# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001145549-25-047835
**Filing Date:** 2025-7
**Character Count:** 136910
**Document Hash:** 04795006a5fd82a6b4536e103d92ee64
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-047835.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001145549-25-047835

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20250531

**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:** 251148847

**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:** 02110

  - **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:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $1722624108.77

**Total Liabilities:** $452477522.12

**Net Assets:** $1270146586.65

**Delayed Delivery Securities:** $439751090.85

**Cash Not Reported:** $164749.84

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 117089.356700000000 | **1-Year:** 0.000000000000 | **5-Year:** 102.160200000000 | **10-Year:** 36968.808500000000 | **30-Year:** 433299.469700000000

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

- **3-Month:** -69000.103000000000 | **1-Year:** 56616.017800000000 | **5-Year:** 28330.260800000000 | **10-Year:** 21947.600000000000 | **30-Year:** 100678.097900000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000097356 | -0.10%               | 1.64%                | -1.37%               |
| Class ID C000097358 | -0.16%               | 1.58%                | -1.43%               |
| Class ID C000097361 | -0.13%               | 1.66%                | -1.30%               |
| Class ID C000121134 | -0.13%               | 1.67%                | -1.29%               |
| Class ID C000149222 | -0.12%               | 1.68%                | -1.30%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4473989.81              | $-10420879.26                              |
| Month 2  | $-4406372.53             | $13071682.89                               |
| Month 3  | $-597517.84              | $-24162316.17                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                  | CUSIP: 3137G0WT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      55157 | PA      | $55007.33     | 0.00%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | FHLMC_5105                     | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18421275 | PA      | $3053064.80   | 0.24%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5345                | FHLMC_5345                     | CUSIP: 3137HAQZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29132117 | PA      | $3008826.26   | 0.24%             | 2048-01-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67              | GNMA_21-67                     | CUSIP: 38382RT81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16805669 | PA      | $2921467.19   | 0.23%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GNMA_21-119                    | CUSIP: 38382UN72<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17976552 | PA      | $3068802.29   | 0.24%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-111             | GNMA_21-111                    | CUSIP: 38382UPG0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16005771 | PA      | $2373257.35   | 0.19%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | GNMA_21-122                    | CUSIP: 38382WCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15329471 | PA      | $2069242.54   | 0.16%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | GNMA_21-117                    | CUSIP: 38382WEG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16653695 | PA      | $2313313.12   | 0.18%             | 2051-07-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146             | GNMA_21-146                    | CUSIP: 38382WZT7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18992544 | PA      | $3621226.71   | 0.29%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | GNMA_21-158                    | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15464962 | PA      | $2471965.94   | 0.19%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159             | GNMA_21-159                    | CUSIP: 38382XG74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11807960 | PA      | $1851759.71   | 0.15%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142             | GNMA_21-142                    | CUSIP: 38382XTC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21109447 | PA      | $2873346.17   | 0.23%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | GNMA_21-161                    | CUSIP: 38383A6G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17883649 | PA      | $2476039.52   | 0.19%             | 2051-09-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-175             | GNMA_21-175                    | CUSIP: 38383CQ52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19631099 | PA      | $3347830.63   | 0.26%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | GNMA_21-193                    | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  132511743 | PA      | $462412.98    | 0.04%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190             | GNMA_22-190                    | CUSIP: 38383LAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   24061329 | PA      | $2224881.33   | 0.18%             | 2049-11-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190             | GNMA_22-190                    | CUSIP: 38383LAZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28089665 | PA      | $3499887.98   | 0.28%             | 2049-07-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128             | GNMA_22-128                    | CUSIP: 38383T7W7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17278374 | PA      | $1760904.80   | 0.14%             | 2052-07-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126             | GNMA_22-126                    | CUSIP: 38383TX32<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19826631 | PA      | $2120832.95   | 0.17%             | 2052-07-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17              | GNMA_23-17                     | CUSIP: 38383VC89<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21550182 | PA      | $2230644.23   | 0.18%             | 2053-02-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XLXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   17687266 | PA      | $15187531.25  | 1.20%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XN2F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18279928 | PA      | $14383742.31  | 1.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XNEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7711490 | PA      | $7561669.28   | 0.60%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XQBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   24581768 | PA      | $23318214.41  | 1.84%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 31410LFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2089283 | PA      | $2090338.34   | 0.16%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 31412LMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2151448 | PA      | $2112700.97   | 0.17%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                     | CUSIP: 31412QNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2674355 | PA      | $2675981.02   | 0.21%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1425390 | PA      | $1403171.09   | 0.11%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                     | CUSIP: 31416VCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1410581 | PA      | $1420338.16   | 0.11%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                     | CUSIP: 31416WNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1421714 | PA      | $1424035.22   | 0.11%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 31417CNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3815347 | PA      | $3531103.40   | 0.28%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                | CUSIP: 3142GSWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   11359840 | PA      | $11521472.88  | 0.91%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_23-HE3                                      | FIGRE_23-HE3                   | CUSIP: 31684CAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1612892 | PA      | $1657933.78   | 0.13%             | 2042-01-25      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1                      | STACR_21-DNA1                  | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $4398046.80   | 0.35%             | 2051-01-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA5                      | STACR_21-DNA5                  | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $7975370.20   | 0.63%             | 2034-01-25      | Variable      | 9.82%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-5                         | PAID_23-5                      | CUSIP: 69546PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3669598 | PA      | $3687194.20   | 0.29%             | 2031-04-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-9                         | PAID_24-9                      | CUSIP: 69546QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2596337 | PA      | $2598774.24   | 0.20%             | 2032-03-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                      | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     638015 | PA      | $638674.38    | 0.05%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                      | CUSIP: 69547MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     479064 | PA      | $479559.64    | 0.04%             | 2030-03-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO APID_17-28A                                           | APID_17-28A                    | CUSIP: 03767CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    8000000 | PA      | $8017632.00   | 0.63%             | 2031-01-20      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-3                                  | ARRW_19-3                      | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2422120.89   | 0.19%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | ASPWP-29-1A                    | CUSIP: 04524YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7600000 | PA      | $7600000.00   | 0.60%             | 2029-03-29      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO LTD BCC_19-4A                            | BCC_19-4A                      | CUSIP: 05684ABG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4996920.00   | 0.39%             | 2035-04-23      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-2                                  | CHNGE_22-2                     | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5800029 | PA      | $5653586.50   | 0.45%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE_23-1                     | CUSIP: 12547QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6144000 | PA      | $6181045.25   | 0.49%             | 2058-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| CIM_20-R3                                                        | CIM_20-R3                      | CUSIP: 12559NAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8500000 | PA      | $7440171.55   | 0.59%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-4                                  | CHNGE_23-4                     | CUSIP: 12569QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2559304 | PA      | $2597481.00   | 0.20%             | 2058-09-25      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-4                                  | CHNGE_23-4                     | CUSIP: 12569QAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5480320 | PA      | $5628423.46   | 0.44%             | 2058-09-25      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_22-NQM1                                          | CSMC_22-NQM1                   | CUSIP: 126416AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4590517 | PA      | $3944869.05   | 0.31%             | 2066-11-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                    | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $2667039.06   | 0.21%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                    | CUSIP: 12649AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4050000 | PA      | $1782037.67   | 0.14%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CGMS_13-3A                                                       | CGMS_13-3A                     | CUSIP: 14310GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    6750000 | PA      | $6754212.00   | 0.53%             | 2030-10-15      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE_23-3                     | CUSIP: 17030AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3734148 | PA      | $3766472.90   | 0.30%             | 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        |     142504 | PA      | $140552.08    | 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        |     394105 | PA      | $390232.50    | 0.03%             | 2035-01-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                   | CUSIP: 17323TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2216105 | PA      | $2158401.85   | 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             | CORP              | US        |   36527146 | NS      | $36516187.59  | 2.87%             |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R02                   | CAS_22-R02                     | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10239832.00  | 0.81%             | 2042-01-25      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | ADMT_24-NQM1                   | CUSIP: 00039GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1907443 | PA      | $1915442.12   | 0.15%             | 2069-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | ADMT_24-NQM1                   | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2017779.80   | 0.16%             | 2069-02-25      | Variable      | 8.60%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST ACHV_23-3PL                                       | ACHV_23-3PL                    | CUSIP: 000876AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000918 | PA      | $1002818.36   | 0.08%             | 2030-08-19      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST ACHV_24-1PL                                       | ACHV_24-1PL                    | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1055324 | PA      | $1060170.51   | 0.08%             | 2031-04-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_23-B                     | AFFRM_23-B                     | CUSIP: 00792FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $4275730.78   | 0.34%             | 2028-09-15      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_24-X2                    | AFFRM_24-X2                    | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22000 | PA      | $1156650.00   | 0.09%             | 2029-12-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   29000000 | PA      | $22527824.37  | 1.77%             | 2054-06-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)          | CUSIP: 01F022469<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   20000000 | PA      | $18461002.20  | 1.45%             | 2040-06-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)          | CUSIP: 01F030462<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   36000000 | PA      | $33924020.40  | 2.67%             | 2040-06-18      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  111000000 | PA      | $104678810.85 | 8.24%             | 2054-06-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19000000 | PA      | $18389267.23  | 1.45%             | 2055-06-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8000000 | PA      | $7919291.92   | 0.62%             | 2025-06-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8000000 | PA      | $8078091.68   | 0.64%             | 2055-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME_24-RTL1                  | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10059069.00  | 0.79%             | 2029-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1                          | LMAT_21-GS1                    | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3534878 | PA      | $3537651.15   | 0.28%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_15                                 | MDPK_15-18A                    | CUSIP: 55819BBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   17075000 | PA      | $17093509.30  | 1.35%             | 2030-10-21      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | MELLO_24-SD1                   | CUSIP: 58550DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2789000 | PA      | $2593222.52   | 0.20%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_5371                                    | FHLMC_5371                     | CUSIP: 3137HBDP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20110394 | PA      | $2196475.32   | 0.17%             | 2048-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | FHLMC_5513                     | CUSIP: 3137HKF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8632532 | PA      | $8836052.75   | 0.70%             | 2054-06-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | FHLMC_5513                     | CUSIP: 3137HKF33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14338172 | PA      | $14562674.44  | 1.15%             | 2054-11-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5517                | FHLMC_5517                     | CUSIP: 3137HKNH3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7665637 | PA      | $7712327.53   | 0.61%             | 2055-03-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_25-5532                                        | FHLMC_5532                     | CUSIP: 3137HKPN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15471379 | PA      | $15565057.01  | 1.23%             | 2055-04-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5533                     | CUSIP: 3137HKQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   13131639 | PA      | $13235363.33  | 1.04%             | 2055-04-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5542                     | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    7913722 | PA      | $7945026.07   | 0.63%             | 2055-05-25      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| FHLMC_5548                                                       | FHLMC_5548                     | CUSIP: 3137HLJQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12000000 | PA      | $12060000.00  | 0.95%             | 2055-06-25      | Variable      | 7.95%                 | No            |                  3 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5544                     | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   14143212 | PA      | $1878395.34   | 0.15%             | 2055-06-25      | Variable      | 2.65%                 | No            |                  3 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3138A2UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1765615 | PA      | $1736444.67   | 0.14%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3138ANHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1385375 | PA      | $1357776.06   | 0.11%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3138E2FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1290157 | PA      | $1225179.55   | 0.10%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3138EGFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     791740 | PA      | $825110.17    | 0.06%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3138ER2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   12967877 | PA      | $11390622.91  | 0.90%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3138ERRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7318380 | PA      | $6470709.05   | 0.51%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_05-74                                            | FNMA_05-74                     | CUSIP: 31394FEC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3405970 | PA      | $169252.54    | 0.01%             | 2035-05-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                             | FNMA_06-5                      | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1712060 | PA      | $17.12        | 0.00%             | 2034-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_417                                              | FNMA_417                       | CUSIP: 31395QC32<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4977129 | PA      | $980990.33    | 0.08%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_07-54                                            | FNMA_07-54                     | CUSIP: 31396WDZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3257997 | PA      | $270466.85    | 0.02%             | 2037-06-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3140FEDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3248407 | PA      | $2940499.63   | 0.23%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3140FG6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3461110 | PA      | $3141395.75   | 0.25%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                      | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   19887055 | PA      | $19072928.07  | 1.50%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                 | CUSIP: 3140L3K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18929844 | PA      | $14940274.73  | 1.18%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                 | CUSIP: 3140MP6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18983319 | PA      | $16862218.97  | 1.33%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                 | CUSIP: 3140QB4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11980992 | PA      | $10382374.73  | 0.82%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                 | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11378754 | PA      | $11097498.73  | 0.87%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                 | CUSIP: 3140QSFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15538693 | PA      | $15154354.32  | 1.19%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER           | CUSIP: 3140X5AK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   10240373 | PA      | $9925404.63   | 0.78%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140X7W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   13648806 | PA      | $11735524.29  | 0.92%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140X8ED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15515167 | PA      | $12319631.31  | 0.97%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140X8QL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   14389592 | PA      | $11937461.51  | 0.94%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   25234760 | PA      | $19916413.50  | 1.57%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XAVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   23106431 | PA      | $18252663.81  | 1.44%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XAZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   20011398 | PA      | $16489694.55  | 1.30%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER           | CUSIP: 3140XBPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6782657 | PA      | $6167535.14   | 0.49%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XHNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7224097 | PA      | $5660736.27   | 0.45%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   32250100 | PA      | $29862475.20  | 2.35%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   29000000 | PA      | $24671492.48  | 1.94%             | 2054-06-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  112927560 | PA      | $100084561.56 | 7.88%             | 2055-06-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15000000 | PA      | $13741034.25  | 1.08%             | 2054-06-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-1                            | VERUS_20-1                     | CUSIP: 92536PAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6700000 | PA      | $6282354.83   | 0.49%             | 2060-01-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_23-INV1                         | VERUS_23-INV1                  | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4200000 | PA      | $4206595.26   | 0.33%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST VISIO_21-1R                                          | VISIO_21-1R                    | CUSIP: 92837UAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1464277 | PA      | $1360787.11   | 0.11%             | 2056-05-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VSTA_24-CES3                   | CUSIP: 92841WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $5027960.00   | 0.40%             | 2055-01-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.7.BBB-)          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -2162138 | OU      | $-302236.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1971880.00  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   -5000000 | OU      | $-985940.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.11.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |    5000000 | OU      | $648721.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |   25000000 | OU      | $43937.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   50000000 | OU      | $74580.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   25000000 | OU      | $361305.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.16.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -5000000 | OU      | $-854579.50   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -3000000 | OU      | $-391824.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   60000000 | OU      | $158046.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   50000000 | OU      | $737555.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |   70000000 | OU      | $1210902.00   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -18000000 | OU      | $-2350944.00  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |   50000000 | OU      | $643485.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  100000000 | OU      | $1710360.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13                 | FNMA_21-13                     | CUSIP: 3136BFNK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13370448 | PA      | $2254264.22   | 0.18%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54                 | FNMA_21-54                     | CUSIP: 3136BGJP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18665633 | PA      | $2495165.88   | 0.20%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-46                 | FNMA_22-46                     | CUSIP: 3136BNGS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17755150 | PA      | $1722727.14   | 0.14%             | 2052-07-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-34                 | FNMA_23-34                     | CUSIP: 3136BQER6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19308006 | PA      | $2446623.62   | 0.19%             | 2048-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-16                 | FNMA_25-16                     | CUSIP: 3136BU5N6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6748024 | PA      | $6727411.03   | 0.53%             | 2055-01-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | FNMA_25-12                     | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18441228 | PA      | $18587490.97  | 1.46%             | 2055-03-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45                 | FNMA_25-45                     | CUSIP: 3136BWEY8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25000000 | PA      | $1761250.00   | 0.14%             | 2055-06-25      | Variable      | 1.47%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                                           | FHLMC_4068                     | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1602046 | PA      | $163353.15    | 0.01%             | 2036-09-15      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4107                                           | FHLMC_4107                     | CUSIP: 3137AUG60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1456503 | PA      | $80038.46     | 0.01%             | 2038-06-15      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                                           | FHLMC_4139                     | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1199714 | PA      | $80504.80     | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4147                                           | FHLMC_4147                     | CUSIP: 3137AXDF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     256438 | PA      | $2815.64      | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4177                                           | FHLMC_4177                     | CUSIP: 3137B16F4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2872115 | PA      | $416442.27    | 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        |     164081 | PA      | $4358.68      | 0.00%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286                | FHLMC_4286                     | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1677088 | PA      | $199199.20    | 0.02%             | 2043-12-15      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                                           | FHLMC_4594                     | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3435375 | PA      | $392845.82    | 0.03%             | 2046-06-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                            | FHLMC_4620                     | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2659407 | PA      | $250589.24    | 0.02%             | 2042-11-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4935                                           | FHLMC_4935                     | CUSIP: 3137FQ4U4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6412350 | PA      | $845315.71    | 0.07%             | 2049-12-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_4965                                    | FHLMC_4965                     | CUSIP: 3137FRWS6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4939994 | PA      | $530690.74    | 0.04%             | 2050-04-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983                | FHLMC_4983                     | CUSIP: 3137FTHL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21470604 | PA      | $2730395.30   | 0.21%             | 2050-05-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA2                      | STACR_22-DNA2                  | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4500000 | PA      | $4711536.00   | 0.37%             | 2042-02-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM1                                             | GCAT_21-CM1                    | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1297623 | PA      | $1232059.26   | 0.10%             | 2065-04-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_23-NQM4                                          | GCAT_23-NQM4                   | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5625967 | PA      | $5262095.89   | 0.41%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                     | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5729953 | PA      | $5486909.01   | 0.43%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                     | CUSIP: 3617UVEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   20554184 | PA      | $16966251.42  | 1.34%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                     | CUSIP: 3617VEBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   42145265 | PA      | $34788332.94  | 2.74%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94              | GNMA_18-94                     | CUSIP: 38380XSN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5811291 | PA      | $778691.54    | 0.06%             | 2048-05-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105             | GNMA_18-105                    | CUSIP: 38380YRN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4750777 | PA      | $509329.87    | 0.04%             | 2048-08-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                      | GNMA_18-155                    | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6194670 | PA      | $682939.43    | 0.05%             | 2048-11-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139             | GNMA_18-139                    | CUSIP: 38381ANK8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3013933 | PA      | $348861.26    | 0.03%             | 2048-10-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | GNMA_19-21                     | CUSIP: 38381B7M0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5440323 | PA      | $556943.23    | 0.04%             | 2049-02-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23              | GNMA_19-23                     | CUSIP: 38381RWR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5942327 | PA      | $793370.14    | 0.06%             | 2049-02-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                       | GNMA_19-43                     | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10139848 | PA      | $1079762.00   | 0.09%             | 2049-04-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52              | GNMA_19-52                     | CUSIP: 38381VBU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13682777 | PA      | $2002115.96   | 0.16%             | 2049-04-16      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92              | GNMA_19-92                     | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13533220 | PA      | $1685297.32   | 0.13%             | 2049-07-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-119             | GNMA_19-119                    | CUSIP: 38381YE59<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6418164 | PA      | $651782.49    | 0.05%             | 2049-09-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117             | GNMA_19-117                    | CUSIP: 38381YRF3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10657337 | PA      | $1449858.27   | 0.11%             | 2049-09-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | GNMA_20-3                      | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   18474673 | PA      | $709512.41    | 0.06%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-77              | GNMA_20-77                     | CUSIP: 38382FAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13089340 | PA      | $1389432.16   | 0.11%             | 2049-05-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79              | GNMA_20-79                     | CUSIP: 38382FB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9817682 | PA      | $1346563.81   | 0.11%             | 2050-06-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | GNMA_20-104                    | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9982565 | PA      | $1275255.65   | 0.10%             | 2050-07-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125             | GNMA_20-125                    | CUSIP: 38382HLX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11301321 | PA      | $1494942.07   | 0.12%             | 2050-08-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125             | GNMA_20-125                    | CUSIP: 38382HMR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16022001 | PA      | $2096776.90   | 0.17%             | 2050-08-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | GNMA_20-138                    | CUSIP: 38382J3D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11754521 | PA      | $2007752.05   | 0.16%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GNMA_20-191                    | CUSIP: 38382MHY8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8126319 | PA      | $1176947.78   | 0.09%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1               | GNMA_21-1                      | CUSIP: 38382MJ91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17802778 | PA      | $2650908.35   | 0.21%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GNMA_20-191                    | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15089785 | PA      | $3067738.11   | 0.24%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8               | GNMA_21-8                      | CUSIP: 38382MVH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17161988 | PA      | $3113254.99   | 0.25%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8               | GNMA_21-8                      | CUSIP: 38382MZP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   30908389 | PA      | $5097315.67   | 0.40%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27              | GNMA_21-27                     | CUSIP: 38382NEY9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11117559 | PA      | $1653039.89   | 0.13%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46              | GNMA_21-46                     | CUSIP: 38382P4J8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19217012 | PA      | $2573690.18   | 0.20%             | 2051-03-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT          | CUSIP: 31335AH43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5968202 | PA      | $5439314.10   | 0.43%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 15YR UMBS                | CUSIP: 3133GCXX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4645853 | PA      | $4228961.07   | 0.33%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS                | CUSIP: 3133KM4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   13342593 | PA      | $11475573.92  | 0.90%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                                           | FNMA_12-129                    | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     459568 | PA      | $8048.46      | 0.00%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-144                                           | FNMA_12-144                    | CUSIP: 3136ABJV6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1072769 | PA      | $86281.49     | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-1                                             | FNMA_13-1                      | CUSIP: 3136ABYL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1319424 | PA      | $186171.84    | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-16                                            | FNMA_13-16                     | CUSIP: 3136ACRR4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      96215 | PA      | $190.04       | 0.00%             | 2040-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                            | FNMA_14-93                     | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5763221 | PA      | $675481.77    | 0.05%             | 2045-01-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNMA_16-1                                      | FNMA_16-1                      | CUSIP: 3136AQC57<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10680937 | PA      | $1145627.74   | 0.09%             | 2046-02-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                            | FNMA_16-42                     | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10255278 | PA      | $1063590.25   | 0.08%             | 2046-07-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                            | FNMA_16-37                     | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7235308 | PA      | $794699.48    | 0.06%             | 2046-06-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-101                                           | FNMA_16-101                    | CUSIP: 3136AU3F6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13097127 | PA      | $1440614.60   | 0.11%             | 2047-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                             | FNMA_17-3                      | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9312458 | PA      | $1057237.76   | 0.08%             | 2047-02-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                            | FNMA_17-51                     | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6928827 | PA      | $793598.77    | 0.06%             | 2047-07-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FNMA_17-72                     | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23893378 | PA      | $823286.95    | 0.06%             | 2047-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FNMA_17-72                     | CUSIP: 3136AXV44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3919170 | PA      | $3593062.32   | 0.28%             | 2047-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                            | FNMA_17-90                     | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5181108 | PA      | $619599.42    | 0.05%             | 2047-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-7                                             | FNMA_18-7                      | CUSIP: 3136B0YQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13778611 | PA      | $12343859.07  | 0.97%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                            | FNMA_19-33                     | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14565516 | PA      | $1659010.77   | 0.13%             | 2049-07-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | EASY_25-RTL1                   | CUSIP: 27786FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4350000 | PA      | $4358440.31   | 0.34%             | 2040-05-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 20YR GIANT               | CUSIP: 3128CUTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     609293 | PA      | $616972.25    | 0.05%             | 2030-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT               | CUSIP: 3128M7N77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1557499 | PA      | $1562408.82   | 0.12%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT               | CUSIP: 3128M95V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3822920 | PA      | $3533143.94   | 0.28%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                     | CUSIP: 31292LGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2591030 | PA      | $2400897.40   | 0.19%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_264                                       | FHLMC_264                      | CUSIP: 31325TL98<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2705756 | PA      | $261048.27    | 0.02%             | 2042-07-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE_MAC FHLMC_304                                            | FHLMC_304                      | CUSIP: 31325UQS8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     954000 | PA      | $163816.46    | 0.01%             | 2042-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPO                                 | FHLMC_309                      | CUSIP: 31325USF4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3521532 | PA      | $365116.27    | 0.03%             | 2043-08-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                            | FHLMC_318                      | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3758854 | PA      | $398184.05    | 0.03%             | 2043-11-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                            | FHLMC_326                      | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1287217 | PA      | $130809.87    | 0.01%             | 2044-03-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS MIRROR         | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    8500867 | PA      | $7932293.90   | 0.62%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   19220221 | PA      | $15933774.57  | 1.25%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   23974132 | PA      | $20774587.76  | 1.64%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132E0B27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   16292876 | PA      | $16106722.40  | 1.27%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132E0NY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   11971508 | PA      | $11011230.05  | 0.87%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                | CUSIP: 3132GGAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1524297 | PA      | $1487268.78   | 0.12%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                | CUSIP: 3132GTUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1806289 | PA      | $1672603.00   | 0.13%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR  LTV >125      | CUSIP: 3132H3F73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5989416 | PA      | $5520810.27   | 0.43%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR  LTV >125      | CUSIP: 3132H7D84<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8567272 | PA      | $7593724.62   | 0.60%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR CASH ISSUANCE  | CUSIP: 3132L6SJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3741671 | PA      | $3419410.16   | 0.27%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -146531000 | OU      | $-148743.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   14000800 | OU      | $335572.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -300000000 | OU      | $-216840.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17              | GNMA_23-17                     | CUSIP: 38383VJ74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21351292 | PA      | $2382757.20   | 0.19%             | 2050-05-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | GNMA_23-47                     | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13905001 | PA      | $1078421.85   | 0.08%             | 2053-03-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-152             | GNMA_22-152                    | CUSIP: 38383YEB4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28353764 | PA      | $2690125.74   | 0.21%             | 2052-09-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-57                                            | FNMA_19-57                     | CUSIP: 3136B6PZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9703149 | PA      | $1193813.34   | 0.09%             | 2049-10-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-77                                            | FNMA_19-77                     | CUSIP: 3136B7K26<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13010897 | PA      | $1623750.85   | 0.13%             | 2050-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                            | FNMA_20-40                     | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15034585 | PA      | $2220530.07   | 0.17%             | 2050-06-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                                       | FNMA_20-55                     | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17581640 | PA      | $2771866.85   | 0.22%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | FHLMC_4987                     | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10656741 | PA      | $1522647.90   | 0.12%             | 2050-06-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FHLMC_4993                     | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14117431 | PA      | $2070288.82   | 0.16%             | 2050-07-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104                | FHLMC_5104                     | CUSIP: 3137FYZH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4412680 | PA      | $3644507.68   | 0.29%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100             | GNMA_23-100                    | CUSIP: 38384B4H1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22859780 | PA      | $2457067.42   | 0.19%             | 2053-07-20      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100             | GNMA_23-100                    | CUSIP: 38384B4K4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   26170708 | PA      | $2313412.11   | 0.18%             | 2049-09-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81              | GNMA_23-81                     | CUSIP: 38384BAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14089604 | PA      | $990044.07    | 0.08%             | 2053-06-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GNMA_23-113                    | CUSIP: 38384CVG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14264191 | PA      | $1136517.96   | 0.09%             | 2053-08-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GNMA_23-113                    | CUSIP: 38384CZJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   30044806 | PA      | $3416596.23   | 0.27%             | 2049-09-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141             | GNMA_23-141                    | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21947329 | PA      | $2266026.59   | 0.18%             | 2049-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140             | GNMA_23-140                    | CUSIP: 38384EUV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1988557 | PA      | $1971034.75   | 0.16%             | 2053-09-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30              | GNMA_24-30                     | CUSIP: 38384JTX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7281747 | PA      | $7310080.76   | 0.58%             | 2064-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | GNMA_24-64                     | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29610901 | PA      | $1583964.07   | 0.12%             | 2054-04-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80              | GNMA_24-80                     | CUSIP: 38384NMS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15326546 | PA      | $13554054.27  | 1.07%             | 2064-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80              | GNMA_24-80                     | CUSIP: 38384NMT9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10054727 | PA      | $8686208.07   | 0.68%             | 2064-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95              | GNMA_24-95                     | CUSIP: 38384P6F2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15498110 | PA      | $1171615.31   | 0.09%             | 2054-06-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | GNMA_24-79                     | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13691446 | PA      | $2014093.83   | 0.16%             | 2054-05-20      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GNMA_24-97                     | CUSIP: 38384PRM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18511651 | PA      | $3050338.77   | 0.24%             | 2054-06-20      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | GNMA_25-39                     | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6050414 | PA      | $6055439.65   | 0.48%             | 2055-03-20      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| HTAP HTAP_24-1                                                   | HTAP_24-2                      | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6488240 | PA      | $6411454.54   | 0.50%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                      | HILT_16-SFP                    | CUSIP: 43289VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $487020.00    | 0.04%             | 2035-11-05      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                      | HILT_16-SFP                    | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $174941.34    | 0.01%             | 2035-11-05      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_21-2                          | HPA_21-2                       | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19198317 | PA      | $18358732.59  | 1.45%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM4                       | IMPRL_21-NQM4                  | CUSIP: 45276JAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6550817 | PA      | $5718630.96   | 0.45%             | 2057-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_24-1                                | MPOWR_24-A                     | CUSIP: 62476DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3061329.30   | 0.24%             | 2041-07-22      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_25-A                                | MPOWR_25-A                     | CUSIP: 624930AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2029019.40   | 0.16%             | 2042-07-21      | Fixed         | 8.47%                 | No            |                  2 | On Loan: No      |
| ENVA_23-A                                                        | ENVA_23-A                      | CUSIP: 64110XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442162 | PA      | $445045.57    | 0.04%             | 2027-12-20      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| ENVA_25-A                                                        | ENVA_25-A                      | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2999850.00   | 0.24%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  3 | On Loan: No      |
| NRZT_14-1A                                                       | NRZT_14-1A                     | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6392040 | PA      | $288797.46    | 0.02%             | 2054-01-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3                 | NRZT_19-RPL3                   | CUSIP: 64830NAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12000000 | PA      | $9080506.80   | 0.71%             | 2059-07-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NRZT_22-NQM2                   | CUSIP: 64831MAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4420000 | PA      | $3474094.36   | 0.27%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD COLLATERALIZED NOTES NZES_21-GNT1              | NZES_21-GNT1                   | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1648686 | PA      | $1573174.90   | 0.12%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| OBX TRUST OBX_22-NQM3                                            | OBX_22-NQM3                    | CUSIP: 67116KAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5264000 | PA      | $4170853.55   | 0.33%             | 2062-01-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM_24-RCF1                   | CUSIP: 693581AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3600000 | PA      | $3418820.64   | 0.27%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM_24-RCF1                   | CUSIP: 693581AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2700000 | PA      | $2536184.52   | 0.20%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC1                                        | PRKCM_22-AFC1                  | CUSIP: 69377CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3730111 | PA      | $3509189.88   | 0.28%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_22-NQM1                                            | PRPM_22-NQM1                   | CUSIP: 69378KAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6000000 | PA      | $5884729.20   | 0.46%             | 2067-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2               | PRPM_23-RCF2                   | CUSIP: 69380RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4724338.00   | 0.37%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-2                                               | PRPM_25-2                      | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3000000 | PA      | $2984714.40   | 0.23%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-8                         | PAID_23-8                      | CUSIP: 694960AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     735384 | PA      | $746325.36    | 0.06%             | 2031-06-16      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-2                         | PAID_24-2                      | CUSIP: 694961AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8729534 | PA      | $8782975.83   | 0.69%             | 2031-08-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-10                        | PAID_24-10                     | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3501736 | PA      | $3522512.70   | 0.28%             | 2032-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-2                         | PAID_21-2                      | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275937 | PA      | $273125.39    | 0.02%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-6                         | PAID_23-6                      | CUSIP: 69547UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2599333 | PA      | $2613969.16   | 0.21%             | 2031-06-16      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-3                         | PAID_24-3                      | CUSIP: 69547XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3566293 | PA      | $3600973.06   | 0.28%             | 2031-10-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-3                         | PAID_24-3                      | CUSIP: 69547XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4797758 | PA      | $4830743.26   | 0.38%             | 2031-10-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-3                         | PAID_23-3                      | CUSIP: 69548BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23714 | PA      | $23739.28     | 0.00%             | 2030-12-16      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | PAID_22-5                      | CUSIP: 69548HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707213 | PA      | $710456.27    | 0.06%             | 2030-06-17      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_21-4                        | PSTAT_21-4A                    | CUSIP: 69702HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $12011556.00  | 0.95%             | 2029-10-15      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| PNT_21-1                                                         | PNT_21-1                       | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4530388 | PA      | $4487782.01   | 0.35%             | 2052-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                      | CUSIP: 3620AYKE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     217447 | PA      | $218240.51    | 0.02%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                      | CUSIP: 36213J7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      25829 | PA      | $26613.09     | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                     | CUSIP: 36296UM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     791683 | PA      | $786301.06    | 0.06%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL4                                                     | PRET_24-NPL4                   | CUSIP: 74143RAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2003194.40   | 0.16%             | 2054-07-25      | Variable      | 9.44%                 | No            |                  2 | On Loan: No      |
| RUN_22-NQM1                                                      | RUN_22-NQM1                    | CUSIP: 74981CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $3945724.50   | 0.31%             | 2067-03-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121             | GNMA_12-121                    | CUSIP: 38375G5P2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1679987 | PA      | $225378.22    | 0.02%             | 2042-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-131                    | CUSIP: 38379E4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3184287 | PA      | $194402.94    | 0.02%             | 2039-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-131                    | CUSIP: 38379EZ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8532217 | PA      | $1073444.25   | 0.08%             | 2044-09-16      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_15-175                    | CUSIP: 38379FL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7873497 | PA      | $564821.08    | 0.04%             | 2038-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21              | GNMA_18-21                     | CUSIP: 38380K4X0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5934531 | PA      | $803084.41    | 0.06%             | 2048-02-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170             | GNMA_17-170                    | CUSIP: 38380KTP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5200432 | PA      | $604579.83    | 0.05%             | 2047-11-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I RPM_21-2A             | RPM_21-2A                      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1695359 | PA      | $1655935.85   | 0.13%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST SGR_19-3                           | SGR_19-3                       | CUSIP: 78432BAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4224000 | PA      | $4146947.90   | 0.33%             | 2059-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | GNMA_20-19                     | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17543002 | PA      | $804064.22    | 0.06%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | GNMA_19-102                    | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12452088 | PA      | $604306.07    | 0.05%             | 2060-03-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118             | GNMA_19-118                    | CUSIP: 38380NMV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15767334 | PA      | $758506.53    | 0.06%             | 2061-06-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131             | GNMA_19-131                    | CUSIP: 38380NPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   24307013 | PA      | $1385954.26   | 0.11%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134             | GNMA_19-134                    | CUSIP: 38380NSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   16386135 | PA      | $693764.39    | 0.05%             | 2061-08-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139             | GNMA_19-139                    | CUSIP: 38380NTH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17254689 | PA      | $738303.99    | 0.06%             | 2061-11-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1               | GNMA_18-1                      | CUSIP: 38380UA94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6406245 | PA      | $780329.35    | 0.06%             | 2048-01-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40              | GNMA_18-40                     | CUSIP: 38380V6B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3695309 | PA      | $422966.90    | 0.03%             | 2048-03-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63              | GNMA_18-63                     | CUSIP: 38380WWB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4215067 | PA      | $483389.00    | 0.04%             | 2048-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97              | GNMA_18-97                     | CUSIP: 38380XJ99<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4972052 | PA      | $525927.73    | 0.04%             | 2048-07-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)          | CUSIP: 21H020667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $9636858.36   | 0.76%             | 2055-06-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)          | CUSIP: 21H030666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17000000 | PA      | $14807911.54  | 1.17%             | 2055-06-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)          | CUSIP: 21H042661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   65000000 | PA      | $61314462.30  | 4.83%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SFO COMMERICAL MORTGAGE TRUST SFO_21-555                         | SFO_21-555                     | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3662988.53   | 0.29%             | 2038-05-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG4            | GRADE_23-FIG4                  | CUSIP: 79581UAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3215775 | PA      | $5539467.63   | 0.44%             | 2053-11-25      | Variable      | 49.38%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4947256 | PA      | $4643563.01   | 0.37%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                | CUSIP: 3132QT6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3082553 | PA      | $2868485.22   | 0.23%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                | CUSIP: 3132QTYQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     988323 | PA      | $923308.71    | 0.07%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR                | CUSIP: 3132WHN76<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3319135 | PA      | $3015470.79   | 0.24%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD SNDPT_13-3RA                                 | SNDPT_13-3RA                   | CUSIP: 83609YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   10000000 | PA      | $10013520.00  | 0.79%             | 2031-04-18      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                      | STWH_21-NPB1                   | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     152392 | PA      | $152305.70    | 0.01%             | 2026-10-16      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_22-3                                  | THRM_22-3A                     | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273042 | PA      | $273722.45    | 0.02%             | 2029-04-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL1                               | TRK_24-RRTL1                   | CUSIP: 89054YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $4031780.80   | 0.32%             | 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        |     183617 | PA      | $0.18         | 0.00%             | 2028-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VENDE_98-3                                                       | VENDE_98-3                     | CUSIP: 911760LZ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     209420 | PA      | $0.21         | 0.00%             | 2029-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNLOCK HEA TRUST UNLOK_23-1                                      | UNLOK_23-1                     | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3191607 | PA      | $3190952.30   | 0.25%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST1                          | UPSPT_21-ST1                   | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43523 | PA      | $43448.83     | 0.00%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UATSP_25-1GS                                                     | UATSP_25-1GS                   | CUSIP: 91684D103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19500 | PA      | $6708585.00   | 0.53%             | 2030-02-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPST_24-1                      | CUSIP: 91684NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100000 | PA      | $5124107.12   | 0.40%             | 2034-11-20      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                     | CUSIP: 36201G2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      77405 | PA      | $80355.88     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                     | CUSIP: 36202FJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2011952 | PA      | $2006336.79   | 0.16%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                      | CUSIP: 3620AETC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     364239 | PA      | $365568.32    | 0.03%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                      | CUSIP: 3620AYKB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     392828 | PA      | $394261.68    | 0.03%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  100000000 | OU      | $523360.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  150000000 | OU      | $3311400.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  100000000 | OU      | $559270.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US 5YR NOTE SEP 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       2598 | NC      | $1578090.15   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | THREE-MONTH SOFR FUTURE MAR 25 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       -872 | NC      | $565315.81    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | THREE-MONTH SOFR FUTURE MAR 26 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        872 | NC      | $210615.67    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 2YR NOTE SEP 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -1268 | NC      | $-332702.91   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 10YR NOTE SEP 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -2646 | NC      | $-3271845.15  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US LONG BOND SEP 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       -543 | NC      | $-1393876.11  | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US ULTRA T-BOND SEP 25         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         -4 | NC      | $-12473.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-23

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer