# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001145549-23-002146
**Filing Date:** 2023-1
**Character Count:** 125608
**Document Hash:** 797a385d21124d20dbdc1653be5e3d4e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002146.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002146

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Series Trust II
- **CENTRAL INDEX KEY:** 0001352280
- **IRS NUMBER:** 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:** 23546550

**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           |
| C000121133 | Columbia Quality Income Fund Advisor Class         | CUVRX           |
| C000121134 | Columbia Quality Income Fund Institutional 2 Class | CGVRX           |
| C000149222 | Columbia Quality Income Fund Institutional 3 Class | CUGYX           |
| C000169181 | Columbia Quality Income Fund Class R               | CUGUX           |

## 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:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1990629672.49

**Total Liabilities:** $502997794.53

**Net Assets:** $1487631877.96

**Delayed Delivery Securities:** $480729544.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 278731.240400000000 | **1-Year:** 1.097800000000 | **5-Year:** 21205.424100000000 | **10-Year:** 54062.592000000000 | **30-Year:** 435250.650900000000

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

- **3-Month:** 110200.755800000000 | **1-Year:** 218963.518300000000 | **5-Year:** 39959.525900000000 | **10-Year:** 93501.313600000000 | **30-Year:** 51387.785400000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000097356 | -6.80%               | -3.07%               | 4.58%                |
| Class ID C000097358 | -6.85%               | -3.12%               | 4.51%                |
| Class ID C000097361 | -6.73%               | -3.05%               | 4.60%                |
| Class ID C000121133 | -6.78%               | -3.05%               | 4.60%                |
| Class ID C000121134 | -6.77%               | -3.04%               | 4.61%                |
| Class ID C000149222 | -6.75%               | -3.05%               | 4.63%                |
| Class ID C000169181 | -6.77%               | -3.14%               | 4.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-28083793.63            | $-45483152.28                              |
| Month 2  | $-13612495.84            | $-20184795.15                              |
| Month 3  | $-7279578.12             | $55248210.89                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3138ER2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   16754567 | PA      | $15145369.12  | 1.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3138ERR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   25472460 | PA      | $23035487.52  | 1.55%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3138ERRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   10421089 | PA      | $9424654.30   | 0.63%             | 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        |    5703900 | PA      | $162147.62    | 0.01%             | 2035-05-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                             | FNMA_06-5                     | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3008403 | PA      | $30.08        | 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        |    6872714 | PA      | $1356523.96   | 0.09%             | 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        |    4804197 | PA      | $493622.08    | 0.03%             | 2037-06-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3140FEDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4330232 | PA      | $4052310.18   | 0.27%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3140FG4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5862780 | PA      | $5508975.95   | 0.37%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3140FG6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4512625 | PA      | $4240294.56   | 0.29%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR                    | CUSIP: 31292LGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3238626 | PA      | $3058349.25   | 0.21%             | 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        |    3474127 | PA      | $363900.88    | 0.02%             | 2042-07-15      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3140FNGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5864844 | PA      | $5486393.36   | 0.37%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                | CUSIP: 3140L3K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   22476847 | PA      | $18579756.51  | 1.25%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE_MAC FHLMC_304                                            | FHLMC_304                     | CUSIP: 31325UQS8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1384955 | PA      | $269608.01    | 0.02%             | 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        |    4772604 | PA      | $489273.52    | 0.03%             | 2043-08-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                | CUSIP: 3140QB4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15122686 | PA      | $13547008.89  | 0.91%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER          | CUSIP: 3140X4DQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5009044 | PA      | $4677195.25   | 0.31%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER          | CUSIP: 3140X5AK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   16056098 | PA      | $15511927.90  | 1.04%             | 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        |   16928780 | PA      | $15102779.72  | 1.02%             | 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        |   19452962 | PA      | $16292488.84  | 1.10%             | 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        |   18338028 | PA      | $15961128.69  | 1.07%             | 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        |   30741425 | PA      | $25435665.15  | 1.71%             | 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        |   53607363 | PA      | $44598958.67  | 3.00%             | 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        |   26347588 | PA      | $23045800.63  | 1.55%             | 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        |    9829265 | PA      | $8870589.38   | 0.60%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 15YR UMBS SUPER          | CUSIP: 3140XGYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   19498832 | PA      | $18065497.07  | 1.21%             | 2037-04-01      | 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        |   25562625 | PA      | $2783675.27   | 0.19%             | 2051-03-20      | Variable      | 2.36%                 | 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        |   21774567 | PA      | $3270600.87   | 0.22%             | 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        |   22554109 | PA      | $3526350.66   | 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        |   20047731 | PA      | $2614139.97   | 0.18%             | 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        |   18870065 | PA      | $2676413.00   | 0.18%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |   23296692 | PA      | $3958949.00   | 0.27%             | 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        |   18865345 | PA      | $3065007.34   | 0.21%             | 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        |   14660499 | PA      | $2171092.33   | 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        |   25281505 | PA      | $3649511.60   | 0.25%             | 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        |   22361976 | PA      | $2803373.34   | 0.19%             | 2051-09-20      | Variable      | 2.36%                 | 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        |   25260545 | PA      | $3929944.68   | 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        |  163728004 | PA      | $931514.10    | 0.06%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                      | HILT_16-SFP                   | CUSIP: 43289VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4565883.50   | 0.31%             | 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      | $8022899.01   | 0.54%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST HILT_16-HHV                                     | HILT_16-HHV                   | CUSIP: 43300LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8395000 | PA      | $7306437.14   | 0.49%             | 2038-11-05      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST HILT_16-HHV                                     | HILT_16-HHV                   | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15500000 | PA      | $13123555.50  | 0.88%             | 2038-11-05      | Variable      | 4.33%                 | 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        |   19469027 | PA      | $16627452.55  | 1.12%             | 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        |    8448631 | PA      | $6387765.75   | 0.43%             | 2057-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_21-HT | JPMCC_21-HTL5                 | CUSIP: 46654PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6990000 | PA      | $6395037.76   | 0.43%             | 2038-11-15      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT1                                | BVRT_21-CRT1                  | CUSIP: 512366AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9412225 | PA      | $8949613.68   | 0.60%             | 2033-01-10      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR4                          | PROG_19-SFR4                  | CUSIP: 74331AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10396683.00  | 0.70%             | 2036-10-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                          | PROG_20-SFR1                  | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $7202858.40   | 0.48%             | 2037-04-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                          | PROG_19-SFR3                  | CUSIP: 74332WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4677318.50   | 0.31%             | 2036-09-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_19-SFR3                          | PROG_19-SFR3                  | CUSIP: 74332WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2604000 | PA      | $2438544.96   | 0.16%             | 2036-09-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| REDDING RIDGE ASSET MANAGEMENT RRAM_18-4A                        | RRAM_18-4A                    | CUSIP: 74979KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $5875359.00   | 0.39%             | 2030-04-15      | Variable      | 9.93%                 | No            |                  2 | On Loan: No      |
| REDDING RIDGE ASSET MANAGEMENT RRAM_18-3A                        | RRAM_18-3A                    | CUSIP: 74988LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6279624.00   | 0.42%             | 2030-01-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| RADNOR RE LTD RMIR_20-1                                          | RMIR_20-1                     | CUSIP: 750493AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7400000 | PA      | $7163081.60   | 0.48%             | 2030-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-2                                        | RMIR_21-2                     | CUSIP: 75049GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2261167 | PA      | $2236830.48   | 0.15%             | 2031-11-25      | Variable      | 4.85%                 | 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        |    5707953 | PA      | $5014718.84   | 0.34%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| REDDING RIDGE ASSET MANAGMENT RR                                 | RRAM_17-1A                    | CUSIP: 78108YAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    7800000 | PA      | $7453968.60   | 0.50%             | 2035-07-15      | Variable      | 5.68%                 | 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      | $3985665.45   | 0.27%             | 2059-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TURST GRADE_20-FIG1            | GRADE_20-FIG1                 | CUSIP: 795811AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2218157 | PA      | $2172277.10   | 0.15%             | 2050-09-25      | Fixed         | 3.57%                 | 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      | $9393270.00   | 0.63%             | 2031-04-18      | Variable      | 5.94%                 | 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        |    7214268 | PA      | $6241188.68   | 0.42%             | 2026-10-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| STONN_20-1                                                       | STONN_20-1                    | CUSIP: 86207LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1530955 | PA      | $1530954.99   | 0.10%             | 2024-07-28      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_21-1                                  | THRM_21-1A                    | CUSIP: 88339VAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3702670.00   | 0.25%             | 2027-12-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_22-1                                  | THRM_22-1A                    | CUSIP: 88339XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5670000 | PA      | $5329512.53   | 0.36%             | 2028-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                            | FHLMC_318                     | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5057698 | PA      | $538616.53    | 0.04%             | 2043-11-15      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                            | FHLMC_326                     | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1718853 | PA      | $176801.23    | 0.01%             | 2044-03-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_20-1                                   | TRK_20-1                      | CUSIP: 89052XAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $6895000.00   | 0.46%             | 2023-03-25      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2                | TMIR_21-2                     | CUSIP: 89600GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   10000000 | PA      | $9874927.00   | 0.66%             | 2033-10-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS MIRROR        | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   11156120 | PA      | $10824675.37  | 0.73%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DNPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   19740499 | PA      | $18789858.77  | 1.26%             | 2052-07-01      | 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        |   23709459 | PA      | $20575646.43  | 1.38%             | 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        |   29995586 | PA      | $26827994.35  | 1.80%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR               | CUSIP: 3132GGAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1888509 | PA      | $1895352.22   | 0.13%             | 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        |    2328740 | PA      | $2199088.38   | 0.15%             | 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        |    8664578 | PA      | $8162162.24   | 0.55%             | 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        |   11046813 | PA      | $9963859.51   | 0.67%             | 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        |    4521322 | PA      | $4251691.78   | 0.29%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR               | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5843026 | PA      | $5713618.34   | 0.38%             | 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        |    3543536 | PA      | $3426190.34   | 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        |    1440526 | PA      | $1397144.43   | 0.09%             | 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        |    4324870 | PA      | $4068452.16   | 0.27%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FHLMC GOLD 30YR GIANT         | CUSIP: 31335AH43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7295128 | PA      | $6846432.09   | 0.46%             | 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        |    6458988 | PA      | $5828923.65   | 0.39%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                                           | FNMA_12-129                   | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1497905 | PA      | $72255.80     | 0.00%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-134                                           | FNMA_12-134                   | CUSIP: 3136AAPZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     719849 | PA      | $14354.30     | 0.00%             | 2040-07-25      | 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        |    1508972 | PA      | $52071.74     | 0.00%             | 2040-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA_13-97                                                       | FNMA_13-97                    | CUSIP: 3136AGDG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1217528 | PA      | $23032.83     | 0.00%             | 2032-06-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                            | FNMA_14-93                    | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7562703 | PA      | $901583.84    | 0.06%             | 2045-01-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                            | FNMA_16-42                    | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13770552 | PA      | $1697462.88   | 0.11%             | 2046-07-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                            | FNMA_16-37                    | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9767377 | PA      | $1189862.85   | 0.08%             | 2046-06-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-101                                           | FNMA_16-101                   | CUSIP: 3136AU3F6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15362623 | PA      | $1857851.19   | 0.12%             | 2047-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                             | FNMA_17-3                     | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11375823 | PA      | $1308724.74   | 0.09%             | 2047-02-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-T1                                            | FNMA_17-T1                    | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17890988 | PA      | $16835188.93  | 1.13%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                            | FNMA_17-51                    | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9424072 | PA      | $1105356.92   | 0.07%             | 2047-07-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FNMA_17-72                    | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29791358 | PA      | $1275856.61   | 0.09%             | 2047-09-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FNMA_17-72                    | CUSIP: 3136AXV44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5296421 | PA      | $4833559.72   | 0.32%             | 2047-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_17-M15                                      | FNMA_17-M15                   | CUSIP: 3136AY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13446469 | PA      | $12722180.12  | 0.86%             | 2027-11-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                            | FNMA_17-90                    | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6998080 | PA      | $798034.43    | 0.05%             | 2047-11-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                            | FNMA_19-33                    | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19605251 | PA      | $2232563.65   | 0.15%             | 2049-07-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-57                                            | FNMA_19-57                    | CUSIP: 3136B6PZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11892224 | PA      | $1264897.38   | 0.09%             | 2049-10-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-77                                            | FNMA_19-77                    | CUSIP: 3136B7K26<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15820444 | PA      | $1884028.25   | 0.13%             | 2050-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                            | FNMA_20-40                    | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17425689 | PA      | $2684542.41   | 0.18%             | 2050-06-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                                       | FNMA_20-55                    | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20254662 | PA      | $3186904.91   | 0.21%             | 2050-08-25      | Fixed         | 2.50%                 | 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        |   15547637 | PA      | $2848516.71   | 0.19%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENDE_98-1                                                       | VENDE_98-1                    | CUSIP: 911760LJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     438255 | PA      | $0.44         | 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        |     500790 | PA      | $0.50         | 0.00%             | 2029-03-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-2                           | UPST_21-2                     | CUSIP: 91680FAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3793244.00   | 0.25%             | 2031-06-20      | Fixed         | 1.75%                 | 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        |    2164040 | PA      | $2054791.56   | 0.14%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER          | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   39394585 | PA      | $37609686.02  | 2.53%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 31410LFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2801628 | PA      | $2870723.21   | 0.19%             | 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        |    3141990 | PA      | $3133436.68   | 0.21%             | 2036-03-01      | Fixed         | 4.50%                 | 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        |    7297601 | PA      | $589244.03    | 0.04%             | 2049-02-20      | Variable      | 2.11%                 | 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        |    7147760 | PA      | $943659.46    | 0.06%             | 2049-02-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                       | GNMA_19-43                    | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13697270 | PA      | $1354450.46   | 0.09%             | 2049-04-20      | Variable      | 2.16%                 | 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        |   16093158 | PA      | $2893853.96   | 0.19%             | 2049-04-16      | Variable      | 2.16%                 | 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        |   17879942 | PA      | $2031047.04   | 0.14%             | 2049-07-20      | Variable      | 2.16%                 | 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        |    8206928 | PA      | $690554.71    | 0.05%             | 2049-09-20      | Variable      | 2.16%                 | 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        |   14543149 | PA      | $1621075.38   | 0.11%             | 2049-09-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120             | GNMA_19-120                   | CUSIP: 38381YSP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19398072 | PA      | $518483.31    | 0.03%             | 2049-09-20      | Variable      | 0.00%                 | 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        |   19508243 | PA      | $946524.37    | 0.06%             | 2062-02-16      | Variable      | 0.62%                 | 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        |   13332596 | PA      | $1558513.81   | 0.10%             | 2050-07-20      | Variable      | 2.26%                 | 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        |   14395373 | PA      | $1689888.71   | 0.11%             | 2050-08-20      | Variable      | 2.31%                 | 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        |   20426446 | PA      | $2343799.90   | 0.16%             | 2050-08-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-133                                           | FNMA_12-133                   | CUSIP: 3136AAXT7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     417207 | PA      | $9248.60      | 0.00%             | 2031-07-25      | 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        |    1952124 | PA      | $208737.34    | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-6                                             | FNMA_13-6                     | CUSIP: 3136ABP72<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      50254 | PA      | $23.91        | 0.00%             | 2040-02-25      | 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        |    1747334 | PA      | $243705.69    | 0.02%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                      | GNMA_18-155                   | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8358822 | PA      | $831606.70    | 0.06%             | 2048-11-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-147             | GNMA_18-147                   | CUSIP: 38381AHF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10719925 | PA      | $1029168.53   | 0.07%             | 2048-10-20      | Variable      | 2.26%                 | 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        |    4008409 | PA      | $372146.75    | 0.03%             | 2048-10-20      | Variable      | 2.21%                 | 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        |   13509724 | PA      | $2002486.93   | 0.13%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | GNMA_20-138                   | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   30112434 | PA      | $3993586.23   | 0.27%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-142             | GNMA_20-142                   | CUSIP: 38382JPZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9233066 | PA      | $1300039.75   | 0.09%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-129             | GNMA_20-129                   | CUSIP: 38382JYN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25206047 | PA      | $3273252.25   | 0.22%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | GNMA_20-175                   | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21344592 | PA      | $2984450.02   | 0.20%             | 2050-11-20      | 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        |   10425403 | PA      | $1300794.25   | 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        |   21798950 | PA      | $2849691.78   | 0.19%             | 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        |   18869122 | PA      | $2967412.91   | 0.20%             | 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        |   19357968 | PA      | $3041893.65   | 0.20%             | 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        |   39628620 | PA      | $6074120.36   | 0.41%             | 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        |   13169737 | PA      | $1691489.41   | 0.11%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4148                                           | FHLMC_4148                    | CUSIP: 3137AWQZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      27491 | PA      | $79.95        | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                                           | FHLMC_4139                    | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2108941 | PA      | $203786.98    | 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        |    1203860 | PA      | $59660.04     | 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        |    3819623 | PA      | $626151.63    | 0.04%             | 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        |     373286 | PA      | $17848.42     | 0.00%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-129             | GNMA_12-129                   | CUSIP: 38378GHQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     795224 | PA      | $10866.42     | 0.00%             | 2037-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-131                   | CUSIP: 38379E4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5333262 | PA      | $495493.07    | 0.03%             | 2039-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR_4286                                                         | FHLMC_4286                    | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2148469 | PA      | $284240.27    | 0.02%             | 2043-12-15      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                                           | FHLMC_4594                    | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4469734 | PA      | $530058.60    | 0.04%             | 2046-06-15      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                            | FHLMC_4620                    | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4275784 | PA      | $193178.65    | 0.01%             | 2042-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4935                                           | FHLMC_4935                    | CUSIP: 3137FQ4U4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7953746 | PA      | $990006.78    | 0.07%             | 2049-12-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-131                   | CUSIP: 38379EZ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10244436 | PA      | $1496480.53   | 0.10%             | 2044-09-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_15-175                   | CUSIP: 38379FL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12170952 | PA      | $1220168.41   | 0.08%             | 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        |    7679701 | PA      | $895025.34    | 0.06%             | 2048-02-20      | Variable      | 2.26%                 | 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        |    6914456 | PA      | $673929.90    | 0.05%             | 2047-11-20      | Variable      | 2.26%                 | 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        |   19572726 | PA      | $1063315.77   | 0.07%             | 2061-12-16      | Variable      | 0.70%                 | 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        |   13047223 | PA      | $768270.05    | 0.05%             | 2060-03-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-109             | GNMA_19-109                   | CUSIP: 38380NMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   24517611 | PA      | $1413268.63   | 0.10%             | 2060-04-16      | Variable      | 0.80%                 | 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        |   19793612 | PA      | $989146.15    | 0.07%             | 2061-06-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_4965                                    | FHLMC_4965                    | CUSIP: 3137FRWS6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5855025 | PA      | $586897.78    | 0.04%             | 2050-04-25      | Variable      | 1.83%                 | 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        |   14628119 | PA      | $1677049.52   | 0.11%             | 2050-05-25      | Variable      | 2.08%                 | 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        |   12734166 | PA      | $1872365.58   | 0.13%             | 2050-06-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FHLMC_4993                    | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16185798 | PA      | $2459603.51   | 0.17%             | 2050-07-25      | Variable      | 2.03%                 | 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        |   21362508 | PA      | $4068995.86   | 0.27%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3138A2UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2032266 | PA      | $2037413.31   | 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        |    1574977 | PA      | $1578968.77   | 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        |    1738752 | PA      | $1698434.23   | 0.11%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3138EGEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2623474 | PA      | $2556952.66   | 0.17%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 3138EGFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1410999 | PA      | $1482477.41   | 0.10%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -120000000 | OU      | $-3916680.00  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 0 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  -70750000 | OU      | $-212462.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -110000000 | OU      | $-701657.00   | -0.05%            |  |  |  | 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        |    5000000 | PA      | $4857165.00   | 0.33%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_20-4A                       | PSTAT_20-4A                   | CUSIP: 69701QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2830692.00   | 0.19%             | 2028-11-25      | Variable      | 11.81%                | 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      | $11290680.00  | 0.76%             | 2029-10-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| PNT_21-1                                                         | PNT_21-1                      | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7481694 | PA      | $7145621.82   | 0.48%             | 2052-02-25      | Variable      | 3.23%                 | 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        |   25485224 | PA      | $1440218.44   | 0.10%             | 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        |   17470017 | PA      | $795399.41    | 0.05%             | 2061-08-16      | Variable      | 0.65%                 | 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        |   19914679 | PA      | $921225.16    | 0.06%             | 2061-11-16      | Variable      | 0.65%                 | 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        |    8463064 | PA      | $838951.97    | 0.06%             | 2048-01-20      | Variable      | 2.26%                 | 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        |    4945307 | PA      | $449668.82    | 0.03%             | 2048-03-20      | Variable      | 2.26%                 | 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        |    5476776 | PA      | $511721.48    | 0.03%             | 2048-04-20      | Variable      | 2.26%                 | 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        |    6459468 | PA      | $581123.41    | 0.04%             | 2048-07-20      | Variable      | 2.26%                 | 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        |    7518215 | PA      | $876865.25    | 0.06%             | 2048-05-20      | Variable      | 2.26%                 | 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        |    6357616 | PA      | $549841.57    | 0.04%             | 2048-08-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                     | CUSIP: 36213J7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      42510 | PA      | $43917.37     | 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        |    1078016 | PA      | $1113201.71   | 0.07%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLEBE FUNDING TRUST GLEBE_21-1                                   | GLEBE_21-1                    | CUSIP: 377353AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6664658 | PA      | $5998192.11   | 0.40%             | 2023-10-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121             | GNMA_12-121                   | CUSIP: 38375G5P2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3062366 | PA      | $479447.40    | 0.03%             | 2042-09-16      | Fixed         | 4.50%                 | 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        |   22161157 | PA      | $2958060.10   | 0.20%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                                           | FHLMC_4068                    | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2933218 | PA      | $152231.66    | 0.01%             | 2036-09-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4107                                           | FHLMC_4107                    | CUSIP: 3137AUG60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2712487 | PA      | $84545.51     | 0.01%             | 2038-06-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4122                                           | FHLMC_4122                    | CUSIP: 3137AUZB8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      90268 | PA      | $723.51       | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | 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        |    5435692 | PA      | $4786618.89   | 0.32%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD OZLMF_13-4A                                     | OZLMF_13-4A                   | CUSIP: 67108HAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2317284.75   | 0.16%             | 2030-10-22      | Variable      | 11.57%                | No            |                  2 | On Loan: No      |
| OZLM LTD OZLM_15-11A                                             | OZLM_15-11A                   | CUSIP: 67109UAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6710522.00   | 0.45%             | 2030-10-30      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST PMTCR_19-2R                       | PMTCR_19-2R                   | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1980159 | PA      | $1873626.28   | 0.13%             | 2023-05-27      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT1                             | PNMSR_18-GT1                  | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   26500000 | PA      | $25707146.50  | 1.73%             | 2023-02-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT2                             | PNMSR_18-GT2                  | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   26500000 | PA      | $25291854.40  | 1.70%             | 2025-08-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                               | PRPM_21-1                     | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8535151 | PA      | $7779463.54   | 0.52%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                        | PRPM_21-3                     | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5767893 | PA      | $5069910.49   | 0.34%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_22-NPL1                                            | PRET_22-NPL1                  | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4116756 | PA      | $3704970.98   | 0.25%             | 2052-01-25      | Variable      | 2.98%                 | 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        |    4745868 | PA      | $4410674.40   | 0.30%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-1                         | PAID_22-1                     | CUSIP: 69546MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9998678 | PA      | $8811542.67   | 0.59%             | 2029-10-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-3                         | PAID_21-3                     | CUSIP: 69546RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4549752 | PA      | $4130083.64   | 0.28%             | 2029-05-15      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | PAID_21-5                     | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5290323 | PA      | $5086691.97   | 0.34%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                         | PAID_21-1                     | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1492423 | PA      | $1464561.47   | 0.10%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                         | PAID_21-1                     | CUSIP: 69547JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8846353 | PA      | $7962970.67   | 0.54%             | 2027-11-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  15YR TBA(REG B)         | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   36000000 | PA      | $33877786.32  | 2.28%             | 2037-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)         | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   46000000 | PA      | $40707693.56  | 2.74%             | 2052-12-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)         | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   87500000 | PA      | $80089843.75  | 5.38%             | 2052-12-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)         | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  115000000 | PA      | $111927343.75 | 7.52%             | 2052-12-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)         | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   57000000 | PA      | $56715000.00  | 3.81%             | 2052-12-13      | Fixed         | 5.00%                 | 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      | $7554288.00   | 0.51%             | 2031-01-20      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH        | BBCMS_18-BXH                  | CUSIP: 05491RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4490000 | PA      | $4174456.27   | 0.28%             | 2037-10-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_19-OC11                                              | BX_19-OC11                    | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $1905017.35   | 0.13%             | 2041-12-09      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-3F                                  | BVRT_21-3F                    | CUSIP: 07335NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10000000.00  | 0.67%             | 2033-07-12      | Variable      | 4.19%                 | No            |                  3 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_19-4A                                     | BMIR_19-4A                    | CUSIP: 07876LAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4587081 | PA      | $4575920.87   | 0.31%             | 2029-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_19-1A                                     | BMIR_19-1A                    | CUSIP: 07876RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     321806 | PA      | $321239.88    | 0.02%             | 2029-03-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_19-3A                                      | BMIR_19-3A                    | CUSIP: 07877GAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6299000 | PA      | $6230204.84   | 0.42%             | 2029-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME                       | BHR_18-PRME                   | CUSIP: 10482TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6214573.95   | 0.42%             | 2035-06-15      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA BX_18-GW                  | BX_18-GW                      | CUSIP: 12433UAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3830000 | PA      | $3647678.60   | 0.25%             | 2037-05-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA BX_18-GW                  | BX_18-GW                      | CUSIP: 12433UAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6658806.70   | 0.45%             | 2035-05-15      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                   | CUSIP: 12649AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4050000 | PA      | $2121566.99   | 0.14%             | 2037-09-15      | Fixed         | 4.37%                 | 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        |    7907558 | PA      | $7294637.02   | 0.49%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR1                                             | CIM_21-NR1                    | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4088358 | PA      | $3835491.97   | 0.26%             | 2055-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CSMC_21-JR2                                                      | CSMC_21-JR2                   | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3305025 | PA      | $3104576.94   | 0.21%             | 2061-11-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| CGMS_13-3A                                                       | CGMS_13-3A                    | CUSIP: 14310GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    6750000 | PA      | $6243837.75   | 0.42%             | 2030-10-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR4                                             | CIM_21-NR4                    | CUSIP: 12566DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3539022 | PA      | $3240081.60   | 0.22%             | 2061-10-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                   | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10400000 | PA      | $6862789.44   | 0.46%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                                 | CGMS_13-4A                    | CUSIP: 14310KAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   14725000 | PA      | $14001428.23  | 0.94%             | 2031-01-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CMLTI_09-11                                                      | CMLTI_09-11                   | CUSIP: 17314QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     292024 | PA      | $274517.05    | 0.02%             | 2037-02-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| CMLTI_14-A                                                       | CMLTI_14-A                    | CUSIP: 17322GAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     813550 | PA      | $761106.81    | 0.05%             | 2035-01-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                  | CUSIP: 17323TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3238113 | PA      | $3035437.74   | 0.20%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS THROUGH TRUST UPSPT_21-ST8                          | UPSPT_21-ST8                  | CUSIP: 91683LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5480559 | PA      | $5081583.27   | 0.34%             | 2029-10-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS THROUGH TRUST UPSPT_21-ST9                          | UPSPT_21-ST9                  | CUSIP: 91683MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4205690 | PA      | $3957189.68   | 0.27%             | 2029-11-20      | Fixed         | 1.70%                 | 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        |  120096969 | NS      | $120048929.75 | 8.07%             |  |  |  | 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      | $9260134.00   | 0.62%             | 2042-01-25      | Variable      | 6.52%                 | 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      | $4883697.00   | 0.33%             | 2060-01-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST VISIO_21-1R                                          | VISIO_21-1R                   | CUSIP: 92837UAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2864525 | PA      | $2576840.34   | 0.17%             | 2056-05-25      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_20-R01              | CAS_20-R01                    | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2567665 | PA      | $2522730.39   | 0.17%             | 2040-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-R01              | CAS_19-R01                    | CUSIP: 20754FAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11290000 | PA      | $10980968.99  | 0.74%             | 2031-07-25      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT               | WFCM_21-FCMT                  | CUSIP: 95003EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6225000 | PA      | $5887695.89   | 0.40%             | 2031-05-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.7.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -5000000 | OU      | $-1045312.50  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -20000000 | OU      | $-3534376.00  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1767188.00  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -5000000 | OU      | $-883594.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1767188.00  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01                   | CAS_22-R01                    | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $5938851.80   | 0.40%             | 2041-12-25      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-HRP1             | CAS_19-HRP1                   | CUSIP: 20754PAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2815486 | PA      | $2711345.78   | 0.18%             | 2039-11-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1767188.00  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   45560000 | OU      | $127540.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER UNDERLYING BOND SECURITIZATION SERIES CUBS_18-1         | CUBS_18-1                     | CUSIP: 21052GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2125964 | PA      | $2125041.74   | 0.14%             | 2026-02-17      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)         | CUSIP: 21H0306C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   47000000 | PA      | $42444518.42  | 2.85%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)         | CUSIP: 21H0406C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   30000000 | PA      | $28634765.40  | 1.92%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)         | CUSIP: 21H0526C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   31000000 | PA      | $31367659.38  | 2.11%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |   75000000 | OU      | $209955.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |   91220000 | OU      | $539383.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                           | ESA_21-ESH                    | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5857153 | PA      | $5549289.06   | 0.37%             | 2038-07-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FRESB MULTIFAMILY MORTGAGE PASS-THROUGH FRESB_18-SB45            | FRESB_18-SB45                 | CUSIP: 30308AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7618867 | PA      | $7195583.99   | 0.48%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   91220000 | OU      | $539383.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |  130000000 | OU      | $519428.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   90000000 | OU      | $1151244.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   33990000 | OU      | $466733.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  150000000 | OU      | $625035.00    | 0.04%             |  |  |  | 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        |    4435197 | PA      | $3827789.45   | 0.26%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-A                | LDPT_21-A                     | CUSIP: 52607FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8750000 | PA      | $8579507.13   | 0.58%             | 2028-12-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                    | CUSIP: 31412QNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3595616 | PA      | $3686107.28   | 0.25%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  15YR                    | CUSIP: 31412TCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       9377 | PA      | $9348.05      | 0.00%             | 2023-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2031828 | PA      | $2034090.43   | 0.14%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LOAN REVOLVING ADVANCE INVESTMENT TRUST LRAIT_21-2               | LRAIT_21-2                    | CUSIP: 53958V102<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4096951 | PA      | $4096950.80   | 0.28%             | 2023-06-30      | Variable      | 6.62%                 | No            |                  3 | On Loan: No      |
| MATR_21-1                                                        | MATR_21-1                     | CUSIP: 55283RAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4986390 | PA      | $4261804.87   | 0.29%             | 2023-11-29      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA  30YR                    | CUSIP: 31416VCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2057480 | PA      | $2121646.34   | 0.14%             | 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        |    2045042 | PA      | $2106469.45   | 0.14%             | 2040-08-01      | Fixed         | 5.00%                 | 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      | $16017716.00  | 1.08%             | 2030-10-21      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD                       | MSC_19-MEAD                   | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $4767230.05   | 0.32%             | 2036-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 20YR GIANT              | CUSIP: 3128CUTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1578069 | PA      | $1597981.03   | 0.11%             | 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        |    2435388 | PA      | $2509118.92   | 0.17%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZT_14-1A                                                       | NRZT_14-1A                    | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9480662 | PA      | $482151.39    | 0.03%             | 2054-01-25      | Variable      | 2.29%                 | 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      | $3220153.87   | 0.22%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD 30YR GIANT              | CUSIP: 3128M95V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5039646 | PA      | $4754772.43   | 0.32%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                                 | FGOLD  15YR                   | CUSIP: 3128PQCU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      10620 | PA      | $10760.60     | 0.00%             | 2024-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5493037 | PA      | $5356687.59   | 0.36%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 31417CNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5435486 | PA      | $5127201.68   | 0.34%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  -58500000 | OU      | $-231016.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   50000000 | OU      | $2503815.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   40000000 | OU      | $2003052.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  100000000 | OU      | $5894230.00   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   68970000 | OU      | $2863372.31   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR                     | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5691762 | PA      | $5305641.55   | 0.36%             | 2048-03-01      | Fixed         | 3.50%                 | 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      | $5350672.60   | 0.36%             | 2034-01-25      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US 5YR NOTE MAR 23            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       1072 | NC      | $701302.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US 10YR NOTE MAR 23           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -1433 | NC      | $-1290541.17  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA2                      | STACR_22-DNA2                 | CUSIP: 35564KSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7500000 | PA      | $6707787.75   | 0.45%             | 2042-02-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5                      | STACR_20-HQA5                 | CUSIP: 35565TAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7429412 | PA      | $7343443.70   | 0.49%             | 2050-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                         | US LONG BOND MAR 23           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        -17 | NC      | $-28459.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                         | US ULTRA T-BOND MAR 23        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        185 | NC      | $-211934.34   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GCAT LLC GCAT_21-CM1                                             | GCAT_21-CM1                   | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2520967 | PA      | $2380738.63   | 0.16%             | 2065-04-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR                    | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7598346 | PA      | $7551516.70   | 0.51%             | 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        |   26348274 | PA      | $22649346.23  | 1.52%             | 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        |   53151937 | PA      | $45685179.09  | 3.07%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA  30YR                    | CUSIP: 36201G2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      98160 | PA      | $101408.63    | 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        |    2592188 | PA      | $2668118.66   | 0.18%             | 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        |     440609 | PA      | $450312.32    | 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        |     465806 | PA      | $476068.78    | 0.03%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1                       | GNMA 30YR                     | CUSIP: 3620AYKE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     239313 | PA      | $243762.12    | 0.02%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-B                              | AJAXM_21-B                    | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5446863 | PA      | $4982679.06   | 0.33%             | 2066-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)         | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   25000000 | PA      | $20590820.25  | 1.38%             | 2052-12-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-22

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer