# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001410368-26-008112
**Filing Date:** 2026-1
**Character Count:** 136888
**Document Hash:** 5386dedbfd7bd1fa6875f0c0fd420f89
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-008112.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0001410368-26-008112

**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:** 26569511

**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 Quality Income Fund (Series ID: S000031344)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000097356 | Columbia Quality Income Fund Class A               | AUGAX           |
| C000097358 | Columbia Quality Income Fund Class C               | AUGCX           |
| C000097361 | Columbia Quality Income Fund Institutional Class   | CUGZX           |
| C000121134 | Columbia Quality Income Fund Institutional 2 Class | CGVRX           |
| C000149222 | Columbia Quality Income Fund Institutional 3 Class | CUGYX           |

## 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 Quality Income Fund

- **b. EDGAR series identifier (if any):** S000031344

- **c. LEI of Series:** TJ30X3X4Z9WHP6KG4C22

**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:** $1529085230.55

**Total Liabilities:** $330392221.43

**Net Assets:** $1198693009.12

**Delayed Delivery Securities:** $316202240.34

**Cash Not Reported:** $17626.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 131020.86000000 | **1-Year:** 1952.39000000 | **5-Year:** 3728.21000000 | **10-Year:** 35770.04000000 | **30-Year:** 414389.48000000

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

- **3-Month:** -7503.92000000 | **1-Year:** 12402.65000000 | **5-Year:** 5730.63000000 | **10-Year:** 23569.74000000 | **30-Year:** 59416.02000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000097356 | 0.92%                | 0.70%                | 0.79%                |
| Class ID C000097358 | 0.80%                | 0.63%                | 0.73%                |
| Class ID C000097361 | 0.94%                | 0.67%                | 0.81%                |
| Class ID C000121134 | 0.95%                | 0.67%                | 0.81%                |
| Class ID C000149222 | 0.95%                | 0.68%                | 0.82%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6092267.11              | $2215201.87                                |
| Month 2  | $-1036983.84             | $6137380.37                                |
| Month 3  | $-135037.95              | $7829154.85                                |

**Designated Index Information**

- **Index Name:** BBG MBS Index

- **Index Identifier:** LEH_MBS

### 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        |    1666271 | PA      | $1679287.05   | 0.14%             | 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        |    2000000 | PA      | $2027216.40   | 0.17%             | 2069-02-25      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST ACHV_24-1PL                            | ACHV ABS TRUST ACHV_24-1PL                            | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731714 | PA      | $741227.07    | 0.06%             | 2031-04-25      | Fixed         | 6.42%                 | 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        |    5199745 | PA      | $5212011.41   | 0.43%             | 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        |      22000 | PA      | $535796.81    | 0.04%             | 2029-12-17      | Variable      | 100.00%               | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $18905297.80  | 1.58%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $34637044.32  | 2.89%             | 2040-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $36993830.00  | 3.09%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                 | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   91000000 | PA      | $89075320.88  | 7.43%             | 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        |    7000000 | PA      | $6985131.30   | 0.58%             | 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        |   22000000 | PA      | $22277332.66  | 1.86%             | 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        |   19000000 | PA      | $19453133.85  | 1.62%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                 | ARROYO MORTGAGE TRUST ARRW_19-3                       | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2713241.16   | 0.23%             | 2048-10-25      | Variable      | 4.20%                 | 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        |    7600000 | PA      | $7600000.00   | 0.63%             | 2029-03-29      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | BAIN CAPITAL CREDIT CLO LTD BCC_19-4A                 | CUSIP: 05684ABG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | JE        |    5000000 | PA      | $4947940.00   | 0.41%             | 2035-04-23      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                   | BHMS Commercial Mortgage Trust 2025-ATLS              | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3706944.53   | 0.31%             | 2042-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                           | CHNGE Mortgage Trust 2022-2                           | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5418909 | PA      | $5380939.73   | 0.45%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                  | CHNGE Mortgage Trust 2023-1                           | CUSIP: 12547QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6144000 | PA      | $6142357.71   | 0.51%             | 2058-03-25      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| CIM_20-R3                                             | CIM_20-R3                                             | CUSIP: 12559NAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8500000 | PA      | $8131254.70   | 0.68%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                  | CHNGE Mortgage Trust 2023-4                           | CUSIP: 12569QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1943650 | PA      | $1966355.73   | 0.16%             | 2058-09-25      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-4                       | CHNGE MORTGAGE TRUST CHNGE_23-4                       | CUSIP: 12569QAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5480320 | PA      | $5570282.19   | 0.46%             | 2058-09-25      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_22-NQM1                               | CSMC TRUST CSMC_22-NQM1                               | CUSIP: 126416AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4364535 | PA      | $3858307.87   | 0.32%             | 2066-11-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2014-USA OA LLC                                  | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1714646.56   | 0.14%             | 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        |    4050000 | PA      | $2468494.85   | 0.21%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                  | CHNGE Mortgage Trust 2023-3                           | CUSIP: 17030AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2668403 | PA      | $2684409.65   | 0.22%             | 2058-07-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| CMLTI_09-11                                           | CMLTI_09-11                                           | CUSIP: 17314QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     136467 | PA      | $135295.78    | 0.01%             | 2037-02-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| CMLTI_14-A                                            | CMLTI_14-A                                            | CUSIP: 17322GAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     282657 | PA      | $281451.87    | 0.02%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                      | CITIGROUP MORTGAGE LOAN TRUST IN                      | CUSIP: 17323TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2009330 | PA      | $1982822.36   | 0.17%             | 2053-01-25      | Fixed         | 4.25%                 | 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        |   40856766 | NS      | $40844508.64  | 3.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                            | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $9988444.68   | 0.83%             | 2055-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                            | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17000000 | PA      | $15335318.86  | 1.28%             | 2055-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                            | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65000000 | PA      | $63564159.75  | 5.30%             | 2055-12-20      | Fixed         | 4.50%                 | 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        |    4350000 | PA      | $4407608.36   | 0.37%             | 2040-05-25      | Variable      | 6.46%                 | 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        |    8300000 | PA      | $8322385.10   | 0.69%             | 2040-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3128CUTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     438925 | PA      | $444889.56    | 0.04%             | 2030-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3128M95V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3626000 | PA      | $3464609.27   | 0.29%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 31292LGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2435989 | PA      | $2345959.16   | 0.20%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_264                            | FREDDIEMAC STRIP FHSTR_264                            | CUSIP: 31325TL98<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2507063 | PA      | $259865.22    | 0.02%             | 2042-07-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE_MAC FHLMC_304                                 | FREDDIE_MAC FHLMC_304                                 | CUSIP: 31325UQS8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     887359 | PA      | $152995.42    | 0.01%             | 2042-12-15      | Fixed         | 4.00%                 | 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        |    3387141 | PA      | $379859.71    | 0.03%             | 2043-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                 | FREDDIE MAC FHLMC_318                                 | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3587052 | PA      | $408439.33    | 0.03%             | 2043-11-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                 | FREDDIE MAC FHLMC_326                                 | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1209975 | PA      | $132879.49    | 0.01%             | 2044-03-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                      | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7997032 | PA      | $7775222.95   | 0.65%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                      | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18334109 | PA      | $15946284.55  | 1.33%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                      | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22808133 | PA      | $20642295.61  | 1.72%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                      | CUSIP: 3132E0B27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15102924 | PA      | $15399945.44  | 1.28%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                | FEDERAL HOME LOAN MORTGAGE CORPORATION                | CUSIP: 3132E0NY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   11297600 | PA      | $10827622.21  | 0.90%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3132GTUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1753946 | PA      | $1683695.87   | 0.14%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3132H3F73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5588916 | PA      | $5351222.04   | 0.45%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                 | CUSIP: 3132H7D84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8285145 | PA      | $7700639.33   | 0.64%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3132L6SJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3263280 | PA      | $3108228.86   | 0.26%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | FREDDIE MAC GOLD                                      | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4562397 | PA      | $4447180.64   | 0.37%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3132QT6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2801496 | PA      | $2714235.26   | 0.23%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3132QTYQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     971032 | PA      | $943791.62    | 0.08%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                      | FREDDIE MAC GOLD                                      | CUSIP: 3132WHN76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3060434 | PA      | $2907011.85   | 0.24%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                 | CUSIP: 31335AH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5721405 | PA      | $5444801.36   | 0.45%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                | FEDERAL HOME LOAN MORTGAGE CORPORATION                | CUSIP: 3133GCXX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4311846 | PA      | $4016803.72   | 0.34%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | FEDERAL HOME LOAN MORTGAGE CORPORATION                | CUSIP: 3133KM4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   12637548 | PA      | $11332894.77  | 0.95%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                                | FANNIE MAE FNMA_12-129                                | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     211536 | PA      | $2118.23      | 0.00%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-144                                | FANNIE MAE FNMA_12-144                                | CUSIP: 3136ABJV6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     962883 | PA      | $71902.53     | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-1                                  | FANNIE MAE FNMA_13-1                                  | CUSIP: 3136ABYL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1243478 | PA      | $173640.76    | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | 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        |    5570434 | PA      | $726683.70    | 0.06%             | 2045-01-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                     | CUSIP: 3136AQC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10196631 | PA      | $1221452.39   | 0.10%             | 2046-02-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                 | FANNIE MAE FNMA_16-42                                 | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9576762 | PA      | $1252900.95   | 0.10%             | 2046-07-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                 | FANNIE MAE FNMA_16-37                                 | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6815125 | PA      | $787701.05    | 0.07%             | 2046-06-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-101                                | FANNIE MAE FNMA_16-101                                | CUSIP: 3136AU3F6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12355296 | PA      | $1514270.07   | 0.13%             | 2047-01-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                  | FANNIE MAE FNMA_17-3                                  | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8797733 | PA      | $994226.56    | 0.08%             | 2047-02-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                 | FANNIE MAE FNMA_17-51                                 | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6496605 | PA      | $826873.62    | 0.07%             | 2047-07-25      | Variable      | 1.85%                 | 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        |   22654616 | PA      | $956559.44    | 0.08%             | 2047-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                     | CUSIP: 3136AXV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3673283 | PA      | $3471125.71   | 0.29%             | 2047-09-25      | Fixed         | 3.00%                 | 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        |    4853304 | PA      | $643219.12    | 0.05%             | 2047-11-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                 | FANNIE MAE FNMA_19-33                                 | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13695653 | PA      | $1586160.64   | 0.13%             | 2049-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-57                                 | FANNIE MAE FNMA_19-57                                 | CUSIP: 3136B6PZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9361714 | PA      | $1337459.34   | 0.11%             | 2049-10-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-77                                 | FANNIE MAE FNMA_19-77                                 | CUSIP: 3136B7K26<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12277531 | PA      | $1707911.36   | 0.14%             | 2050-01-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                 | FANNIE MAE FNMA_20-40                                 | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14556324 | PA      | $2326105.00   | 0.19%             | 2050-06-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                            | FNMA_20-55                                            | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16885813 | PA      | $2838675.71   | 0.24%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13      | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13      | CUSIP: 3136BFNK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12776053 | PA      | $2160831.71   | 0.18%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54      | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54      | CUSIP: 3136BGJP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17966109 | PA      | $2497285.59   | 0.21%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-46      | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-46      | CUSIP: 3136BNGS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16130531 | PA      | $1845256.96   | 0.15%             | 2052-07-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-34      | CUSIP: 3136BQER6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18338977 | PA      | $2407210.76   | 0.20%             | 2048-10-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae REMICS                                     | CUSIP: 3136BU5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5894720 | PA      | $6022477.65   | 0.50%             | 2055-01-25      | Floating      | 8.02%                 | 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        |   17065076 | PA      | $17618744.21  | 1.47%             | 2055-03-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45      | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45      | CUSIP: 3136BWEY8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24058426 | PA      | $1963333.53   | 0.16%             | 2055-06-25      | Variable      | 1.62%                 | 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        |   12801870 | PA      | $12741242.00  | 1.06%             | 2055-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                                | FREDDIE MAC FHLMC_4068                                | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1451117 | PA      | $159459.48    | 0.01%             | 2036-09-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4107                                | FREDDIE MAC FHLMC_4107                                | CUSIP: 3137AUG60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1281890 | PA      | $65934.01     | 0.01%             | 2038-06-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                                | FREDDIE MAC FHLMC_4139                                | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1028163 | PA      | $62177.56     | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4147                                | FREDDIE MAC FHLMC_4147                                | CUSIP: 3137AXDF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     122513 | PA      | $600.22       | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4177                                | FREDDIE MAC FHLMC_4177                                | CUSIP: 3137B16F4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2657910 | PA      | $374042.06    | 0.03%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC_4215                                            | FHLMC_4215                                            | CUSIP: 3137B34H8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     111112 | PA      | $2390.84      | 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        |    1589665 | PA      | $202401.34    | 0.02%             | 2043-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                                | FREDDIE MAC FHLMC_4594                                | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3235954 | PA      | $405796.01    | 0.03%             | 2046-06-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                 | FANNIE MAE FHLMC_4620                                 | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2373103 | PA      | $247798.46    | 0.02%             | 2042-11-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4935                                | FREDDIE MAC FHLMC_4935                                | CUSIP: 3137FQ4U4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6178198 | PA      | $879069.19    | 0.07%             | 2049-12-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_4965                         | FREDDIE MAC REMICS FHLMC_4965                         | CUSIP: 3137FRWS6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4755153 | PA      | $600671.89    | 0.05%             | 2050-04-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983     | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983     | CUSIP: 3137FTHL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20085426 | PA      | $3070215.98   | 0.26%             | 2050-05-25      | Variable      | 1.80%                 | 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        |   10280840 | PA      | $1598297.38   | 0.13%             | 2050-06-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                | FREDDIE MAC FHLMC_4993                                | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13654110 | PA      | $2161967.19   | 0.18%             | 2050-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104     | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104     | CUSIP: 3137FYZH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4168206 | PA      | $3541000.14   | 0.30%             | 2049-06-25      | Fixed         | 2.00%                 | 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        |   17795500 | PA      | $2911509.30   | 0.24%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HAQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27590320 | PA      | $3150734.55   | 0.26%             | 2048-01-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HBDP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19141976 | PA      | $2311108.36   | 0.19%             | 2048-08-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7567089 | PA      | $7829087.20   | 0.65%             | 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        |   12661866 | PA      | $13132914.32  | 1.10%             | 2054-11-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HKNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6616261 | PA      | $6815162.58   | 0.57%             | 2055-03-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HKPN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13558838 | PA      | $13964596.99  | 1.16%             | 2055-04-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HKQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11779014 | PA      | $12106426.97  | 1.01%             | 2055-04-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6825714 | PA      | $6988062.46   | 0.58%             | 2055-05-25      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HLJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10960112 | PA      | $11008466.10  | 0.92%             | 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        |   13369537 | PA      | $1812263.41   | 0.15%             | 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        |   19193832 | PA      | $1146904.41   | 0.10%             | 2055-06-25      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                    | CUSIP: 3137HPAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36000000 | PA      | $3307500.00   | 0.28%             | 2055-12-25      | Floating      | 1.46%                 | No            |                  3 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3138E2FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1260696 | PA      | $1237967.79   | 0.10%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3138EGFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     701470 | PA      | $736405.04    | 0.06%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3138ER2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   12264437 | PA      | $11241353.94  | 0.94%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3138ERRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6705764 | PA      | $6177559.74   | 0.52%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_05-74                                 | FANNIE MAE FNMA_05-74                                 | CUSIP: 31394FEC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2958693 | PA      | $158991.31    | 0.01%             | 2035-05-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                  | FANNIE MAE FNMA_06-5                                  | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1544297 | PA      | $15.44        | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_417                                   | FANNIE MAE FNMA_417                                   | CUSIP: 31395QC32<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4724245 | PA      | $939418.17    | 0.08%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_07-54                                 | FANNIE MAE FNMA_07-54                                 | CUSIP: 31396WDZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3080627 | PA      | $263813.79    | 0.02%             | 2037-06-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140BHHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   12125642 | PA      | $12416289.51  | 1.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140FEDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3054943 | PA      | $2887071.39   | 0.24%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140FG6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3331623 | PA      | $3165897.26   | 0.26%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18558581 | PA      | $18493965.58  | 1.54%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140L3K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18095136 | PA      | $14989688.30  | 1.25%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140MP6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18348855 | PA      | $17001964.26  | 1.42%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140QB4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11449740 | PA      | $10370450.90  | 0.87%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   10917551 | PA      | $11047891.02  | 0.92%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140QSFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   14694194 | PA      | $14809656.84  | 1.24%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140X7W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13140055 | PA      | $11811714.27  | 0.99%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140X8ED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14713460 | PA      | $12273751.86  | 1.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140X8QL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   13734552 | PA      | $11971163.88  | 1.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24067348 | PA      | $19936978.25  | 1.66%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140XAVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21991169 | PA      | $18299859.93  | 1.53%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140XAZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18999866 | PA      | $16415984.85  | 1.37%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140XHNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6946354 | PA      | $5694565.15   | 0.48%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30369172 | PA      | $29269049.43  | 2.44%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140XLXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   16961765 | PA      | $15227645.64  | 1.27%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140XN2F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   17531025 | PA      | $14500246.97  | 1.21%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140XNEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7264372 | PA      | $7362057.35   | 0.61%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 3140XQBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   23921977 | PA      | $23570466.71  | 1.97%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 31412LMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1997066 | PA      | $2022042.50   | 0.17%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                       | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1327601 | PA      | $1344269.54   | 0.11%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | CUSIP: 31417CNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3586473 | PA      | $3452200.46   | 0.29%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                | FEDERAL HOME LOAN MORTGAGE CORPORATION                | CUSIP: 31427PWW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   11092043 | PA      | $11428791.58  | 0.95%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                | FEDERAL HOME LOAN MORTGAGE CORPORATION                | CUSIP: 3142GSWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   10187012 | PA      | $10484717.05  | 0.87%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_23-HE3                           | FIGURE LENDING FIGRE_23-HE3                           | CUSIP: 31684CAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1608191 | PA      | $1671642.83   | 0.14%             | 2042-01-25      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                           | FIGRE Trust 2025-PF2                                  | CUSIP: 316918AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2894349 | PA      | $2879865.05   | 0.24%             | 2055-10-25      | Variable      | 5.02%                 | 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        |    4000000 | PA      | $4437166.40   | 0.37%             | 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        |    7000000 | PA      | $8380989.40   | 0.70%             | 2034-01-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                   | Freddie Mac STACR REMIC Trust 2022-DNA2               | CUSIP: 35564KSJ9<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $4692912.75   | 0.39%             | 2042-02-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| GCAT                                                  | GCAT 2021-CM1 Trust                                   | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1179747 | PA      | $1139617.51   | 0.10%             | 2065-04-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GCAT                                                  | GCAT 2023-NQM4 Trust                                  | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5279918 | PA      | $5128197.22   | 0.43%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                    | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5389212 | PA      | $5372903.47   | 0.45%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2            | CUSIP: 3617UVEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19011965 | PA      | $16271857.31  | 1.36%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | CUSIP: 36201G2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      72805 | PA      | $75813.03     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                    | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1905739 | PA      | $1957070.42   | 0.16%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | CUSIP: 3620AETC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     279022 | PA      | $291460.20    | 0.02%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | CUSIP: 3620AYKB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     373820 | PA      | $390485.91    | 0.03%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | CUSIP: 3620AYKE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     154634 | PA      | $161527.95    | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | CUSIP: 36213J7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      24170 | PA      | $25045.42     | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA POOL 701579 GN 01/39 FIXED 5                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1            | CUSIP: 36296UM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     737641 | PA      | $753702.27    | 0.06%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121  | CUSIP: 38375G5P2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1413216 | PA      | $190635.63    | 0.02%             | 2042-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                      | GOVERNMENT NATIONAL MORTGAGE ASS                      | CUSIP: 38379E4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2676991 | PA      | $145206.42    | 0.01%             | 2039-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | GOVERNMENT NATIONAL MORTGAGE ASS                      | CUSIP: 38379EZ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8150048 | PA      | $1066606.63   | 0.09%             | 2044-09-16      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                      | GOVERNMENT NATIONAL MORTGAGE ASS                      | CUSIP: 38379FL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7058463 | PA      | $463208.07    | 0.04%             | 2038-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21   | CUSIP: 38380K4X0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5585353 | PA      | $889062.56    | 0.07%             | 2048-02-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170  | CUSIP: 38380KTP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5008644 | PA      | $669437.39    | 0.06%             | 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        |   17373136 | PA      | $791747.68    | 0.07%             | 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        |   12326297 | PA      | $577970.22    | 0.05%             | 2060-03-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118  | CUSIP: 38380NMV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15632467 | PA      | $757161.66    | 0.06%             | 2061-06-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association              | CUSIP: 38380NPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24058359 | PA      | $1382797.47   | 0.12%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134  | CUSIP: 38380NSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   16197429 | PA      | $682932.22    | 0.06%             | 2061-08-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139  | CUSIP: 38380NTH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17091828 | PA      | $728062.32    | 0.06%             | 2061-11-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1    | CUSIP: 38380UA94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6074858 | PA      | $872708.00    | 0.07%             | 2048-01-20      | Variable      | 2.05%                 | 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        |    3484570 | PA      | $470039.55    | 0.04%             | 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        |    3991766 | PA      | $539472.00    | 0.05%             | 2048-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97   | CUSIP: 38380XJ99<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4603570 | PA      | $584374.86    | 0.05%             | 2048-07-20      | Variable      | 2.05%                 | 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        |    5519276 | PA      | $863291.54    | 0.07%             | 2048-05-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105  | CUSIP: 38380YRN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4616068 | PA      | $564535.91    | 0.05%             | 2048-08-20      | 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        |    5881640 | PA      | $677080.87    | 0.06%             | 2048-11-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139  | CUSIP: 38381ANK8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2886358 | PA      | $389659.55    | 0.03%             | 2048-10-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21   | CUSIP: 38381B7M0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5135622 | PA      | $587215.27    | 0.05%             | 2049-02-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23   | CUSIP: 38381RWR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5805838 | PA      | $810768.47    | 0.07%             | 2049-02-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                            | GNMA_19-43                                            | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9447850 | PA      | $1053536.37   | 0.09%             | 2049-04-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52   | CUSIP: 38381VBU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13172398 | PA      | $2008614.17   | 0.17%             | 2049-04-16      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92   | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12713080 | PA      | $1655640.87   | 0.14%             | 2049-07-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-119  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-119  | CUSIP: 38381YE59<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5873321 | PA      | $654236.90    | 0.05%             | 2049-09-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117  | CUSIP: 38381YRF3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10057361 | PA      | $1326018.81   | 0.11%             | 2049-09-20      | Variable      | 1.95%                 | 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        |   18276757 | PA      | $674386.74    | 0.06%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-77   | CUSIP: 38382FAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12392484 | PA      | $1225578.26   | 0.10%             | 2049-05-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79   | CUSIP: 38382FB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9334520 | PA      | $1273058.64   | 0.11%             | 2050-06-20      | Variable      | 1.95%                 | 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        |    9386381 | PA      | $1237416.91   | 0.10%             | 2050-07-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125  | CUSIP: 38382HLX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10673882 | PA      | $1566006.90   | 0.13%             | 2050-08-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125  | CUSIP: 38382HMR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15268986 | PA      | $2212486.79   | 0.18%             | 2050-08-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138  | CUSIP: 38382J3D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11404560 | PA      | $1944703.22   | 0.16%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191  | CUSIP: 38382MHY8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7773735 | PA      | $1145280.33   | 0.10%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1    | CUSIP: 38382MJ91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16959700 | PA      | $2509971.16   | 0.21%             | 2051-01-20      | Fixed         | 2.50%                 | 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        |   14254879 | PA      | $3192796.48   | 0.27%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8    | CUSIP: 38382MVH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16865221 | PA      | $3015319.37   | 0.25%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27   | CUSIP: 38382NEY9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10594074 | PA      | $1547186.11   | 0.13%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46   | CUSIP: 38382P4J8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18024642 | PA      | $2440159.85   | 0.20%             | 2051-03-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67   | CUSIP: 38382RT81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15914359 | PA      | $2680188.14   | 0.22%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119  | CUSIP: 38382UN72<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16893837 | PA      | $2880529.34   | 0.24%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-111  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-111  | CUSIP: 38382UPG0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14997263 | PA      | $2197160.50   | 0.18%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122  | CUSIP: 38382WCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14389903 | PA      | $1950338.42   | 0.16%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |   15821375 | PA      | $2255990.48   | 0.19%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146  | CUSIP: 38382WZT7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18138157 | PA      | $3410329.10   | 0.28%             | 2051-08-20      | Fixed         | 3.50%                 | 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        |   14821266 | PA      | $2360264.34   | 0.20%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159  | CUSIP: 38382XG74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11181301 | PA      | $1746074.28   | 0.15%             | 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: 38382XTC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19972284 | PA      | $2748663.67   | 0.23%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161  | CUSIP: 38383A6G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17081757 | PA      | $2576181.73   | 0.21%             | 2051-09-20      | Variable      | 2.15%                 | 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        |  125851846 | PA      | $340190.12    | 0.03%             | 2051-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190  | CUSIP: 38383LAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22508480 | PA      | $2026514.98   | 0.17%             | 2049-11-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190  | CUSIP: 38383LAZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   26490673 | PA      | $3569461.85   | 0.30%             | 2049-07-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128  | CUSIP: 38383T7W7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16338021 | PA      | $1712654.27   | 0.14%             | 2052-07-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126  | CUSIP: 38383TX32<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18652728 | PA      | $2198878.65   | 0.18%             | 2052-07-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17   | CUSIP: 38383VC89<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19754189 | PA      | $2289597.42   | 0.19%             | 2053-02-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association              | CUSIP: 38383VJ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20169866 | PA      | $2299562.41   | 0.19%             | 2050-05-20      | Floating      | 1.98%                 | 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        |   12616608 | PA      | $1030532.08   | 0.09%             | 2053-03-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association              | CUSIP: 38383YEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26597862 | PA      | $2865339.74   | 0.24%             | 2052-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100  | CUSIP: 38384B4H1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21198154 | PA      | $2154955.60   | 0.18%             | 2053-07-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100  | CUSIP: 38384B4K4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24769593 | PA      | $3241004.59   | 0.27%             | 2049-09-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81   | CUSIP: 38384BAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12960125 | PA      | $904176.05    | 0.08%             | 2053-06-20      | Variable      | 1.87%                 | 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        |   13312768 | PA      | $913223.90    | 0.08%             | 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        |   28472351 | PA      | $3473649.62   | 0.29%             | 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        |   20651667 | PA      | $2606583.25   | 0.22%             | 2049-12-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140  | CUSIP: 38384EUV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1709539 | PA      | $1759589.71   | 0.15%             | 2053-09-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30   | CUSIP: 38384JTX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4849658 | PA      | $4907116.85   | 0.41%             | 2064-02-20      | Fixed         | 5.00%                 | 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        |   27096796 | PA      | $1466901.30   | 0.12%             | 2054-04-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80   | CUSIP: 38384NMS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12859285 | PA      | $11957181.85  | 1.00%             | 2064-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80   | CUSIP: 38384NMT9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8350392 | PA      | $7399915.70   | 0.62%             | 2064-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95   | CUSIP: 38384P6F2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14760124 | PA      | $992079.60    | 0.08%             | 2054-06-20      | 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        |   13293914 | PA      | $1999905.90   | 0.17%             | 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        |   18024363 | PA      | $2604493.46   | 0.22%             | 2054-06-20      | Variable      | 3.12%                 | 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        |    5822807 | PA      | $6015740.78   | 0.50%             | 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        |    6264762 | PA      | $6271456.30   | 0.52%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                      | HILT_16-SFP                                           | CUSIP: 43289VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $478447.00    | 0.04%             | 2035-11-05      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                      | Hilton USA Trust 2016-SFP                             | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $174941.34    | 0.01%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                        | Home Partners of America 2021-2 Trust                 | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19189913 | PA      | $18748752.16  | 1.56%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                     | Imperial Fund Mortgage Trust 2021-NQM4                | CUSIP: 45276JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6177415 | PA      | $5589673.57   | 0.47%             | 2057-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                  | LHOME Mortgage Trust 2024-RTL1                        | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $10034482.00  | 0.84%             | 2029-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                           | Legacy Mortgage Asset Trust 2021-GS1                  | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3321068 | PA      | $3322784.86   | 0.28%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                            | MFA 2025-NQM4 Trust                                   | CUSIP: 55287RAC2<br>LEI: 254900XBKB8JES2BO797 | Long             | ABS-MBS          | CORP              | US        |    6064877 | PA      | $6095050.10   | 0.51%             | 2070-08-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1        | MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1        | CUSIP: 58550DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2789000 | PA      | $2669966.87   | 0.22%             | 2054-04-25      | Variable      | 4.00%                 | 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        |    3000000 | PA      | $3087356.10   | 0.26%             | 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        |    6902154 | PA      | $7005686.01   | 0.58%             | 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        |    2000000 | PA      | $2000000.00   | 0.17%             | 2042-12-22      | Fixed         | 8.18%                 | No            |                  3 | On Loan: No      |
| MPOWER Education Trust                                | MPOWER Education Trust 2025-A                         | CUSIP: 624930AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1808536 | PA      | $1831265.10   | 0.15%             | 2042-07-21      | Fixed         | 6.62%                 | No            |                  2 | 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        |    2000000 | PA      | $2065573.40   | 0.17%             | 2042-07-21      | Fixed         | 8.47%                 | 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        |     223301 | PA      | $223602.26    | 0.02%             | 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        |    1852879 | PA      | $1890961.86   | 0.16%             | 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        |    5832152 | PA      | $248894.67    | 0.02%             | 2054-01-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3      | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3      | CUSIP: 64830NAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12000000 | PA      | $10120120.80  | 0.84%             | 2059-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2022-NQM2         | CUSIP: 64831MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4420000 | PA      | $3637742.65   | 0.30%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                | NRZ Excess Spread-Collateralized Notes                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1498010 | PA      | $1462853.15   | 0.12%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| OBX TRUST OBX_22-NQM3                                 | OBX TRUST OBX_22-NQM3                                 | CUSIP: 67116KAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5264000 | PA      | $4421787.37   | 0.37%             | 2062-01-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                 | PRPM LLC PRPM_24-RCF1                                 | CUSIP: 693581AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3600000 | PA      | $3506016.24   | 0.29%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2024-RCF1 LLC                                    | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4049533.74   | 0.34%             | 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        |    3507860 | PA      | $3362420.83   | 0.28%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2022-NQM1 Trust                                  | CUSIP: 69378KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5966982.00   | 0.50%             | 2067-08-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2    | PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2    | CUSIP: 69380RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4833745.00   | 0.40%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2025-2 LLC                                       | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3013429.20   | 0.25%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2025-RCF4 LLC                                    | CUSIP: 69382WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2114968.46   | 0.18%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2025-RCF3 LLC                                    | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2752842.13   | 0.23%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2025-RCF3 LLC                                    | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1995692.80   | 0.17%             | 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        |    2910752 | PA      | $2910100.63   | 0.24%             | 2070-07-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                        | Pagaya AI Debt Trust 2023-8                           | CUSIP: 694960AA3<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |     452497 | PA      | $458436.19    | 0.04%             | 2031-06-16      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-2              | PAGAYA AI DEBT SELECTION TRUST PAID_24-2              | CUSIP: 694961AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6112978 | PA      | $6175651.73   | 0.52%             | 2031-08-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                        | Pagaya AI Debt Grantor Trust 2024-10                  | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2379182 | PA      | $2398163.95   | 0.20%             | 2032-06-15      | Fixed         | 5.75%                 | 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        |      18856 | PA      | $18836.68     | 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: 69546QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885915 | PA      | $1891659.77   | 0.16%             | 2032-03-15      | Fixed         | 5.77%                 | 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        |    2528319 | PA      | $2558696.16   | 0.21%             | 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        |    3401365 | PA      | $3435601.71   | 0.29%             | 2031-10-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST PAID_25-5                        | PAGAYA AI DEBT TRUST PAID_25-5                        | CUSIP: 69548WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2504974.00   | 0.21%             | 2033-03-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                      | RCO 2025-Pr1 Trust                                    | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4631380 | PA      | $4609057.42   | 0.38%             | 2055-03-02      | Variable      | 6.25%                 | 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        |    7748385 | PA      | $7717648.61   | 0.64%             | 2030-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| RUN_22-NQM1                                           | RUN_22-NQM1                                           | CUSIP: 74981CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4116079.50   | 0.34%             | 2067-03-25      | Variable      | 4.04%                 | 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        |    1234216 | PA      | $1224623.67   | 0.10%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                   | SG Residential Mortgage Trust 2019-3                  | CUSIP: 78432BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3976763 | PA      | $3923396.63   | 0.33%             | 2059-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                         | SFO Commercial Mortgage Trust 2021-555                | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3676872.41   | 0.31%             | 2038-05-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SAIF SECURITIZATION TRUST SAIF_25-CES1                | SAIF SECURITIZATION TRUST SAIF_25-CES1                | CUSIP: 78438CAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2250000 | PA      | $2255741.55   | 0.19%             | 2065-06-25      | Variable      | 5.99%                 | 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        |    2834370 | PA      | $4905047.04   | 0.41%             | 2053-11-25      | Variable      | 49.38%                | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sounds Point CLO IV-R LTD                             | CUSIP: 83609YAE6<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10019220.00  | 0.84%             | 2031-04-18      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Splitero Trust 2025-1                                 | Splitero Trust 2025-1                                 | CUSIP: 848948AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4272621.90   | 0.36%             | 2055-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR6 Trust                                  | STAR 2025-SFR6 Trust                                  | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $8019716.00   | 0.67%             | 2042-08-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                 | TOORAK MORTGAGE TRUST TRK_24-RRTL1                    | CUSIP: 89054YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $4021932.00   | 0.34%             | 2039-02-25      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| VENDE_98-1                                            | VENDE_98-1                                            | CUSIP: 911760LJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     141316 | PA      | $0.14         | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VENDE_98-3                                            | VENDE_98-3                                            | CUSIP: 911760LZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     165725 | PA      | $0.17         | 0.00%             | 2029-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST                                      | Unlock Hea Trust 2023-1                               | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3129106 | PA      | $3131788.85   | 0.26%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                          | Upstart Securitization Trust 2025-4                   | CUSIP: 91684AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1001092.90   | 0.08%             | 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        |       8250 | PA      | $2157375.83   | 0.18%             | 2030-02-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Upstart Securitization Trust                          | Upstart Securitization Trust                          | CUSIP: 91684NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5189393.00   | 0.43%             | 2034-11-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                            | Verus Securitization Trust 2023-INV1                  | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4194229.62   | 0.35%             | 2068-02-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST VISIO_21-1R                               | VISIO TRUST VISIO_21-1R                               | CUSIP: 92837UAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1301366 | PA      | $1222397.38   | 0.10%             | 2056-05-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3         | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3         | CUSIP: 92841WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $5053544.50   | 0.42%             | 2055-01-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES2         | VISTA POINT SECURITIZATION TRUST VSTA_25-CES2         | CUSIP: 92842UAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3050000 | PA      | $3079255.30   | 0.26%             | 2055-08-25      | Variable      | 5.77%                 | 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   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | CDS: (CMBX.NA.10.BBB-)                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |   -9998594 | OU      | $-693214.77   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | CDS: (CMBX.NA.10.BBB-)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |   -4999297 | OU      | $-512528.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | CDS: (CMBX.NA.11.BBB-)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |    5000000 | OU      | $-6765.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | CDS: (CMBX.NA.16.BBB-)                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |   -5000000 | OU      | $-230749.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | CDS: (CMBX.NA.17.BBB-)                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |   -3000000 | OU      | $-135780.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | CDS: (CMBX.NA.17.BBB-)                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |  -18000000 | OU      | $133285.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  150000000 | NC      | $3537540.00   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 0 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   50000000 | NC      | $5.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  100000000 | NC      | $1345570.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   74126000 | NC      | $1015919.07   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | OTC (GENERIC) 0 YEAR                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   50000000 | NC      | $3950.00      | 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        |   -4999297 | OU      | $-91436.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 0 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  100000000 | NC      | $62580.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  129000000 | NC      | $1901085.90   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  150000000 | NC      | $1514715.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        |  109751209 | NC      | $369148.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  149164518 | NC      | $501714.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | OTC (GENERIC) 0 YEAR                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   50000000 | NC      | $9320.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  168500000 | NC      | $1101484.50   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  300000000 | NC      | $2001570.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  130000000 | NC      | $1100073.00   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | OTC (GENERIC) 0 YEAR                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | GB        | -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        |   30503000 | NC      | $603300.54    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                              | OTC (GENERIC) 1 YEAR                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  225000000 | NC      | $963067.50    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                        | OTC (GENERIC) 0 YEAR                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        | -420000000 | NC      | $-402066.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 5YR NOTE MAR 26                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2664 | NC      | $785861.35    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                           | THREE-MONTH SOFR FUTURE MAR 26                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -676 | NC      | $26328.51     | 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        |        680 | NC      | $-81487.80    | -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        |       -577 | NC      | $-64148.55    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR NOTE MAR 26                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1469 | NC      | $-196734.36   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US LONG BOND MAR 26                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -419 | NC      | $-254765.83   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                | US ULTRA T-BOND MAR 26                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         95 | NC      | $91462.01     | 0.01%             |  |  |  | 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