RTL3                               | CUSIP: 50205YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1814544.54   | 0.07%             | 2040-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| LENDING CLUB RECEIVABLES TRUST LCRT_20-2                         | LENDING CLUB RECEIVABLES TRUST LCRT_20-2                         | CUSIP: 52605L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     865000 | PA      | $0.87         | 0.00%             | 2046-02-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Lendbuzz Securitization Trust                                    | Lendbuzz Securitization Trust 2025-2                             | CUSIP: 52611JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4450000 | PA      | $4451347.91   | 0.18%             | 2030-05-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                       | MFA 2020-NQM3 Trust                                              | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3236604.35   | 0.13%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                       | MFA 2020-NQM3 Trust                                              | CUSIP: 552757AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250000 | PA      | $5799012.50   | 0.23%             | 2065-01-26      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                       | MFA 2025-NQM4 Trust                                              | CUSIP: 55287RAC2<br>LEI: 254900XBKB8JES2BO797 | Long             | ABS-MBS          | CORP              | US        |   11849302 | PA      | $11908253.93  | 0.47%             | 2070-08-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                         | Madison Park Funding XLII Ltd                                    | CUSIP: 55822RAD2<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |   26978000 | PA      | $26990517.79  | 1.07%             | 2030-11-21      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                                       | MFA 2024-NPL1 Trust                                              | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15603710 | PA      | $15706480.57  | 0.62%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | CUSIP: 58550DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5802000 | PA      | $5384833.88   | 0.21%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                   | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3         | CUSIP: 61779JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12360396 | PA      | $12349139.46  | 0.49%             | 2070-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                   | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM7         | CUSIP: 61779KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16131576 | PA      | $16130665.03  | 0.64%             | 2070-09-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_24-1                                | MPOWER EDUCATION TRUST MPOWR_24-1                                | CUSIP: 62476DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6174712.20   | 0.25%             | 2041-07-22      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| MPOWER Education Trust                                           | MPOWER Education Trust 2025-1                                    | CUSIP: 62477DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6606347 | PA      | $6705442.32   | 0.27%             | 2042-12-22      | Fixed         | 6.25%                 | No            |                  3 | On Loan: No      |
| MPOWR_25-1                                                       | MPOWR_25-1                                                       | CUSIP: 62477DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7024000 | PA      | $7024000.00   | 0.28%             | 2042-12-22      | Fixed         | 8.18%                 | No            |                  3 | On Loan: No      |
| MPOWR_25-1                                                       | MPOWR_25-1                                                       | CUSIP: 62477DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $1710000.00   | 0.07%             | 2042-12-22      | Fixed         | 10.00%                | No            |                  3 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_25-A                                | MPOWER EDUCATION TRUST MPOWR_25-A                                | CUSIP: 624930AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6480000 | PA      | $6692457.82   | 0.27%             | 2042-07-21      | Fixed         | 8.47%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust Series 2024-BPL1                                 | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6850000 | PA      | $6860899.72   | 0.27%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT 2024-RR1 Trust                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13434053 | PA      | $13559749.07  | 0.54%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust 2025-INV2                                        | CUSIP: 62957JAC5<br>LEI: 254900EYRFLK2LMLVT67 | Long             | ABS-MBS          | CORP              | US        |    8992252 | PA      | $9006777.42   | 0.36%             | 2060-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NetCredit Combined Receivables 2023 LLC                          | NetCredit Combined Receivables 2023 LLC                          | CUSIP: 64110XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     693126 | PA      | $694061.31    | 0.03%             | 2027-12-20      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| Enva 2018-A, LLC                                                 | NetCredit Combined Receivables A LLC                             | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7720330 | PA      | $7879007.67   | 0.31%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| NRZT_14-1A                                                       | NRZT_14-1A                                                       | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2768974 | PA      | $118169.59    | 0.00%             | 2054-01-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2019-RPL3                    | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9250000 | PA      | $7165742.83   | 0.28%             | 2059-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | CUSIP: 64831MAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2887000 | PA      | $2167532.75   | 0.09%             | 2062-03-27      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-RPL1                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-RPL1                 | CUSIP: 64832AAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6748000 | PA      | $4512135.22   | 0.18%             | 2064-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-RPL1                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-RPL1                 | CUSIP: 64832AAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5287000 | PA      | $3056349.14   | 0.12%             | 2064-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                         | OBX 2021-NQM2 Trust                                              | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6672039 | PA      | $5584929.78   | 0.22%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| OWS Structured Asset Trust                                       | OSAT 2021-RPL1 Trust                                             | CUSIP: 67114HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5539989 | PA      | $5562493.20   | 0.22%             | 2065-05-25      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                         | OBX 2021-NQM3 Trust                                              | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4748544 | PA      | $3929273.99   | 0.16%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | CUSIP: 67118PAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5295000 | PA      | $4340348.57   | 0.17%             | 2068-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | CUSIP: 67118PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2350000 | PA      | $1796814.00   | 0.07%             | 2068-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust Series 2025-R1                                   | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2045480 | PA      | $2048567.03   | 0.08%             | 2030-02-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                                   | Oaktown Re VI Ltd                                                | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    6500000 | PA      | $6561573.20   | 0.26%             | 2033-10-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                                   | Oaktown Re VI Ltd                                                | CUSIP: 67401FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    2373000 | PA      | $2406462.38   | 0.10%             | 2033-10-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 54 OCT54_21-1A                       | OCTAGON INVESTMENT PARTNERS 54 OCT54_21-1A                       | CUSIP: 67577GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    2500000 | PA      | $2285260.00   | 0.09%             | 2034-07-15      | Variable      | 10.42%                | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC OPTN_24-3                                    | OPORTUN FUNDING LLC OPTN_24-3                                    | CUSIP: 68377NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1809818.52   | 0.07%             | 2029-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM LLC PRPM_24-RCF1                                            | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1850000 | PA      | $1778729.86   | 0.07%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM LLC PRPM_24-RCF1                                            | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9750000 | PA      | $9094602.08   | 0.36%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC1                                        | PRKCM TRUST PRKCM_22-AFC1                                        | CUSIP: 69377CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5542419 | PA      | $5312624.98   | 0.21%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_22-NQM1                                            | PRPM LLC PRPM_22-NQM1                                            | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4608000 | PA      | $4551745.54   | 0.18%             | 2067-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2023-RCF2 LLC                                               | CUSIP: 69380RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1724000 | PA      | $1665439.86   | 0.07%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2               | PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2               | CUSIP: 69380RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3688000 | PA      | $3457769.96   | 0.14%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2023-NQM3 Trust                                             | CUSIP: 69380TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2043000 | PA      | $2043072.73   | 0.08%             | 2068-11-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | CUSIP: 69381AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7802000 | PA      | $7406967.58   | 0.29%             | 2053-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | Pret 2024-NPL6 LLC                                               | CUSIP: 69381QAB2<br>LEI: 254900RZOKAJE9T5UQ09 | Long             | ABS-MBS          | CORP              | US        |   10875000 | PA      | $10886403.53  | 0.43%             | 2054-10-25      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-2 LLC                                                  | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4921934.36   | 0.20%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-NQM3 Trust                                             | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8567212 | PA      | $8643806.02   | 0.34%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_25-RCF4               | PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_25-RCF4               | CUSIP: 69382WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     477000 | PA      | $444972.69    | 0.02%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-RCF4 LLC                                               | CUSIP: 69382WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1850245.00   | 0.07%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-RCF3 LLC                                               | CUSIP: 69392PAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1085466.47   | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-RCF3 LLC                                               | CUSIP: 69392PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $959024.80    | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-RCF3 LLC                                               | CUSIP: 69392PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1902962.80   | 0.08%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-NQM4 Trust                                             | CUSIP: 69392VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13098386 | PA      | $13095452.84  | 0.52%             | 2070-07-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_23-NQM1                                            | PRPM LLC PRPM_23-NQM1                                            | CUSIP: 693965AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2700000 | PA      | $2687499.54   | 0.11%             | 2068-01-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RCF2 LLC                                               | CUSIP: 693987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2666896.12   | 0.11%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM LLC PRPM_24-RCF2                                            | CUSIP: 693987AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11150000 | PA      | $10267622.45  | 0.41%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Pagaya Point of Sale Holdings Grantor Trust                      | Pagaya Point of Sale Holdings Grantor Trust 2025-1               | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8289553.02   | 0.33%             | 2034-01-20      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Trust 2024-2                                      | CUSIP: 694961AC7<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |    2117755 | PA      | $2146641.74   | 0.09%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-5                         | PAGAYA AI DEBT SELECTION TRUST PAID_24-5                         | CUSIP: 69544LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3474816 | PA      | $3511263.30   | 0.14%             | 2031-10-15      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Selection Trust 2021-2                            | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      62035 | PA      | $61972.65     | 0.00%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-9                         | PAGAYA AI DEBT SELECTION TRUST PAID_24-9                         | CUSIP: 69546QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7057554 | PA      | $7065292.37   | 0.28%             | 2032-03-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-3                         | PAGAYA AI DEBT SELECTION TRUST PAID_21-3                         | CUSIP: 69546RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12925852 | PA      | $40456.62     | 0.00%             | 2029-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23803550 | PA      | $103008.57    | 0.00%             | 2027-05-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | CUSIP: 69547EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12321273 | PA      | $332018.63    | 0.01%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Selection Trust 2021-1                            | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1901904 | PA      | $0.02         | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Trust 2024-3                                      | CUSIP: 69547XAB8<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |    3889721 | PA      | $3936455.61   | 0.16%             | 2031-10-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Trust 2024-3                                      | CUSIP: 69547XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5830911 | PA      | $5889602.89   | 0.23%             | 2031-10-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | CUSIP: 69548AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2115977 | PA      | $2143317.93   | 0.09%             | 2031-07-15      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1538600 | PA      | $1560064.70   | 0.06%             | 2031-07-15      | Fixed         | 8.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_25-R1                        | PAGAYA AI DEBT SELECTION TRUST PAID_25-R1                        | CUSIP: 69548DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     504326 | PA      | $507858.68    | 0.02%             | 2032-06-15      | Fixed         | 12.11%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3580311 | PA      | $3725253.20   | 0.15%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | PAGAYA AI DEBT TRUST PAID_25-5                                   | CUSIP: 69548XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3039398.10   | 0.12%             | 2033-03-15      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya Ai Debt Grantor Trust 2025-6                              | CUSIP: 69549BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6900000 | PA      | $6869524.08   | 0.27%             | 2033-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Pagaya Point of Sale Holdings Grantor Trust                      | Pagaya Point Of Sale Holdings Grantor Trust 2025-2               | CUSIP: 69549JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5750000 | PA      | $5764802.80   | 0.23%             | 2033-07-20      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                            | Palmer Square CLO 2023-2 Ltd                                     | CUSIP: 69703CAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2009608.00   | 0.08%             | 2038-07-20      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| Point Securitization Trust                                       | Point Securitization Trust 2025-2                                | CUSIP: 73071PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9961928.00   | 0.40%             | 2055-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Point Securitization Trust                                       | Point Securitization Trust 2025-1                                | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7491732 | PA      | $7512483.98   | 0.30%             | 2055-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | PRET 2024-NPL7 LLC                                               | CUSIP: 74136TAB4<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $10012079.00  | 0.40%             | 2054-10-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                             | PRET 2024-NPL9 LLC                                               | CUSIP: 74143TAB5<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-O            | CORP              | US        |    9050000 | PA      | $9058765.83   | 0.36%             | 2054-12-25      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RCF3 LLC                                               | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2077423.65   | 0.08%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM LLC PRPM_24-RCF6                                            | CUSIP: 74390FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2350000 | PA      | $2230622.82   | 0.09%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM LLC PRPM_24-RCF6                                            | CUSIP: 74390FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4088000 | PA      | $3727352.96   | 0.15%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2025-RPL1 LLC                                               | CUSIP: 74390WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9500000 | PA      | $8458436.15   | 0.34%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RCF4 LLC                                               | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2335000 | PA      | $2198821.17   | 0.09%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM_24-RCF4                                                     | CUSIP: 74448JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1910000 | PA      | $1754617.49   | 0.07%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-8 LLC                                                  | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4499896 | PA      | $4501359.84   | 0.18%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-8 LLC                                                  | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6100000 | PA      | $6105978.61   | 0.24%             | 2029-12-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-7 LLC                                                  | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7370147 | PA      | $7373634.85   | 0.29%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                                | PRPM 2024-RPL4 LLC                                               | CUSIP: 74448MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $4442238.84   | 0.18%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRP ADVISORS LLC PRPM_24-RPL4                                    | CUSIP: 74448MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4408000 | PA      | $3977304.02   | 0.16%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO 2025-Pr1 Trust                                               | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8970252 | PA      | $8927016.48   | 0.35%             | 2055-03-02      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO VIII Mortgage LLC 2025-3                                     | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5538335 | PA      | $5550239.92   | 0.22%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO IX Mortgage LLC 2025-4                                       | CUSIP: 74939VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16464319 | PA      | $16399008.75  | 0.65%             | 2030-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR LTD RRAM_21-16A                                               | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3733333 | PA      | $3692725.54   | 0.15%             | 2036-07-15      | Variable      | 10.42%                | No            |                  2 | On Loan: No      |
| RUN_22-NQM1                                                      | RUN_22-NQM1                                                      | CUSIP: 74981CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5595000 | PA      | $4605892.96   | 0.18%             | 2067-03-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-1                                        | RADNOR REESSENT RMIR_21-1                                        | CUSIP: 75279YAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4750000 | PA      | $4796816.48   | 0.19%             | 2033-12-27      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO X Mortgage LLC 2025-1                                        | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6998387 | PA      | $7000222.85   | 0.28%             | 2030-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO X Mortgage LLC 2025-1                                        | CUSIP: 75523XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7500000 | PA      | $7514760.75   | 0.30%             | 2030-01-25      | Variable      | 8.35%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                       | Research-Driven Pagaya Motor Asset Trust IV                      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2518809 | PA      | $2499231.87   | 0.10%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST RPM_25-5                | RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST RPM_25-5                | CUSIP: 76089LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1006066.50   | 0.04%             | 2034-06-26      | Fixed         | 9.22%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                  | Residential Mortgage Loan Trust 2020-1                           | CUSIP: 76119CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3938000 | PA      | $3787413.64   | 0.15%             | 2060-01-26      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| SAIF SECURITIZATION TRUST SAIF_25-CES1                           | SAIF SECURITIZATION TRUST SAIF_25-CES1                           | CUSIP: 78438CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2453220 | PA      | $2459273.32   | 0.10%             | 2065-06-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG4            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG4            | CUSIP: 79581UAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6896055 | PA      | $11934036.46  | 0.47%             | 2053-11-25      | Variable      | 49.38%                | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2024-CES1                | CUSIP: 79581VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12120000 | PA      | $12489891.49  | 0.50%             | 2054-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2023-FIG3                | CUSIP: 79582AAD9<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |    5927359 | PA      | $9008359.26   | 0.36%             | 2053-08-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | CUSIP: 79583VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5198000 | PA      | $4447165.53   | 0.18%             | 2067-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | CUSIP: 79583VAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4958000 | PA      | $4083134.62   | 0.16%             | 2067-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| SPLITERO TRUST SPLTO_25-1                                        | SPLITERO TRUST SPLTO_25-1                                        | CUSIP: 848948AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11500000 | PA      | $11233034.40  | 0.45%             | 2055-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Trust                                     | Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC                       | CUSIP: 85501YAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12022461 | PA      | $12078235.96  | 0.48%             | 2026-10-16      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-INV1                    | Starwood Mortgage Residential Trust 2020-INV                     | CUSIP: 85573EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $2959824.96   | 0.12%             | 2055-11-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2020-INV1                    | Starwood Mortgage Residential Trust 2020-INV                     | CUSIP: 85573EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1309644.00   | 0.05%             | 2055-11-25      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                              | Starwood Mortgage Residential Trust 2021-3                       | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3220107 | PA      | $2860450.51   | 0.11%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                              | STAR_20-3                                                        | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4750000 | PA      | $4524680.90   | 0.18%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | Toorak Mortgage Trust 2025-RRTL1                                 | CUSIP: 89053JAH0<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $3854554.32   | 0.15%             | 2040-02-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | Toorak Mortgage Trust 2024-RRTL1                                 | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5700000 | PA      | $5743908.81   | 0.23%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | CUSIP: 89055JAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5375000 | PA      | $5374180.85   | 0.21%             | 2039-09-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | CUSIP: 89055JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2750000 | PA      | $2749812.18   | 0.11%             | 2039-09-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRT1                                | TOORAK MORTGAGE TRUST TRK_24-RRT1                                | CUSIP: 890938AE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1968000 | PA      | $1979947.73   | 0.08%             | 2039-02-25      | Variable      | 10.12%                | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2                | CUSIP: 89600GAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    7687268 | PA      | $7821044.54   | 0.31%             | 2033-10-25      | Variable      | 9.61%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | Triangle Re 2021-2 Ltd                                           | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    7100000 | PA      | $7313632.61   | 0.29%             | 2033-10-25      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3                | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3378544 | PA      | $3383161.00   | 0.13%             | 2034-02-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | Triangle Re 2021-3 Ltd                                           | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    7500000 | PA      | $7663007.25   | 0.30%             | 2034-02-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                            | US Auto Funding 2021-1                                           | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2375000 | PA      | $19700.39     | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                   | Upgrade Master Pass-Thru Trust Series 2025-ST6                   | CUSIP: 91533QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11164593 | PA      | $11174000.59  | 0.44%             | 2032-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| UPGRADE MASTER PASS-THRU TRUST UMPT_25-ST5                       | UPGRADE MASTER PASS-THRU TRUST UMPT_25-ST5                       | CUSIP: 91535BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5250000 | PA      | $4548982.72   | 0.18%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                     | Upstart Securitization Trust 2025-4                              | CUSIP: 91684AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5375000 | PA      | $5380874.34   | 0.21%             | 2035-11-20      | Fixed         | 7.67%                 | No            |                  2 | On Loan: No      |
| UATSP_25-1GS                                                     | UATSP_25-1GS                                                     | CUSIP: 91684D103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18723 | PA      | $4896066.37   | 0.19%             | 2030-02-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Upstart Securitization Trust                                     | Upstart Securitization Trust 2025-3                              | CUSIP: 91684FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2250000 | PA      | $2231923.05   | 0.09%             | 2035-09-20      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPSTART SECURITIZATION TRUST UPST_24-1                           | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12250000 | PA      | $12752013.39  | 0.51%             | 2034-11-20      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                     | Upstart Securitization Trust 2025-1                              | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10850000 | PA      | $11347241.40  | 0.45%             | 2035-04-20      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| VELOCITY COMMERCIAL CAPITAL LOAN TRUST VCC_25-MC1                | VELOCITY COMMERCIAL CAPITAL LOAN TRUST VCC_25-MC1                | CUSIP: 91825JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5214000 | PA      | $5190620.95   | 0.21%             | 2055-05-25      | Variable      | 12.05%                | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                                   | VCAT 2025 NPL2 LLC                                               | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7047338 | PA      | $7134862.36   | 0.28%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | VERUS SECURITIZATION TRUST VERUS_21-R2                           | CUSIP: 92538DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3781000 | PA      | $3535905.37   | 0.14%             | 2064-02-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2021-4                                | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7042247 | PA      | $5978077.88   | 0.24%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2021-5                                | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3800000 | PA      | $2826832.92   | 0.11%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS SECURITIZATION TRUST VERUS_21-5                            | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $2746463.30   | 0.11%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-2                            | VERUS SECURITIZATION TRUST VERUS_22-2                            | CUSIP: 92538XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4493200 | PA      | $3602433.88   | 0.14%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-1                                | CUSIP: 92539BAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6974724.40   | 0.28%             | 2067-12-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2023-INV1                             | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4198000 | PA      | $4189865.54   | 0.17%             | 2068-02-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                               | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1374546.74   | 0.05%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1181986.56   | 0.05%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                 | Vista Point Securitization Trust 2020-1                          | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2011764.20   | 0.08%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4700000 | PA      | $4747281.53   | 0.19%             | 2055-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | CUSIP: 92841WAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2980094.52   | 0.12%             | 2055-01-25      | Variable      | 9.49%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                 | Vista Point Securitization Trust Series 2024-CES2                | CUSIP: 92841YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2522225.00   | 0.10%             | 2054-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | CUSIP: 92842DAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3929000 | PA      | $3997165.79   | 0.16%             | 2055-04-25      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | CUSIP: 92842DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2546000 | PA      | $2621244.74   | 0.10%             | 2055-04-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                    | CUSIP: 92842UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8732000 | PA      | $8842322.71   | 0.35%             | 2055-08-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                            | VOLT XCV LLC                                                     | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     822668 | PA      | $822743.58    | 0.03%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT               | WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT               | CUSIP: 95003EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11600000 | PA      | $11620556.36  | 0.46%             | 2031-05-15      | Variable      | 8.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.7.BBB-)                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   -1024551 | OU      | $-80275.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.7.BBB-)                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   -2008924 | OU      | $-206784.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.11.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   10000000 | OU      | $982506.56    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |  -16497681 | OU      | $-539025.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |  -12998173 | OU      | $-901179.22   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   -8798763 | OU      | $-15370.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   -9998594 | OU      | $-140141.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |  -19997189 | OU      | $-2050115.59  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.11.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |   10000000 | OU      | $-115911.12   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.11.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   20500000 | OU      | $-2148324.67  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.8.BBB-)                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   -1990264 | OU      | $-104506.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.11.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   50000000 | OU      | $-6019433.79  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.11.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   10000000 | OU      | $-13530.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.16.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |  -19000000 | OU      | $-876848.51   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |  -12000000 | OU      | $-543122.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |  -50000000 | OU      | $370237.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |   -9500000 | OU      | $240939.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |   -9500000 | OU      | $332596.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |   -5000000 | OU      | $35631.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  200000000 | NC      | $4716720.00   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  150000000 | NC      | $15.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   84886000 | NC      | $1163388.10   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  180000000 | NC      | $14220.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   -9998594 | OU      | $-182872.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  190000000 | NC      | $118902.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  115000000 | NC      | $1694766.50   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ITASCA PARK LLC                                                  | ITASCA PARK LLC                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         16 | OU      | $16089000.00  | 0.64%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ITASCA PARK LLC                                                  | ITASCA PARK LLC                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          1 | OU      | $1169704.90   | 0.05%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  500000000 | NC      | $5049050.00   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |  211382252 | NC      | $710984.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  286651270 | NC      | $964151.55    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   70000000 | NC      | $13048.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  125000000 | NC      | $817125.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  435000000 | NC      | $2902276.50   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  300000000 | NC      | $2538630.00   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        | -335000000 | NC      | $-33.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   59000000 | NC      | $1166925.60   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  464000000 | NC      | $1986059.20   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        | -550000000 | NC      | $-526515.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       5312 | NC      | $1565568.58   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | THREE-MONTH SOFR FUTURE MAR 26                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      -2301 | NC      | $88559.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | THREE-MONTH SOFR FUTURE SEP 25                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       2311 | NC      | $-278001.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE MAR 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -239 | NC      | $-26695.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR NOTE MAR 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -10951 | NC      | $-1472843.79  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US LONG BOND MAR 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -2635 | NC      | $-1603721.60  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA T-BOND MAR 26                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        398 | NC      | $382930.92    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-27

**Name of Applicant:** Columbia Funds Series Trust II

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager