# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001145549-23-002144
**Filing Date:** 2023-1
**Character Count:** 137492
**Document Hash:** 810e77f6cc015bec65fd454cb5dbf0ee
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002144.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002144

**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:** 23546548

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

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

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

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

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

## Series and Classes Contracts Data

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

| Class ID   | Class Name                                                 | Ticker Symbol   |
|:---|:---|:---|
| C000140950 | Columbia Mortgage Opportunities Fund Class A               | CLMAX           |
| C000140951 | Columbia Mortgage Opportunities Fund Class C               | CLMCX           |
| C000140953 | Columbia Mortgage Opportunities Fund Advisor Class         | CLMFX           |
| C000140954 | Columbia Mortgage Opportunities Fund Institutional 2 Class | CLMVX           |
| C000140955 | Columbia Mortgage Opportunities Fund Institutional Class   | CLMZX           |
| C000175684 | Columbia Mortgage Opportunities Fund Institutional 3 Class | CMOYX           |

## 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 Mortgage Opportunities Fund

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

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

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

- **a. Date of fiscal year-end:** 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:** $4922062742.56

**Total Liabilities:** $2348593581.37

**Net Assets:** $2573469161.19

**Delayed Delivery Securities:** $1916846322.49

**Cash Not Reported:** $117709.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1174676.768100000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 1681.808300000000 | **30-Year:** 274664.366000000000

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

- **3-Month:** 259984.910100000000 | **1-Year:** 675213.802100000000 | **5-Year:** 61468.810300000000 | **10-Year:** 371662.842700000000 | **30-Year:** 317625.400700000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000140950 | -7.54%               | -4.51%               | 3.26%                |
| Class ID C000140951 | -7.71%               | -4.46%               | 3.08%                |
| Class ID C000140953 | -7.64%               | -4.38%               | 3.29%                |
| Class ID C000140954 | -7.64%               | -4.38%               | 3.29%                |
| Class ID C000140955 | -7.53%               | -4.50%               | 3.29%                |
| Class ID C000175684 | -7.63%               | -4.37%               | 3.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-35481194.54            | $-122844452.78                             |
| Month 2  | $-59125824.02            | $-28927153.69                              |
| Month 3  | $-55312224.67            | $110636796.07                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BELLEMEADE RE LTD BMIR_19-4A                              | BMIR_19-4A                    | CUSIP: 07876LAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17089000 | PA      | $16049835.00  | 0.62%             | 2029-10-25      | Variable      | 7.89%                 | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_21-1A                               | BMIR_21-1A                    | CUSIP: 07876MAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18000000 | PA      | $16655434.20  | 0.65%             | 2031-03-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_21-1A                               | BMIR_21-1A                    | CUSIP: 07876MAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3750000 | PA      | $3537003.38   | 0.14%             | 2031-03-25      | Variable      | 8.26%                 | 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        |     193083 | PA      | $192743.93    | 0.01%             | 2029-03-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_20-4                               | BMIR_20-4A                    | CUSIP: 07876UAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $3921178.00   | 0.15%             | 2030-06-25      | Variable      | 9.04%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_20-2A                               | BMIR_20-2A                    | CUSIP: 078782AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     237562 | PA      | $237539.77    | 0.01%             | 2030-08-26      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME                | BHR_18-PRME                   | CUSIP: 10482TAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10161308.30  | 0.39%             | 2035-06-15      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-B                | BRAVO_21-B                    | CUSIP: 10568JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7716294 | PA      | $7203050.40   | 0.28%             | 2069-04-01      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-129      | GNMA_20-129                   | CUSIP: 38382JYW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18361005 | PA      | $2781453.60   | 0.11%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160      | GNMA_20-160                   | CUSIP: 38382KG49<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15509770 | PA      | $1914406.57   | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160      | GNMA_20-160                   | CUSIP: 38382KG80<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19859096 | PA      | $2449812.15   | 0.10%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 0 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -352000000 | OU      | $-11488928.00 | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | OTC (GENERIC) 0 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        | -149220000 | OU      | $-448107.66   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                               | CDS: (CMBX.NA.11.BBB-)        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   10000000 | OU      | $1435380.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -321000000 | OU      | $-2047562.70  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        | -175000000 | OU      | $-691075.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  150000000 | OU      | $7511445.00   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  190000000 | OU      | $9514497.00   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  275000000 | OU      | $16209132.50  | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  120290000 | OU      | $4993983.70   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | US 5YR NOTE MAR 23            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      -4588 | NC      | $-3021422.81  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                            | US 10YR NOTE MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     -12399 | NC      | $-8415704.69  | -0.33%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                            | US ULTRA T-BOND MAR 23        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       1306 | NC      | $-1496820.97  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                            | ICE: (CDX.NA.HY.39.V1)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  189500000 | OU      | $-3375821.22  | -0.13%            |  |  |  | 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        |   10493382 | PA      | $9599131.13   | 0.37%             | 2066-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-C                       | AJAXM_21-C                    | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6305633 | PA      | $5912150.85   | 0.23%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS                                                      | UMBS  30YR TBA(REG A)         | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  542500000 | PA      | $512980367.03 | 19.93%            | 2052-12-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                      | UMBS  30YR TBA(REG A)         | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  775000000 | PA      | $754292968.75 | 29.31%            | 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        |  306000000 | PA      | $304470000.00 | 11.83%            | 2052-12-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALPHAFLOW TRANSITIONAL MORTGAGE TRUST AFLOW_21-WL1        | AFLOW_21-WL1                  | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4429559 | PA      | $4314989.43   | 0.17%             | 2026-01-25      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_21-1    | ACAR_21-1                     | CUSIP: 02528BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $859709.16    | 0.03%             | 2027-11-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_21-2    | ACAR_21-2                     | CUSIP: 025291AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5532769.80   | 0.21%             | 2027-07-13      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_21-2    | ACAR_21-2                     | CUSIP: 025291AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3732983.20   | 0.15%             | 2028-01-13      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-A         | LDPT_21-A                     | CUSIP: 52607FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12000000 | PA      | $11332683.60  | 0.44%             | 2028-12-15      | Fixed         | 2.75%                 | 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        |   11072840 | PA      | $11072840.00  | 0.43%             | 2023-06-30      | Variable      | 6.62%                 | No            |                  3 | On Loan: No      |
| MFA TRUST MFRA_20-NQM3                                    | MFRA_20-NQM3                  | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $2736381.90   | 0.11%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MFA TRUST MFRA_20-NQM3                                    | MFRA_20-NQM3                  | CUSIP: 552757AE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6250000 | PA      | $4986233.75   | 0.19%             | 2065-01-26      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142      | GNMA_21-142                   | CUSIP: 38382XSW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   70776588 | PA      | $9059261.65   | 0.35%             | 2051-08-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161      | GNMA_21-161                   | CUSIP: 38383A6U3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   43453743 | PA      | $6016474.90   | 0.23%             | 2051-09-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-155      | GNMA_21-155                   | CUSIP: 38383AJY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   35750843 | PA      | $4361170.22   | 0.17%             | 2051-07-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156      | GNMA_21-156                   | CUSIP: 38383ANE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   54247008 | PA      | $7305737.44   | 0.28%             | 2051-09-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160      | GNMA_21-160                   | CUSIP: 38383AUH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   87914807 | PA      | $818574.76    | 0.03%             | 2051-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160      | GNMA_21-160                   | CUSIP: 38383AZY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   73576611 | PA      | $9852666.04   | 0.38%             | 2051-09-20      | Fixed         | 2.50%                 | 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        |    8455519 | PA      | $1315479.24   | 0.05%             | 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        |  311992807 | PA      | $1775051.88   | 0.07%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-83       | GNMA_22-83                    | CUSIP: 38383RZG5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28888506 | PA      | $3549005.02   | 0.14%             | 2050-06-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                               | HILT_16-SFP                   | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27400000 | PA      | $25267521.02  | 0.98%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| NRZ EXCESS SPREAD COLLATERALIZED NOTES NZES_20-PLS1       | NZES_20-PLS1                  | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3677320 | PA      | $3346909.57   | 0.13%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_19-2                   | HPA_19-2                      | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2774834 | PA      | $2298521.43   | 0.09%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2              | HOF_20-2                      | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3750000 | PA      | $3340155.75   | 0.13%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-BPL1           | HOF_20-BPL1                   | CUSIP: 43789YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7825282 | PA      | $7803614.43   | 0.30%             | 2025-08-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                | IMPRL_21-NQM3                 | CUSIP: 452762AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7384000 | PA      | $4651893.42   | 0.18%             | 2056-11-25      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| LPLMS_21-2                                                | LPLMS_21-2A                   | CUSIP: 50214JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6882000 | PA      | $6249716.25   | 0.24%             | 2029-01-15      | Fixed         | 2.33%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT1                         | BVRT_21-CRT1                  | CUSIP: 512366AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16250000 | PA      | $15472843.75  | 0.60%             | 2032-07-10      | Variable      | 3.59%                 | No            |                  3 | On Loan: No      |
| LENDING CLUB RECEIVABLES TRUST LCRT_20-2                  | LCRT_20-2                     | CUSIP: 52605L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     865000 | PA      | $1946250.00   | 0.08%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1         | LDPT_21-1                     | CUSIP: 52607DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14564000 | PA      | $14090670.00  | 0.55%             | 2027-04-15      | Fixed         | 4.93%                 | No            |                  3 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1         | LDPT_21-1                     | CUSIP: 52607DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15712000 | PA      | $14258640.00  | 0.55%             | 2027-04-15      | Fixed         | 7.23%                 | No            |                  3 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5               | STACR_20-HQA5                 | CUSIP: 35565TBD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6750000 | PA      | $6188022.68   | 0.24%             | 2050-11-25      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5               | STACR_20-HQA5                 | CUSIP: 35565TBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14200000 | PA      | $13368199.50  | 0.52%             | 2050-11-25      | Variable      | 10.92%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR 2020-DNA3                             | STACR_20-DNA3                 | CUSIP: 35565WBD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8473515 | PA      | $8722446.20   | 0.34%             | 2050-06-25      | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR_20-DNA4                               | STACR_20-DNA4                 | CUSIP: 35565XBD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11147239 | PA      | $11777256.63  | 0.46%             | 2050-08-25      | Variable      | 10.02%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-DNA5               | STACR_20-DNA5                 | CUSIP: 35566ABD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11200000 | PA      | $11149724.32  | 0.43%             | 2050-10-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - STACR_20-DNA6                               | STACR_20-DNA6                 | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15500000 | PA      | $12712250.60  | 0.49%             | 2050-12-25      | Variable      | 9.17%                 | No            |                  2 | On Loan: No      |
| GCAT_19-NQM3                                              | GCAT_19-NQM3                  | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5650000 | PA      | $4545496.76   | 0.18%             | 2059-11-25      | Variable      | 3.45%                 | 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        |   27769407 | PA      | $24992466.48  | 0.97%             | 2023-10-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_14-6        | GNMA_14-6                     | CUSIP: 38378PQ84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10345503 | PA      | $1432057.65   | 0.06%             | 2044-01-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                          | GNMA_14-184                   | CUSIP: 38379HFE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    5696368 | PA      | $716224.80    | 0.03%             | 2041-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                          | GNMA_17-30                    | CUSIP: 38379U7F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   31439263 | PA      | $881909.06    | 0.03%             | 2058-08-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160      | GNMA_20-160                   | CUSIP: 38382KH22<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15984196 | PA      | $2169325.53   | 0.08%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-162      | GNMA_20-162                   | CUSIP: 38382KNS8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15345394 | PA      | $1891968.98   | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-148      | GNMA_20-148                   | CUSIP: 38382KZY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22123493 | PA      | $2610220.37   | 0.10%             | 2050-10-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-187      | GNMA_20-187                   | CUSIP: 38382LD40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20736448 | PA      | $2587775.97   | 0.10%             | 2050-12-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164      | GNMA_20-164                   | CUSIP: 38382LGD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20182548 | PA      | $3046708.98   | 0.12%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175      | GNMA_20-175                   | CUSIP: 38382LMJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27098391 | PA      | $3353350.07   | 0.13%             | 2050-11-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7        | GNMA_21-7                     | CUSIP: 38382M5E5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   31184049 | PA      | $6343964.47   | 0.25%             | 2051-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191      | GNMA_20-191                   | CUSIP: 38382MRS0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   30690875 | PA      | $5643870.75   | 0.22%             | 2050-12-20      | Fixed         | 3.50%                 | 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        |   23153951 | PA      | $3641257.46   | 0.14%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24       | GNMA_21-24                    | CUSIP: 38382NPZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19175955 | PA      | $2871907.96   | 0.11%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24       | GNMA_21-24                    | CUSIP: 38382NRY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22054653 | PA      | $2589725.71   | 0.10%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-29       | GNMA_21-29                    | CUSIP: 38382NV46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23502388 | PA      | $3929448.90   | 0.15%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-44       | GNMA_21-44                    | CUSIP: 38382PLL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28721934 | PA      | $4336575.43   | 0.17%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-44       | GNMA_21-44                    | CUSIP: 38382PSC7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18242324 | PA      | $2614212.60   | 0.10%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-49       | GNMA_21-49                    | CUSIP: 38382PV90<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20119804 | PA      | $1964914.14   | 0.08%             | 2048-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42       | GNMA_21-42                    | CUSIP: 38382PZY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   44533618 | PA      | $6122152.32   | 0.24%             | 2050-11-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-58       | GNMA_21-58                    | CUSIP: 38382RAZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   15901846 | PA      | $2348406.87   | 0.09%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96       | GNMA_21-96                    | CUSIP: 38382UZE4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   52060537 | PA      | $845244.47    | 0.03%             | 2051-06-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97       | GNMA_21-97                    | CUSIP: 38382VEF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   52154654 | PA      | $6295098.04   | 0.24%             | 2051-06-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122      | GNMA_21-122                   | CUSIP: 38382WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   71413446 | PA      | $8158979.12   | 0.32%             | 2051-07-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  202000000 | OU      | $2583903.20   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   74220000 | OU      | $1019151.93   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  325000000 | OU      | $1354242.50   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MATR_21-1                                                 | MATR_21-1                     | CUSIP: 55283RAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18698961 | PA      | $15981768.18  | 0.62%             | 2023-11-29      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_16-22A                      | MDPK_16-22A                   | CUSIP: 55819XBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3700000 | PA      | $3389758.70   | 0.13%             | 2033-01-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_20-47A                      | MDPK_20-47A                   | CUSIP: 55820GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $4978563.20   | 0.19%             | 2034-01-19      | Variable      | 10.20%                | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST MFT_21-1A                          | MFT_21-1A                     | CUSIP: 57110NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $901635.70    | 0.04%             | 2031-06-16      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD                | MSC_19-MEAD                   | CUSIP: 61771LAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $4714405.85   | 0.18%             | 2036-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST INC NYMT_21-BPL1                  | NYMT_21-BPL1                  | CUSIP: 62955KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12080000 | PA      | $11208053.52  | 0.44%             | 2026-05-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-163      | GNMA_17-163                   | CUSIP: 38380KLT0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11532442 | PA      | $1362356.24   | 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        |   19321794 | PA      | $1049683.52   | 0.04%             | 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        |   12597319 | PA      | $741777.98    | 0.03%             | 2060-03-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL4        | VOLT_21-NPL4                  | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9333412 | PA      | $8636124.84   | 0.34%             | 2051-03-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL5        | VOLT_21-NPL5                  | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20831088 | PA      | $18536353.84  | 0.72%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_21-FCMT        | WFCM_21-FCMT                  | CUSIP: 95003EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21600000 | PA      | $20491753.68  | 0.80%             | 2031-05-15      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST INC NYMT_21-BPL1                  | NYMT_21-BPL1                  | CUSIP: 62955KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4630815.00   | 0.18%             | 2026-05-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| NRZT_14-1A                                                | NRZT_14-1A                    | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4501204 | PA      | $228914.60    | 0.01%             | 2054-01-25      | Variable      | 2.29%                 | 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        |    2000000 | PA      | $1685298.00   | 0.07%             | 2030-10-22      | Variable      | 11.57%                | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD OZLM_17-17A                              | OZLM_17-17A                   | CUSIP: 67111MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3750000 | PA      | $3132003.75   | 0.12%             | 2030-07-20      | Variable      | 10.23%                | No            |                  2 | On Loan: No      |
| OSW STRUCTURED ASSET TRUST OSAT_21-RPL1                   | OSAT_21-RPL1                  | CUSIP: 67114HAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4518215.00   | 0.18%             | 2065-05-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_21-1A                                 | OMIR_21-1A                    | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6500000 | PA      | $5867452.50   | 0.23%             | 2033-10-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE LTD OMIR_21-1A                                 | OMIR_21-1A                    | CUSIP: 67401FAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2373000 | PA      | $2140861.04   | 0.08%             | 2033-10-25      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 48 OCT47_20-1A                | OCT47_20-1A                   | CUSIP: 67576YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   15250000 | PA      | $13361440.00  | 0.52%             | 2034-07-20      | Variable      | 10.49%                | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 54 OCT54_21-1A                | OCT54_21-1A                   | CUSIP: 67577GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   12500000 | PA      | $10347175.00  | 0.40%             | 2034-07-15      | Variable      | 10.33%                | 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        |    7366670 | PA      | $6970343.06   | 0.27%             | 2023-05-27      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-FT1                      | PNMSR_18-FT1                  | CUSIP: 69346MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9500000 | PA      | $8951823.40   | 0.35%             | 2023-04-25      | Variable      | 6.37%                 | 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        |   19379000 | PA      | $18799199.70  | 0.73%             | 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        |   47570000 | PA      | $45401264.67  | 1.76%             | 2025-08-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB_18-P1                  | CLUB_18-P1                    | CUSIP: 21051U107<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $5015000.00   | 0.19%             | 2025-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CONSUMER LOAN UNDERLYING BOND CLUB_18-P2                  | CLUB_18-P2                    | CUSIP: 21052N102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $7267500.00   | 0.28%             | 2025-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                | GNMA2 30YR TBA(REG C)         | CUSIP: 21H0406C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  152000000 | PA      | $145082811.36 | 5.64%             | 2052-12-20      | Fixed         | 4.00%                 | 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        |    7064723 | PA      | $642383.99    | 0.02%             | 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        |    9176570 | PA      | $857410.98    | 0.03%             | 2048-04-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63       | GNMA_18-63                    | CUSIP: 38380WWC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8725196 | PA      | $764143.95    | 0.03%             | 2048-04-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-78       | GNMA_18-78                    | CUSIP: 38380XFS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7894863 | PA      | $914348.32    | 0.04%             | 2048-06-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-78       | GNMA_18-78                    | CUSIP: 38380XHW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8652897 | PA      | $1083779.65   | 0.04%             | 2048-04-20      | Fixed         | 4.00%                 | 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        |    7163525 | PA      | $835497.01    | 0.03%             | 2048-05-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-124      | GNMA_18-124                   | CUSIP: 38380YV77<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10384495 | PA      | $1222836.58   | 0.05%             | 2048-09-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                               | GNMA_18-155                   | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9085676 | PA      | $903920.33    | 0.04%             | 2048-11-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                | GNMA_19-43                    | CUSIP: 38381TQ24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16972689 | PA      | $381985.63    | 0.01%             | 2049-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103      | GNMA_19-103                   | CUSIP: 38381XW44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16568563 | PA      | $1856903.49   | 0.07%             | 2049-08-20      | Variable      | 2.11%                 | 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        |   21707366 | PA      | $580207.51    | 0.02%             | 2049-09-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-128      | GNMA_19-128                   | CUSIP: 38382AEF8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   40658918 | PA      | $591733.63    | 0.02%             | 2049-10-20      | 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        |   18507821 | PA      | $897984.66    | 0.03%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-62       | GNMA_20-62                    | CUSIP: 38382FLJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10922894 | PA      | $1401999.31   | 0.05%             | 2050-05-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78       | GNMA_20-78                    | CUSIP: 38382FW34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28900423 | PA      | $3147553.78   | 0.12%             | 2050-06-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-85       | GNMA_20-85                    | CUSIP: 38382FWM2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13460330 | PA      | $3051505.31   | 0.12%             | 2050-06-20      | Fixed         | 3.50%                 | 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        |   11846302 | PA      | $1384773.49   | 0.05%             | 2050-07-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104      | GNMA_20-104                   | CUSIP: 38382HGX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14728710 | PA      | $2178109.64   | 0.08%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133      | GNMA_20-133                   | CUSIP: 38382JC46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   72779027 | PA      | $8543988.48   | 0.33%             | 2050-09-20      | Variable      | 2.36%                 | 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        |   22648912 | PA      | $2941183.17   | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | CDS: (CMBX.NA.7.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -2550000 | OU      | $-533109.38   | -0.02%            |  |  |  | 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  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | CDS: (CMBX.NA.11.BBB-)        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   10000000 | OU      | $1435380.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -26500000 | OU      | $-4683048.20  | -0.18%            |  |  |  | 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  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -13000000 | OU      | $-2297344.40  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | CDS: (CMBX.NA.12.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -22000000 | OU      | $-3877500.00  | -0.15%            |  |  |  | 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   | -0.03%            |  |  |  | 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  | -0.07%            |  |  |  | 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  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -8800000 | OU      | $-1555125.44  | -0.06%            |  |  |  | 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  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |  -40000000 | OU      | $-7068752.00  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -45000000 | OU      | $-7952346.00  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                               | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -10125000 | OU      | $-1789277.85  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  107600000 | OU      | $301215.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  400000000 | OU      | $1119760.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                            | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  212740000 | OU      | $1257931.62   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  212740000 | OU      | $1257931.62   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                  | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |  300000000 | OU      | $1198680.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_19-UVIL      | CSMC_19-UVIL                  | CUSIP: 12656DAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5200000 | PA      | $3791914.36   | 0.15%             | 2041-12-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| CSMC_21-JR2                                               | CSMC_21-JR2                   | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6221851 | PA      | $5844499.36   | 0.23%             | 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        |   11000000 | PA      | $10175143.00  | 0.40%             | 2030-10-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                          | CGMS_15-4A                    | CUSIP: 14311NAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    7500000 | PA      | $6797610.00   | 0.26%             | 2032-07-20      | Variable      | 7.94%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                          | CGMS_16-3A                    | CUSIP: 14311WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   10000000 | PA      | $8138730.00   | 0.32%             | 2034-07-20      | Variable      | 11.24%                | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2         | TMIR_21-2                     | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    7100000 | PA      | $6425686.73   | 0.25%             | 2033-10-25      | Variable      | 11.54%                | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3         | TMIR_21-3                     | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   29500000 | PA      | $27118875.05  | 1.05%             | 2034-02-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3         | TMIR_21-3                     | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7500000 | PA      | $5925804.75   | 0.23%             | 2034-02-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1             | BRAVO_20-NQM1                 | CUSIP: 105699AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2200000 | PA      | $1962967.60   | 0.08%             | 2060-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1             | BRAVO_20-NQM1                 | CUSIP: 105699AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2580536.00   | 0.10%             | 2060-05-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2              | BRAVO_21-HE2                  | CUSIP: 10569CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6000000 | PA      | $5872891.20   | 0.23%             | 2069-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2              | BRAVO_21-HE2                  | CUSIP: 10569CAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6570000 | PA      | $6418214.60   | 0.25%             | 2069-11-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2             | BRAVO_21-NQM2                 | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2950000 | PA      | $2332616.33   | 0.09%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2             | BRAVO_21-NQM2                 | CUSIP: 10569EAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4100000 | PA      | $3206731.77   | 0.12%             | 2060-03-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE1              | BRAVO_21-HE1                  | CUSIP: 10569QAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6708000 | PA      | $6612142.01   | 0.26%             | 2070-01-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE1              | BRAVO_21-HE1                  | CUSIP: 10569QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4129000 | PA      | $3986843.48   | 0.15%             | 2070-01-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_20-4    | ACAR_20-4                     | CUSIP: 02530QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3620000 | PA      | $3503653.92   | 0.14%             | 2027-08-13      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_19-2                        | AOMT_19-2                     | CUSIP: 03463WAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4800000 | PA      | $4625027.04   | 0.18%             | 2049-03-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_21-5                        | AOMT_21-5                     | CUSIP: 03465HAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5491635 | PA      | $4244898.81   | 0.16%             | 2066-07-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_17-44A                                  | ARES_17-44A                   | CUSIP: 04016NAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25975000 | PA      | $22167194.88  | 0.86%             | 2034-04-15      | Variable      | 10.95%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_22-JR1                  | CSMC_22-JR1                   | CUSIP: 12546WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   28483718 | PA      | $26932039.28  | 1.05%             | 2066-10-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR                  | CLNY_19-IKPR                  | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12575000 | PA      | $11536205.66  | 0.45%             | 2038-11-15      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CGMS_21-5A               | CGMS_21-5A                    | CUSIP: 14318AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   14125000 | PA      | $12379404.25  | 0.48%             | 2034-07-20      | Variable      | 10.49%                | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_21-N1                | CRVNA_21-N1                   | CUSIP: 14687DAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11180000 | PA      | $10091452.59  | 0.39%             | 2028-01-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR2                                      | CIM_21-NR2                    | CUSIP: 12565CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24741224 | PA      | $22534972.40  | 0.88%             | 2059-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| CIM TRUST CIM_21-NR1                                      | CIM_21-NR1                    | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13798209 | PA      | $12944785.31  | 0.50%             | 2055-07-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                        | COLT_21-3                     | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8087439 | PA      | $6067347.33   | 0.24%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                        | COLT_21-3                     | CUSIP: 19688FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2502000 | PA      | $1265512.85   | 0.05%             | 2066-09-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-4                        | COLT_21-4                     | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5969000 | PA      | $3844551.72   | 0.15%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_20-2                                | COLT_20-2                     | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1463000 | PA      | $1290001.71   | 0.05%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| COLT FUNDING LLC COLT_20-2                                | COLT_20-2                     | CUSIP: 19688JAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3716000 | PA      | $3213696.39   | 0.12%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                             | COLUMBIA SHORT TERM CASH FUND | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  156627035 | NS      | $156564383.89 | 6.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM TRUST CIM_21-NR4                                      | CIM_21-NR4                    | CUSIP: 12566DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7078043 | PA      | $6480163.17   | 0.25%             | 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        |   24275000 | PA      | $16018674.39  | 0.62%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                               | CSMC_14-USA                   | CUSIP: 12649AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18400000 | PA      | $9638724.08   | 0.37%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                        | PRPM_21-1                     | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7112626 | PA      | $6482886.28   | 0.25%             | 2026-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_20-CBM                           | COMM_20-CBM                   | CUSIP: 20049AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17650000 | PA      | $15194752.63  | 0.59%             | 2037-02-10      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R03            | CAS_22-R03                    | CUSIP: 20753XAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2550000 | PA      | $2574231.38   | 0.10%             | 2042-03-25      | Variable      | 9.77%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_20-1                                        | PRPM_21-1                     | CUSIP: 693577AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   28254000 | PA      | $23724431.74  | 0.92%             | 2026-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                 | PRPM_21-3                     | CUSIP: 69357PAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $5828104.80   | 0.23%             | 2026-04-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PRPM_21-4                                                 | PRPM_21-4                     | CUSIP: 693583AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5350000 | PA      | $4468064.81   | 0.17%             | 2026-04-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS CAS 22-R04                               | CAS_22-R04                    | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13850000 | PA      | $13450352.71  | 0.52%             | 2042-03-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE - CAS CAS 22-R04                               | CAS_22-R04                    | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13800000 | PA      | $13161483.66  | 0.51%             | 2042-03-25      | Variable      | 13.02%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R03            | CAS_21-R03                    | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16909000 | PA      | $14297913.91  | 0.56%             | 2041-12-25      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R02            | CAS_22-R02                    | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   37400000 | PA      | $32659157.30  | 1.27%             | 2042-01-25      | Variable      | 11.17%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R02            | CAS_21-R02                    | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15900000 | PA      | $13157397.87  | 0.51%             | 2041-11-25      | Variable      | 9.72%                 | 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        |   49550000 | PA      | $42038586.67  | 1.63%             | 2041-12-25      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R07 | CAS_22-R07                    | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7300000 | PA      | $7541798.63   | 0.29%             | 2042-06-25      | Variable      | 15.52%                | 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        |    9937008 | PA      | $9569455.39   | 0.37%             | 2039-11-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122      | GNMA_21-122                   | CUSIP: 38382WAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   68545469 | PA      | $679278.74    | 0.03%             | 2051-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117      | GNMA_21-117                   | CUSIP: 38382WEU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   31135757 | PA      | $3770733.21   | 0.15%             | 2051-07-20      | Variable      | 2.36%                 | 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        |   36621080 | PA      | $5949738.90   | 0.23%             | 2051-09-20      | Fixed         | 3.00%                 | 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        |   46650000 | PA      | $35658410.97  | 1.39%             | 2034-01-25      | Variable      | 9.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA6               | STACR_21-DNA6                 | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12600000 | PA      | $10588256.28  | 0.41%             | 2041-10-25      | Variable      | 11.05%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA7               | STACR_21-DNA7                 | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   46278740 | PA      | $38690317.82  | 1.50%             | 2041-11-25      | Variable      | 10.80%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_22-DNA1               | STACR_22-DNA1                 | CUSIP: 35564KQZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   23350000 | PA      | $18449659.26  | 0.72%             | 2042-01-25      | Variable      | 10.62%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-HQA1               | STACR_22-HQA1                 | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11650000 | PA      | $10930698.71  | 0.42%             | 2042-03-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-HQA1               | STACR_22-HQA1                 | CUSIP: 35564KUL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3560000 | PA      | $3123476.00   | 0.12%             | 2042-03-25      | Variable      | 14.52%                | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-HQA2               | STACR_19-HQA2                 | CUSIP: 35564MBD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20000000 | PA      | $20144880.00  | 0.78%             | 2049-04-25      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-HQA3               | STACR_19-HQA3                 | CUSIP: 35564XBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   19309209 | PA      | $18223137.44  | 0.71%             | 2049-09-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA1               | STACR_20-HQA1                 | CUSIP: 35565JBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   28457336 | PA      | $25966542.21  | 1.01%             | 2050-01-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_20-HQA3               | STACR_20-HQA3                 | CUSIP: 35565MAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       3726 | PA      | $3726.45      | 0.00%             | 2050-07-25      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                     | FNMA_20-38                    | CUSIP: 3136BACA0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7141542 | PA      | $808698.23    | 0.03%             | 2050-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                     | FNMA_20-38                    | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23163642 | PA      | $2121018.26   | 0.08%             | 2050-06-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3922                                    | FHLMC_3922                    | CUSIP: 3137AFJS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2836943 | PA      | $231894.00    | 0.01%             | 2041-09-15      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4097                                    | FHLMC_4097                    | CUSIP: 3137ATPX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     889873 | PA      | $140863.27    | 0.01%             | 2042-08-15      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC_4215                                                | FHLMC_4215                    | CUSIP: 3137B34H8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     319146 | PA      | $15259.72     | 0.00%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHR_4286                                                  | FHLMC_4286                    | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1074234 | PA      | $142120.14    | 0.01%             | 2043-12-15      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                    | FHLMC_4606                    | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   51632999 | PA      | $5141975.43   | 0.20%             | 2044-12-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST STACR_20-HQA3               | STACR_20-HQA3                 | CUSIP: 35565MBD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8000000 | PA      | $8183112.80   | 0.32%             | 2050-07-25      | Variable      | 9.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-HQA4               | STACR_20-HQA4                 | CUSIP: 35565RBD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16600000 | PA      | $16916059.02  | 0.66%             | 2050-09-25      | Variable      | 9.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                     | FHLMC_4620                    | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1425261 | PA      | $64392.88     | 0.00%             | 2042-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4704                                    | FHLMC_4704                    | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9946933 | PA      | $1133656.90   | 0.04%             | 2047-07-15      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5040         | FHLMC_5040                    | CUSIP: 3137F6PD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13330671 | PA      | $2587144.69   | 0.10%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_5083                                    | FHLMC_5083                    | CUSIP: 3137FFRN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11710609 | PA      | $2521537.74   | 0.10%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4826                                    | FHLMC_4826                    | CUSIP: 3137FH4N0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9839714 | PA      | $1171570.52   | 0.05%             | 2048-09-15      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4926         | FHLMC_4926                    | CUSIP: 3137FPNZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8274994 | PA      | $705684.04    | 0.03%             | 2040-01-15      | Variable      | 2.21%                 | 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        |  258000000 | PA      | $261059874.84 | 10.14%            | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND DRSLF_18-57A                      | DRSLF_18-57A                  | CUSIP: 26243KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1250000 | PA      | $1195310.00   | 0.05%             | 2031-05-15      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| EAGLE RE LTD EMIR_19-1                                    | EMIR_19-1                     | CUSIP: 269822AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   21000000 | PA      | $20011742.10  | 0.78%             | 2029-04-25      | Variable      | 7.34%                 | 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        |   10278292 | PA      | $1511266.57   | 0.06%             | 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        |   19292507 | PA      | $2931700.98   | 0.11%             | 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        |   40111264 | PA      | $7640140.92   | 0.30%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105         | FHLMC_5105                    | CUSIP: 3137H06Z6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   26883463 | PA      | $3026800.98   | 0.12%             | 2045-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EAGLE RE LTD EMIR_21-1                                    | EMIR_21-1                     | CUSIP: 26983BAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17000000 | PA      | $16185949.90  | 0.63%             | 2033-10-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST FMMSR_20-GT1                        | FMMSR_20-GT1                  | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9050000 | PA      | $7893910.47   | 0.31%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE_MAC FHLMC_304                                     | FHLMC_304                     | CUSIP: 31325UQQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1801833 | PA      | $242022.55    | 0.01%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPO                          | FHLMC_309                     | CUSIP: 31325USF4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2075045 | PA      | $212727.62    | 0.01%             | 2043-08-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                    | FHLMC 30YR UMBS               | CUSIP: 3133KNWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  115796220 | PA      | $99763988.20  | 3.88%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                    | FHLMC 30YR UMBS               | CUSIP: 3133KPFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   48442049 | PA      | $43129441.65  | 1.68%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_5119                                    | FHLMC_5119                    | CUSIP: 3137H0SU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   41194050 | PA      | $9262593.45   | 0.36%             | 2051-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 30YR UMBS                | CUSIP: 3140QLRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   33159074 | PA      | $29577630.65  | 1.15%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 30YR UMBS SUPER          | CUSIP: 3140XHYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   43530490 | PA      | $41558147.80  | 1.61%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 510 ASSETS BACKED TRUST FTAB_21-NPL2                      | FTAB_21-NPL2                  | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3351648 | PA      | $3103493.39   | 0.12%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1               | STACR_21-DNA1                 | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18450000 | PA      | $13859503.47  | 0.54%             | 2051-01-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-HQA2               | STACR_21-HQA2                 | CUSIP: 35564KGS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14350000 | PA      | $10790389.23  | 0.42%             | 2033-12-25      | Variable      | 8.97%                 | No            |                  2 | On Loan: No      |
| USASF RECIEVABLES LLC USAUT_21_1                          | USAUT_21-1A                   | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2375000 | PA      | $2147912.24   | 0.08%             | 2027-03-15      | Fixed         | 4.36%                 | 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        |    2350071 | PA      | $2231431.55   | 0.09%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST7                   | UPSPT_21-ST7                  | CUSIP: 91683KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3311060 | PA      | $3076701.29   | 0.12%             | 2029-09-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION VCAT_21-NPL2                    | VCAT_21-NPL2                  | CUSIP: 91822YAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5500000 | PA      | $4517169.80   | 0.18%             | 2051-03-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL3                                         | VCAT_21-NPL3                  | CUSIP: 91824MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3980000 | PA      | $3225506.23   | 0.13%             | 2051-05-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| VWH CAPITAL VCAT_21-NPL6                                  | VCAT_21-NPL6                  | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13161452 | PA      | $11816314.65  | 0.46%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL6        | VOLT_21-NPL6                  | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17468671 | PA      | $15580525.82  | 0.61%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-1                     | VERUS_20-1                    | CUSIP: 92536PAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6000000 | PA      | $4157959.80   | 0.16%             | 2060-01-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_19-4                     | VERUS_19-4                    | CUSIP: 92537KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4150000 | PA      | $3256557.71   | 0.13%             | 2059-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-INV1                  | VERUS_20-INV1                 | CUSIP: 92537TAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1050000 | PA      | $959201.15    | 0.04%             | 2060-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-INV1                  | VERUS_20-INV1                 | CUSIP: 92537TAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3150000 | PA      | $2902283.37   | 0.11%             | 2060-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-NPL1                  | VERUS_20-NPL1                 | CUSIP: 92538AAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6615571 | PA      | $6549997.91   | 0.25%             | 2050-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                     | VERUS_21-5                    | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3800000 | PA      | $2360175.06   | 0.09%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                     | VERUS_21-5                    | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $2146239.55   | 0.08%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-4                     | VERUS_20-4                    | CUSIP: 92538LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2450000 | PA      | $1908531.14   | 0.07%             | 2065-05-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_20-4                     | VERUS_20-4                    | CUSIP: 92538LAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1450733.60   | 0.06%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                | VISIO_19-2                    | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1125750.92   | 0.04%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                | VISIO_19-2                    | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $965435.64    | 0.04%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-152                                    | FNMA_12-152                   | CUSIP: 3136AAP33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2166268 | PA      | $55707.11     | 0.00%             | 2031-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                    | FNMA_13-101                   | CUSIP: 3136AGA93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2245317 | PA      | $239517.83    | 0.01%             | 2043-10-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| VSTA_20-1                                                 | VSTA_20-1                     | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1772668.80   | 0.07%             | 2065-03-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL3        | VOLT_21-NPL3                  | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11987291 | PA      | $10996205.94  | 0.43%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA_13-97                                                | FNMA_13-97                    | CUSIP: 3136AGDG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     334381 | PA      | $6325.72      | 0.00%             | 2032-06-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                    | FNMA_13-101                   | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11860051 | PA      | $1450504.34   | 0.06%             | 2043-10-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                     | FNMA_14-93                    | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1260450 | PA      | $150263.97    | 0.01%             | 2045-01-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_15-29                                     | FNMA_15-27                    | CUSIP: 3136ANXF9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9932001 | PA      | $1134065.66   | 0.04%             | 2045-05-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-31                                     | FNMA_16-31                    | CUSIP: 3136ASJN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1391773 | PA      | $140045.34    | 0.01%             | 2046-06-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-81                                     | FNMA_17-81                    | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   31363319 | PA      | $3658609.59   | 0.14%             | 2047-10-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-50                                     | FNMA_17-50                    | CUSIP: 3136AXAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8569242 | PA      | $1098332.54   | 0.04%             | 2047-07-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                     | FNMA_17-72                    | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21191539 | PA      | $907557.31    | 0.04%             | 2047-09-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                     | FNMA_17-90                    | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8917806 | PA      | $1016952.69   | 0.04%             | 2047-11-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_20-6                 | PRPM_20-6                     | CUSIP: 693587AB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2300000 | PA      | $2055241.13   | 0.08%             | 2025-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_21-5                                        | PRPM_21-5                     | CUSIP: 69358DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16300000 | PA      | $12866483.24  | 0.50%             | 2026-06-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                 | PRPM_21-2                     | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6353714 | PA      | $5769242.51   | 0.22%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3                 | PRPM_21-2                     | CUSIP: 69359UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18598000 | PA      | $15299064.44  | 0.59%             | 2026-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_20-4                 | PRPM_20-4                     | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6951839 | PA      | $6558222.82   | 0.25%             | 2025-10-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-8           | PRPM_21-8                     | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15812213 | PA      | $13826896.35  | 0.54%             | 2026-09-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_21-NPL6         | PRET_21-NPL6                  | CUSIP: 69362GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5600000 | PA      | $4904186.00   | 0.19%             | 2051-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_22-NPL1                                     | PRET_22-NPL1                  | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20583781 | PA      | $18524855.03  | 0.72%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-2                  | PAID_20-2                     | CUSIP: 69546JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1007374 | PA      | $987226.16    | 0.04%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  3 | 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        |   15613907 | PA      | $14511118.75  | 0.56%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-3                  | PAID_21-3                     | CUSIP: 69546RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12925852 | PA      | $1375349.43   | 0.05%             | 2029-05-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                  | PAID_20-3                     | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23803550 | PA      | $3092271.57   | 0.12%             | 2027-05-17      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                  | PAID_21-5                     | CUSIP: 69547EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12321273 | PA      | $3195817.86   | 0.12%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                  | PAID_21-1                     | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1901904 | PA      | $18815.54     | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  3 | 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        |   11500000 | PA      | $11171479.50  | 0.43%             | 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        |    7000000 | PA      | $6604948.00   | 0.26%             | 2028-11-25      | Variable      | 11.81%                | No            |                  2 | On Loan: No      |
| PNT_21-1                                                  | PNT_21-1                      | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14045821 | PA      | $13414893.79  | 0.52%             | 2052-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS PRET_21-NPL1             | PRET_21-NPL1                  | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6539513 | PA      | $5905112.32   | 0.23%             | 2060-09-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                      | PRET_21-RN2                   | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6446364 | PA      | $5828256.18   | 0.23%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                   | PROG_20-SFR1                  | CUSIP: 74331CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5975000 | PA      | $5376426.29   | 0.21%             | 2037-04-17      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| PROPER PASS-THRU TRUST II PPT2_19-ST2                     | PPT2_19-ST2                   | CUSIP: 74361EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     563082 | PA      | $563081.82    | 0.02%             | 2025-11-15      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| RR LTD RRAM_21-16A                                        | RRAM_21-16A                   | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   14000000 | PA      | $12346096.00  | 0.48%             | 2036-07-15      | Variable      | 10.33%                | 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        |    5000000 | PA      | $4196685.00   | 0.16%             | 2030-04-15      | Variable      | 9.93%                 | No            |                  2 | On Loan: No      |
| RADNOR RE LTD RMIR_20-1                                   | RMIR_20-1                     | CUSIP: 750493AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3050000 | PA      | $2896522.17   | 0.11%             | 2030-01-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-1                                 | RMIR_21-1                     | CUSIP: 75279YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20500000 | PA      | $19441835.10  | 0.76%             | 2033-12-27      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| RADNOR REESSENT RMIR_21-1                                 | RMIR_21-1                     | CUSIP: 75279YAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4750000 | PA      | $3742612.88   | 0.15%             | 2033-12-27      | Variable      | 7.55%                 | 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        |   11648883 | PA      | $10234120.06  | 0.40%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE TRUST RMLT_20-1                      | RMLT_20-1                     | CUSIP: 76119CAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3938000 | PA      | $2963808.50   | 0.12%             | 2060-01-26      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3                 | RMLT_19-3                     | CUSIP: 76119NAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6378000 | PA      | $5708539.61   | 0.22%             | 2059-09-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TURST GRADE_20-FIG1     | GRADE_20-FIG1                 | CUSIP: 795811AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3800689 | PA      | $3731916.20   | 0.15%             | 2050-09-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                          | SCLP_16-2                     | CUSIP: 83402Q102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     379888 | PA      | $949720.00    | 0.04%             | 2025-10-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1               | STWH_21-NPB1                  | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   25424733 | PA      | $21995378.52  | 0.85%             | 2026-10-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_20-INV1          | STAR_20-INV1                  | CUSIP: 85573EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3200000 | PA      | $2385627.84   | 0.09%             | 2055-11-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_20-INV1          | STAR_20-INV1                  | CUSIP: 85573EAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1091634.74   | 0.04%             | 2055-11-25      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-3             | STAR_21-3                     | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5178587 | PA      | $4142758.40   | 0.16%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| STAR_20-3                                                 | STAR_20-3                     | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4750000 | PA      | $3669955.93   | 0.14%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| STONN_20-1                                                | STONN_20-1                    | CUSIP: 86207LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2503418 | PA      | $2503417.63   | 0.10%             | 2024-07-28      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_20-1                            | TRK_20-1                      | CUSIP: 89052XAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   19600000 | PA      | $19306000.00  | 0.75%             | 2023-03-25      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_21-1                            | TRK_21-1                      | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   21000000 | PA      | $20014236.90  | 0.78%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1         | TMIR_21-1                     | CUSIP: 89600FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   22926000 | PA      | $21549467.94  | 0.84%             | 2033-08-25      | Variable      | 8.54%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2         | TMIR_21-2                     | CUSIP: 89600GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    5000000 | PA      | $4922335.00   | 0.19%             | 2033-10-25      | Variable      | 8.54%                 | No            |                  2 | On Loan: No      |
| GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2         | TMIR_21-2                     | CUSIP: 89600GAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   10000000 | PA      | $9553647.00   | 0.37%             | 2033-10-25      | Variable      | 9.54%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_20-58A                                  | ARES_20-58A                   | CUSIP: 04018CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    6000000 | PA      | $4878072.00   | 0.19%             | 2035-01-15      | Variable      | 10.56%                | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_21-60A                                  | ARES_21-60A                   | CUSIP: 04018JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   15000000 | PA      | $12433350.00  | 0.48%             | 2034-07-18      | Variable      | 10.44%                | No            |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST AVNT_21-REV1                    | AVNT_21-REV1                  | CUSIP: 05353LAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3375000 | PA      | $3055625.44   | 0.12%             | 2030-07-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_19-DPLO                                   | BFLD_19-DPLO                  | CUSIP: 054970AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1165000 | PA      | $1088736.30   | 0.04%             | 2034-10-15      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_19-DPLO                                   | BFLD_19-DPLO                  | CUSIP: 054970AS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6853000 | PA      | $6401036.43   | 0.25%             | 2034-10-15      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| BAMLL_13-WBRK                                             | BAMLL_13-WBRK                 | CUSIP: 05525BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $3742806.60   | 0.15%             | 2037-03-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| BXP TRUST BXP_21-601L                                     | BXP_21-601L                   | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21000000 | PA      | $12782382.90  | 0.50%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-MFM1                   | BX_21-MFM1                    | CUSIP: 05608VAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $588332.29    | 0.02%             | 2034-01-15      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO BCC_20-4A                         | BCC_20-4A                     | CUSIP: 05684HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8100000 | PA      | $7722240.30   | 0.30%             | 2033-10-20      | Variable      | 12.19%                | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-2F                           | BVRT_21-2F                    | CUSIP: 07335MAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7513324 | PA      | $7521242.70   | 0.29%             | 2032-01-10      | Variable      | 3.76%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-3F                           | BVRT_21-3F                    | CUSIP: 07335NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   40000000 | PA      | $40000000.00  | 1.55%             | 2033-07-12      | Variable      | 4.19%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT3                         | BVRT_21-CRT3                  | CUSIP: 07335PAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     808797 | PA      | $808796.51    | 0.03%             | 2031-01-10      | Variable      | 3.19%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT3                         | BVRT_21-CRT3                  | CUSIP: 07335PAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3400000 | PA      | $3400000.00   | 0.13%             | 2031-01-10      | Variable      | 3.84%                 | No            |                  3 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT3                         | BVRT_21-CRT3                  | CUSIP: 07335PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15200000 | PA      | $15200000.00  | 0.59%             | 2031-01-10      | Variable      | 4.34%                 | No            |                  3 | On Loan: No      |
| BELLEMEADE RE LT BMIR_17-1                                | BMIR_17-1                     | CUSIP: 078767AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     481566 | PA      | $481566.83    | 0.02%             | 2027-10-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-2A                              | BMIR_21-2A                    | CUSIP: 07876AAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9465000 | PA      | $8390169.74   | 0.33%             | 2031-06-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-2A                              | BMIR_21-2A                    | CUSIP: 07876AAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15250000 | PA      | $12862203.80  | 0.50%             | 2031-06-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-2A                              | BMIR_21-2A                    | CUSIP: 07876AAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2241922.20   | 0.09%             | 2031-06-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_19-4A                              | BMIR_19-4A                    | CUSIP: 07876LAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1376124 | PA      | $1372776.27   | 0.05%             | 2029-10-25      | Variable      | 6.54%                 | 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