# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001145549-25-047831
**Filing Date:** 2025-7
**Character Count:** 178219
**Document Hash:** 702495a4a109812e0bab24d7a4adb942
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-047831.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001145549-25-047831

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20250531

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21852
- **FILM NUMBER:** 251148842

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 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:** 2025-05-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4604856682.76

**Total Liabilities:** $2425034632.62

**Net Assets:** $2179822050.14

**Delayed Delivery Securities:** $2382855630.48

**Cash Not Reported:** $405834.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 497786.507700000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000400000000 | **10-Year:** 5113.459200000000 | **30-Year:** 291547.056200000000

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

- **3-Month:** -148814.862900000000 | **1-Year:** 173769.811000000000 | **5-Year:** 59720.733700000000 | **10-Year:** 111339.641200000000 | **30-Year:** 479823.319900000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000140950 | -0.46%               | 2.16%                | -0.76%               |
| Class ID C000140951 | -0.53%               | 2.22%                | -0.94%               |
| Class ID C000140954 | -0.44%               | 2.31%                | -0.85%               |
| Class ID C000140955 | -0.44%               | 2.30%                | -0.85%               |
| Class ID C000175684 | -0.43%               | 2.31%                | -0.85%               |
| Class ID C000255612 | -0.44%               | 2.30%                | -0.85%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $24600690.16             | $-44844709.45                              |
| Month 2  | $-12553019.56            | $29081317.24                               |
| Month 3  | $-5717159.55             | $-49018776.19                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | PAID_20-3                      | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23803550 | PA      | $392467.98    | 0.02%             | 2027-05-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-2                         | PAID_22-2                      | CUSIP: 69546VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     333067 | PA      | $333283.62    | 0.02%             | 2030-01-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-2                         | PAID_22-2                      | CUSIP: 69546VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97353 | PA      | $97389.48     | 0.00%             | 2030-01-15      | Variable      | 5.72%                 | No            |                  2 | 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      | $416822.50    | 0.02%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE_23-1                     | CUSIP: 12547QAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5829000 | PA      | $5770455.27   | 0.26%             | 2058-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-NQM1                               | CHNGE_22-NQM1                  | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3150000 | PA      | $3133684.89   | 0.14%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                      | CSMC_14-USA                    | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9275000 | PA      | $5889711.26   | 0.27%             | 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      | $8096171.12   | 0.37%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CGMS_13-3A                                                       | CGMS_13-3A                     | CUSIP: 14310GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   11000000 | PA      | $11006864.00  | 0.50%             | 2030-10-15      | Variable      | 6.22%                 | 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      | $7511227.50   | 0.34%             | 2032-07-20      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CHNGE_23-2                     | CUSIP: 169926AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4942000 | PA      | $4946221.95   | 0.23%             | 2058-06-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE_23-3                     | CUSIP: 17030AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8900000 | PA      | $9016973.59   | 0.41%             | 2058-07-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE_23-3                     | CUSIP: 17030AAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3700000 | PA      | $3710126.16   | 0.17%             | 2058-07-25      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                     | CUSIP: 17030JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4650000 | PA      | $3912553.71   | 0.18%             | 2067-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                     | CUSIP: 17030JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8350000 | PA      | $6935815.61   | 0.32%             | 2067-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                     | CUSIP: 17030JAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7431000 | PA      | $5453158.35   | 0.25%             | 2067-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                   | CUSIP: 17323TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13205608 | PA      | $9436316.94   | 0.43%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                   | CUSIP: 17323TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   34235924 | PA      | $1055503.80   | 0.05%             | 2053-01-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CMLTI_15-RP2                   | CUSIP: 17323TAM2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1335276 | PA      | $535802.19    | 0.02%             | 2053-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CMLTI_18-RP3                   | CUSIP: 17327DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10497650 | PA      | $7409077.61   | 0.34%             | 2061-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_22-4                               | COLT_22-4                      | CUSIP: 19685GAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4993000 | PA      | $4455350.26   | 0.20%             | 2067-03-25      | Variable      | 4.70%                 | 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        |    5870629 | PA      | $4984012.22   | 0.23%             | 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      | $1704626.61   | 0.08%             | 2066-09-27      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | ADMT_24-NQM1                   | CUSIP: 00039GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3490981 | PA      | $3505620.49   | 0.16%             | 2069-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | ADMT_24-NQM1                   | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5600000 | PA      | $5649783.44   | 0.26%             | 2069-02-25      | Variable      | 8.60%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_24-X2                    | AFFRM_24-X2                    | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70500 | PA      | $3706537.50   | 0.17%             | 2029-12-17      | Fixed         | 0.00%                 | 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        |    3398823 | PA      | $3369864.15   | 0.15%             | 2061-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST AJAXM_21-E                              | AJAXM_21-E                     | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8617660 | PA      | $4726610.71   | 0.22%             | 2060-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM_24-RCF1                   | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1850000 | PA      | $1729938.52   | 0.08%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM_24-RCF1                   | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9750000 | PA      | $8788262.93   | 0.40%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM_21-4                                                        | PRPM_21-4                      | CUSIP: 693583AB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5758991 | PA      | $5735091.68   | 0.26%             | 2026-04-25      | Variable      | 3.47%                 | 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        |    5037945 | PA      | $5039657.80   | 0.23%             | 2025-10-25      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  117000000 | PA      | $99536711.04  | 4.57%             | 2054-06-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  403420484 | PA      | $357540376.02 | 16.40%            | 2055-06-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  567500000 | PA      | $519869129.13 | 23.85%            | 2054-06-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  633000000 | PA      | $596952137.55 | 27.39%            | 2054-06-13      | Fixed         | 4.50%                 | 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        |    5319636 | PA      | $789551.48    | 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        |    5537130 | PA      | $741954.89    | 0.03%             | 2048-05-20      | Variable      | 1.76%                 | 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        |    8057570 | PA      | $1007545.11   | 0.05%             | 2048-09-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                      | GNMA_18-155                    | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6733337 | PA      | $742325.46    | 0.03%             | 2048-11-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | GNMA_19-21                     | CUSIP: 38381B6Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   26770970 | PA      | $3325262.34   | 0.15%             | 2046-10-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                       | GNMA_19-43                     | CUSIP: 38381TQ24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13056134 | PA      | $221574.35    | 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        |   12527930 | PA      | $1678626.08   | 0.08%             | 2049-08-20      | Variable      | 1.61%                 | 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        |   30020315 | PA      | $4798537.26   | 0.22%             | 2051-09-20      | Fixed         | 3.00%                 | 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        |   58030102 | PA      | $7996362.41   | 0.37%             | 2051-08-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_24-1                                | MPOWR_24-A                     | CUSIP: 62476DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $6122658.60   | 0.28%             | 2041-07-22      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | GRADE_22-INV1                  | CUSIP: 79583VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5198000 | PA      | $3907857.44   | 0.18%             | 2067-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | GRADE_22-INV1                  | CUSIP: 79583VAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4958000 | PA      | $3424556.05   | 0.16%             | 2067-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                      | STWH_21-NPB1                   | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     537064 | PA      | $536760.18    | 0.02%             | 2026-10-16      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                      | STWH_21-NPB1                   | CUSIP: 85501YAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15500000 | PA      | $15289103.90  | 0.70%             | 2026-10-16      | Variable      | 4.38%                 | 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      | $2824458.88   | 0.13%             | 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      | $1238019.30   | 0.06%             | 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        |    3604078 | PA      | $3035838.17   | 0.14%             | 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      | $4297573.90   | 0.20%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_22-3                                  | THRM_22-3A                     | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873735 | PA      | $875911.78    | 0.04%             | 2029-04-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_25-RRTL1                               | TRK_25-RRTL1                   | CUSIP: 89053JAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3800000 | PA      | $3824589.04   | 0.18%             | 2040-02-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL1                               | TRK_24-RRTL1                   | CUSIP: 89054YAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5700000 | PA      | $5783097.45   | 0.27%             | 2039-02-25      | Variable      | 9.77%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | TRK_24-RRTL2                   | CUSIP: 89055JAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5375000 | PA      | $5323761.74   | 0.24%             | 2039-09-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | TRK_24-RRTL2                   | CUSIP: 89055JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2750000 | PA      | $2732801.78   | 0.13%             | 2039-09-25      | Variable      | 8.18%                 | 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      | $10244674.00  | 0.47%             | 2033-10-25      | Variable      | 9.94%                 | 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      | $7440808.52   | 0.34%             | 2033-10-25      | Variable      | 11.94%                | 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        |   11186182 | PA      | $11241194.72  | 0.52%             | 2034-02-25      | Variable      | 7.22%                 | 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      | $7668993.75   | 0.35%             | 2034-02-25      | Variable      | 9.27%                 | No            |                  2 | On Loan: No      |
| USASF RECEIVABLES LLC USAUT_21-1A                                | USAUT_21-1A                    | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2375000 | PA      | $50953.96     | 0.00%             | 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        |      47265 | PA      | $47183.88     | 0.00%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UATSP_25-1GS                                                     | UATSP_25-1GS                   | CUSIP: 91684D103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49723 | PA      | $17106203.69  | 0.78%             | 2030-02-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-128             | GNMA_19-128                    | CUSIP: 38382AEF8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33573039 | PA      | $110045.71    | 0.01%             | 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        |   17527253 | PA      | $673127.16    | 0.03%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  261000000 | PA      | $252610460.37 | 11.59%            | 2055-06-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   60000000 | PA      | $59394689.40  | 2.72%             | 2025-06-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                             | UMBS  30YR TBA(REG A)          | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  260000000 | PA      | $262537979.60 | 12.04%            | 2055-06-12      | Fixed         | 6.00%                 | 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        |     910728 | PA      | $856197.78    | 0.04%             | 2026-01-25      | Fixed         | 3.28%                 | 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      | $4870991.52   | 0.22%             | 2049-03-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_19-6                               | AOMT_19-6                      | CUSIP: 03464VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9450000 | PA      | $8702519.18   | 0.40%             | 2059-11-25      | Variable      | 3.94%                 | 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        |    3667310 | PA      | $3165128.26   | 0.15%             | 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        |    5275000 | PA      | $5301760.08   | 0.24%             | 2034-04-15      | Variable      | 11.39%                | 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        |    5000000 | PA      | $5021295.00   | 0.23%             | 2034-07-18      | Variable      | 10.78%                | No            |                  2 | On Loan: No      |
| ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | ASPWP-29-1A                    | CUSIP: 04524YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18000000 | PA      | $18000000.00  | 0.83%             | 2029-03-29      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| BXP TRUST BXP_21-601L                                            | BXP_21-601L                    | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15400000 | PA      | $10922810.36  | 0.50%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | BARC_21-NPL1                   | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3548267 | PA      | $3574541.46   | 0.16%             | 2051-11-25      | Variable      | 4.62%                 | 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      | $2142203.80   | 0.10%             | 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      | $2709084.28   | 0.12%             | 2060-05-25      | Variable      | 6.00%                 | 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      | $5981908.80   | 0.27%             | 2069-11-25      | Variable      | 6.72%                 | 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      | $6569194.52   | 0.30%             | 2069-11-25      | Variable      | 7.72%                 | 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        |    6626000 | PA      | $5910349.59   | 0.27%             | 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      | $3466008.80   | 0.16%             | 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      | $6517902.66   | 0.30%             | 2070-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GNMA_23-66                     | CUSIP: 38384ARD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22412438 | PA      | $2031044.25   | 0.09%             | 2053-05-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-101             | GNMA_23-101                    | CUSIP: 38384CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   80639546 | PA      | $5264415.67   | 0.24%             | 2053-07-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | GNMA_23-115                    | CUSIP: 38384CL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   46267189 | PA      | $2571197.22   | 0.12%             | 2053-08-20      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME_24-RTL1                  | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5200000 | PA      | $5248789.00   | 0.24%             | 2029-01-25      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME_24-RTL1                  | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3700000 | PA      | $3749137.48   | 0.17%             | 2029-01-25      | Variable      | 11.95%                | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_23-RTL3                               | LHOME_23-RTL3                  | CUSIP: 50205TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8400000 | PA      | $8443917.72   | 0.39%             | 2028-08-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_25-RTL1                               | LHOME_25-RTL1                  | CUSIP: 50205UAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5368000 | PA      | $5302352.58   | 0.24%             | 2040-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL5                               | LHOME_24-RTL5                  | CUSIP: 50205WAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4358000 | PA      | $4305551.47   | 0.20%             | 2039-09-25      | Variable      | 6.82%                 | No            |                  2 | 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      | $86500.00     | 0.00%             | 2046-02-15      | Fixed         | 0.00%                 | 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        |    1813435 | PA      | $1810171.07   | 0.08%             | 2027-04-15      | Fixed         | 7.23%                 | 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      | $3129673.75   | 0.14%             | 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      | $5516635.00   | 0.25%             | 2065-01-26      | Variable      | 3.66%                 | 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        |     212314 | PA      | $210810.77    | 0.01%             | 2031-06-16      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST MFRA_24-NPL1                                          | MFRA_24-NPL1                   | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16927984 | PA      | $16988922.74  | 0.78%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | MELLO_24-SD1                   | CUSIP: 58550DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5802000 | PA      | $5199501.75   | 0.24%             | 2054-04-25      | Variable      | 4.00%                 | 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      | $4451386.53   | 0.20%             | 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      | $1459871.67   | 0.07%             | 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      | $3688049.73   | 0.17%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_23-1                               | COLT_23-1                      | CUSIP: 19688NAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4546000 | PA      | $4500848.22   | 0.21%             | 2068-04-25      | Variable      | 8.02%                 | 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        |    1672372 | PA      | $1671349.52   | 0.08%             | 2051-03-27      | Variable      | 6.12%                 | 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        |   11600000 | PA      | $11584306.36  | 0.53%             | 2031-05-15      | Variable      | 8.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.7.BBB-)          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -1102690 | OU      | $-154140.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.7.BBB-)          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -2162138 | OU      | $-302236.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.11.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   10000000 | OU      | $1297442.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -16500000 | OU      | $-3253602.00  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -13000000 | OU      | $-2563444.00  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -8800000 | OU      | $-1735254.40  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |  -10000000 | OU      | $-1971880.00  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.10.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |  -20000000 | OU      | $-3943760.00  | -0.18%            |  |  |  | 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      | $1297442.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.11.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   20500000 | OU      | $2659756.10   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | CDS: (CMBX.NA.8.BBB-)          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |   -2171471 | OU      | $-471604.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.11.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   50000000 | OU      | $6487210.00   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | CDS: (CMBX.NA.11.BBB-)         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |   10000000 | OU      | $1297442.00   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  100000000 | OU      | $175750.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  212000000 | OU      | $316219.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  118000000 | OU      | $1705359.60   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.16.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -19000000 | OU      | $-3247402.10  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -12000000 | OU      | $-1567296.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  190000000 | OU      | $500479.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | GNMA_20-34                     | CUSIP: 38382DG94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19491269 | PA      | $2565680.57   | 0.12%             | 2050-03-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-31              | GNMA_20-31                     | CUSIP: 38382DUY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17087389 | PA      | $1769899.78   | 0.08%             | 2050-03-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-16                 | FNMA_25-16                     | CUSIP: 3136BU5N6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10604038 | PA      | $10571645.90  | 0.48%             | 2055-01-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   95000000 | OU      | $1401354.50   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  150000000 | OU      | $2594790.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10                 | FNMA_25-10                     | CUSIP: 3136BUS68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10389030 | PA      | $10177889.90  | 0.47%             | 2055-02-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                 | FNMA_25-12                     | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23294183 | PA      | $23478935.96  | 1.08%             | 2055-03-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_3922                                           | FHLMC_3922                     | CUSIP: 3137AFJS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1814114 | PA      | $154797.44    | 0.01%             | 2041-09-15      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4097                | FHLMC_4097                     | CUSIP: 3137ATPX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     683578 | PA      | $83231.24     | 0.00%             | 2042-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC_4215                                                       | FHLMC_4215                     | CUSIP: 3137B34H8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     140283 | PA      | $3726.51      | 0.00%             | 2041-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286                | FHLMC_4286                     | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     838544 | PA      | $99599.61     | 0.00%             | 2043-12-15      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                           | FHLMC_4606                     | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   37481022 | PA      | $4019307.43   | 0.18%             | 2044-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FHLMC_4620                                            | FHLMC_4620                     | CUSIP: 3137BSAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     886469 | PA      | $83529.75     | 0.00%             | 2042-11-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4704                | FHLMC_4704                     | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7350459 | PA      | $878182.88    | 0.04%             | 2047-07-15      | Variable      | 1.70%                 | 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        |   10278108 | PA      | $1730497.34   | 0.08%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5083                | FHLMC_5083                     | CUSIP: 3137FFRN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    8612176 | PA      | $1519535.76   | 0.07%             | 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        |    7951278 | PA      | $965804.36    | 0.04%             | 2048-09-15      | Variable      | 1.75%                 | 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        |    5600879 | PA      | $343860.38    | 0.02%             | 2040-01-15      | Variable      | 1.63%                 | 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        |    8601513 | PA      | $1228994.44   | 0.06%             | 2050-06-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4979                                           | FHLMC_4979                     | CUSIP: 3137FTYA9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19733375 | PA      | $2685015.82   | 0.12%             | 2050-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FHLMC_4993                     | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16827138 | PA      | $2467661.04   | 0.11%             | 2050-07-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| STARC_19-CS02                                                    | STARC_19-CS02                  | CUSIP: 3137G0VZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2300000 | PA      | $2235395.30   | 0.10%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                  | CUSIP: 3137G0WA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2950000 | PA      | $2756908.93   | 0.13%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                  | CUSIP: 3137G0WB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  255378536 | PA      | $1819776.37   | 0.08%             | 2029-02-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | STACR_19-CS03                  | CUSIP: 3137G0WF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7345104 | PA      | $6760290.70   | 0.31%             | 2032-10-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | STACR_19-CS03                  | CUSIP: 3137G0WG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  625707836 | PA      | $4971123.62   | 0.23%             | 2029-10-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STACR_20-CS01                  | CUSIP: 3137G0WM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   16988156 | PA      | $13647632.19  | 0.63%             | 2033-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STARC_20-CS01                                                    | STARC_20-CS01                  | CUSIP: 3137G0WN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 2004994497 | PA      | $5019704.22   | 0.23%             | 2030-04-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STACR_20-CS01                  | CUSIP: 3137G0WP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        | 2004994500 | PA      | $7843337.98   | 0.36%             | 2030-04-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                  | CUSIP: 3137G0WT2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     218362 | PA      | $217768.75    | 0.01%             | 2033-06-25      | Variable      | 4.45%                 | 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        |    8495630 | PA      | $1087149.29   | 0.05%             | 2050-05-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-67              | GNMA_20-67                     | CUSIP: 38382FQZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   17182878 | PA      | $2024948.91   | 0.09%             | 2050-05-20      | Variable      | 1.51%                 | 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        |   22182934 | PA      | $2684403.47   | 0.12%             | 2050-06-20      | Variable      | 1.71%                 | 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        |   11264857 | PA      | $2342426.82   | 0.11%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                  | CUSIP: 3137G0WV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5650000 | PA      | $4653476.17   | 0.21%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                  | CUSIP: 3137G0WW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  465461907 | PA      | $1748833.48   | 0.08%             | 2030-06-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | STACR_20-CS02                  | CUSIP: 3137G0WX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  465461907 | PA      | $1368690.74   | 0.06%             | 2030-05-25      | Fixed         | 0.09%                 | 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        |   34588666 | PA      | $5732580.23   | 0.26%             | 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        |   21320981 | PA      | $1975900.57   | 0.09%             | 2045-03-25      | 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        |   34417796 | PA      | $4859851.34   | 0.22%             | 2051-06-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | FHLMC_5138                     | CUSIP: 3137H2LM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25206274 | PA      | $3011131.46   | 0.14%             | 2047-09-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5183                | FHLMC_5183                     | CUSIP: 3137H4ZL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   35636290 | PA      | $5266922.54   | 0.24%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | FHLMC_5513                     | CUSIP: 3137HKF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19183405 | PA      | $19635672.76  | 0.90%             | 2054-06-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                | FHLMC_5513                     | CUSIP: 3137HKF33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33455734 | PA      | $33979573.69  | 1.56%             | 2054-11-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_25-5532                                        | FHLMC_5532                     | CUSIP: 3137HKPN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19242528 | PA      | $19359039.67  | 0.89%             | 2055-04-25      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5542                     | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   12859799 | PA      | $12910668.36  | 0.59%             | 2055-05-25      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| FHLMC_5548                                                       | FHLMC_5548                     | CUSIP: 3137HLJQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20500000 | PA      | $20602500.00  | 0.95%             | 2055-06-25      | Variable      | 7.95%                 | No            |                  3 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC_5544                     | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   22630886 | PA      | $3005664.55   | 0.14%             | 2055-06-25      | Variable      | 2.65%                 | No            |                  3 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS                 | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   17505775 | PA      | $17073074.95  | 0.78%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140W1VH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   30290674 | PA      | $28236581.23  | 1.30%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA 30YR UMBS SUPER           | CUSIP: 3140XHYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   34501625 | PA      | $31947214.00  | 1.47%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_23-HE3                                      | FIGRE_23-HE3                   | CUSIP: 31684CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1935470 | PA      | $1990929.18   | 0.09%             | 2042-01-25      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE5                                      | FIGRE_24-HE5                   | CUSIP: 31684FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3950000 | PA      | $3915786.29   | 0.18%             | 2054-10-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE5                                      | FIGRE_24-HE5                   | CUSIP: 31684FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2923100.53   | 0.13%             | 2054-10-25      | Variable      | 8.63%                 | 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        |    8869726 | PA      | $1133092.44   | 0.05%             | 2050-07-20      | Variable      | 1.76%                 | 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        |   55983362 | PA      | $6966614.36   | 0.32%             | 2050-09-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160             | GNMA_20-160                    | CUSIP: 38382KE58<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   30129216 | PA      | $4219397.81   | 0.19%             | 2050-10-20      | Variable      | 1.86%                 | 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        |   11838576 | PA      | $1761291.18   | 0.08%             | 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        |   16376153 | PA      | $2446579.28   | 0.11%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | 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      | $0.02         | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                      | CUSIP: 69547MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1467434 | PA      | $1468951.07   | 0.07%             | 2030-03-15      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                         | PAID_22-3                      | CUSIP: 69547MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     958129 | PA      | $959119.27    | 0.04%             | 2030-03-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-6                         | PAID_23-6                      | CUSIP: 69547UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10909752 | PA      | $11006269.44  | 0.50%             | 2031-06-16      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-3                         | PAID_24-3                      | CUSIP: 69547XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5486604 | PA      | $5539958.57   | 0.25%             | 2031-10-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-3                         | PAID_24-3                      | CUSIP: 69547XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8224728 | PA      | $8281274.14   | 0.38%             | 2031-10-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAID_24-1                      | CUSIP: 69548AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3043610 | PA      | $3078888.24   | 0.14%             | 2031-07-15      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAID_24-1                      | CUSIP: 69548AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2213115 | PA      | $2239883.69   | 0.10%             | 2031-07-15      | Fixed         | 8.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-3                         | PAID_23-3                      | CUSIP: 69548BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59762 | PA      | $59824.79     | 0.00%             | 2030-12-16      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-3                         | PAID_23-3                      | CUSIP: 69548BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5130527 | PA      | $5155651.57   | 0.24%             | 2030-12-16      | Fixed         | 9.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_25-R1                        | PAID_25-R1                     | CUSIP: 69548DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $999368.60    | 0.05%             | 2032-06-15      | Fixed         | 12.11%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | PAID_22-5                      | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4057914 | PA      | $4215788.34   | 0.19%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_23-7                         | PAID_23-7                      | CUSIP: 69548RAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     881584 | PA      | $882807.83    | 0.04%             | 2031-07-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO PLMRS_23-2                                     | PLMRS_23-2A                    | CUSIP: 69703CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    2000000 | PA      | $2008036.00   | 0.09%             | 2038-07-20      | Variable      | 10.73%                | No            |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST PNT_25-1                              | PNT_25-1                       | CUSIP: 73072DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7750000 | PA      | $7659415.68   | 0.35%             | 2055-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PNT_21-1                                                         | PNT_21-1                       | CUSIP: 73090AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8505162 | PA      | $8425175.59   | 0.39%             | 2052-02-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL7                                                     | PRET_24-NPL7                   | CUSIP: 74136TAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10079470.00  | 0.46%             | 2054-10-25      | Variable      | 8.96%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                             | PRET_21-RN2                    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2536420 | PA      | $2525477.56   | 0.12%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL5                                                     | PRET_24-NPL5                   | CUSIP: 74143QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9845871 | PA      | $9825655.58   | 0.45%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE4                                      | FIGRE_24-HE4                   | CUSIP: 31684UAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1900000 | PA      | $1876044.42   | 0.09%             | 2054-09-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE4                                      | FIGRE_24-HE4                   | CUSIP: 31684UAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1233146.85   | 0.06%             | 2054-09-25      | Variable      | 8.48%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE2                                      | FIGRE_24-HE2                   | CUSIP: 316927AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7575000 | PA      | $8018395.05   | 0.37%             | 2054-05-25      | Variable      | 9.79%                 | 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        |   14000000 | PA      | $15393163.80  | 0.71%             | 2051-01-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_21-DNA5                      | STACR_21-DNA5                  | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   23300000 | PA      | $26546589.38  | 1.22%             | 2034-01-25      | Variable      | 9.82%                 | 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        |    7450000 | PA      | $7929652.61   | 0.36%             | 2041-10-25      | Variable      | 11.82%                | No            |                  2 | 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      | $7491977.55   | 0.34%             | 2050-11-25      | Variable      | 8.32%                 | 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      | $17025855.38  | 0.78%             | 2050-11-25      | Variable      | 11.72%                | 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      | $17634621.25  | 0.81%             | 2050-12-25      | Variable      | 9.97%                 | No            |                  2 | On Loan: No      |
| GCAT_19-NQM3                                                     | GCAT_19-NQM3                   | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5650000 | PA      | $5137990.79   | 0.24%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GITSIT MORTGAGE LOAN TRUST GITSIT_25-NPL1                        | GITSIT_25-NPL1                 | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5601292 | PA      | $5599889.20   | 0.26%             | 2055-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_10-9                      | CUSIP: 38375AN91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   27450428 | PA      | $3019898.39   | 0.14%             | 2040-01-16      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_14-6               | GNMA_14-6                      | CUSIP: 38378PQ84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7928269 | PA      | $814825.50    | 0.04%             | 2044-01-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                                 | GNMA_14-184                    | CUSIP: 38379HFE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4022717 | PA      | $409638.05    | 0.02%             | 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        |   40514930 | PA      | $1045706.54   | 0.05%             | 2058-08-16      | Variable      | 0.57%                 | 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        |    8158977 | PA      | $1187521.94   | 0.05%             | 2047-11-20      | Variable      | 1.76%                 | 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        |   17318092 | PA      | $793755.70    | 0.04%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | GNMA_19-102                    | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12022706 | PA      | $583467.93    | 0.03%             | 2060-03-16      | Variable      | 0.83%                 | 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        |    5279012 | PA      | $604238.39    | 0.03%             | 2048-03-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -9500000 | OU      | $-1240776.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  285000000 | OU      | $4874526.00   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -486556000 | OU      | $-493903.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |   46489600 | OU      | $1114267.38   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -5000000 | OU      | $-653040.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        | -670000000 | OU      | $-484276.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  378000000 | OU      | $1978300.80   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  200000000 | OU      | $4415200.00   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                             | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  140000000 | OU      | $782978.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | US 5YR NOTE SEP 25             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       1370 | NC      | $830843.35    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | THREE-MONTH SOFR FUTURE MAR 25 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      -4962 | NC      | $3214850.90   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | THREE-MONTH SOFR FUTURE MAR 26 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       4962 | NC      | $1195142.05   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 2YR NOTE SEP 25             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      -3308 | NC      | $-869686.43   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 10YR NOTE SEP 25            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |     -15296 | NC      | $-18918781.12 | -0.87%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US LONG BOND SEP 25            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |      -3005 | NC      | $-7715580.90  | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US ULTRA T-BOND SEP 25         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |        105 | NC      | $331055.34    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                            | FNMA_14-93                     | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     960537 | PA      | $112580.30    | 0.01%             | 2045-01-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_15-29                                            | FNMA_15-27                     | CUSIP: 3136ANXF9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7749297 | PA      | $639914.51    | 0.03%             | 2045-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-31                                            | FNMA_16-31                     | CUSIP: 3136ASJN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1058556 | PA      | $123796.06    | 0.01%             | 2046-06-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-81                                            | FNMA_17-81                     | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23469573 | PA      | $2867277.70   | 0.13%             | 2047-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-50                                            | FNMA_17-50                     | CUSIP: 3136AXAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6492550 | PA      | $708652.07    | 0.03%             | 2047-07-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                            | FNMA_17-72                     | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16996118 | PA      | $585630.15    | 0.03%             | 2047-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                            | FNMA_17-90                     | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6602399 | PA      | $789569.06    | 0.04%             | 2047-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-3                                             | FNMA_18-3                      | CUSIP: 3136B0VJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20761527 | PA      | $2602802.06   | 0.12%             | 2048-02-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-64                                            | FNMA_18-64                     | CUSIP: 3136B23K6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20991140 | PA      | $2580915.23   | 0.12%             | 2048-09-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-5                                             | FNMA_19-5                      | CUSIP: 3136B3L40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29978327 | PA      | $3074679.11   | 0.14%             | 2049-03-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-22                                            | FNMA_20-22                     | CUSIP: 3136B9HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29768255 | PA      | $3759682.93   | 0.17%             | 2050-04-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FNMA_20-38                     | CUSIP: 3136BACA0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4852774 | PA      | $573082.06    | 0.03%             | 2050-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FNMA_20-38                     | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19806688 | PA      | $1610123.26   | 0.07%             | 2050-06-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | FNMA_20-34                     | CUSIP: 3136BAHY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29999456 | PA      | $3825389.67   | 0.18%             | 2050-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-54                                            | FNMA_20-54                     | CUSIP: 3136BBGH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20938368 | PA      | $2479136.32   | 0.11%             | 2050-08-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_21-3                                             | FNMA_21-3                      | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   43516994 | PA      | $7370764.92   | 0.34%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | FNMA_22-90                     | CUSIP: 3136BPRP8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   39003981 | PA      | $4824913.35   | 0.22%             | 2050-07-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-46                 | FNMA_23-46                     | CUSIP: 3136BQLL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   58946026 | PA      | $6367709.33   | 0.29%             | 2050-06-25      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_24-74                                            | FNMA_24-74                     | CUSIP: 3136BS3Q6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28761925 | PA      | $3599862.62   | 0.17%             | 2054-10-25      | Variable      | 2.28%                 | 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        |   16459151 | PA      | $2304047.46   | 0.11%             | 2050-12-20      | Variable      | 1.86%                 | 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        |   15051634 | PA      | $2358735.58   | 0.11%             | 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        |   20961530 | PA      | $2949440.34   | 0.14%             | 2050-11-20      | Variable      | 1.86%                 | 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        |   28095556 | PA      | $6391691.26   | 0.29%             | 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        |   27602449 | PA      | $4346844.72   | 0.20%             | 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        |   18516395 | PA      | $3764364.64   | 0.17%             | 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        |   14590228 | PA      | $2445666.54   | 0.11%             | 2051-02-20      | Fixed         | 3.00%                 | 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        |   18773766 | PA      | $3603057.35   | 0.17%             | 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        |   22175470 | PA      | $3871506.73   | 0.18%             | 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        |   14722526 | PA      | $2236013.01   | 0.10%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | GNMA_21-42                     | CUSIP: 38382PZX3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   30599007 | PA      | $4056091.15   | 0.19%             | 2051-03-20      | Variable      | 1.86%                 | 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        |   35695197 | PA      | $5045558.98   | 0.23%             | 2050-11-20      | Variable      | 1.86%                 | 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        |   12456047 | PA      | $2317863.62   | 0.11%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GNMA_21-119                    | CUSIP: 38382UM24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25164497 | PA      | $3324360.88   | 0.15%             | 2051-07-20      | Variable      | 1.86%                 | 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        |   41797619 | PA      | $588334.92    | 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        |   41084082 | PA      | $5578314.48   | 0.26%             | 2051-06-20      | Variable      | 1.86%                 | 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        |   54894790 | PA      | $7320148.82   | 0.34%             | 2051-07-20      | Variable      | 1.86%                 | 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        |   54062759 | PA      | $296220.67    | 0.01%             | 2051-07-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | GNMA_21-117                    | CUSIP: 38382WEG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   29525613 | PA      | $4101311.39   | 0.19%             | 2051-07-20      | Variable      | 1.86%                 | 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        |   23766273 | PA      | $3131855.30   | 0.14%             | 2051-07-20      | Variable      | 1.86%                 | 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      | $3736618.95   | 0.17%             | 2060-01-26      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG4            | GRADE_23-FIG4                  | CUSIP: 79581UAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7824017 | PA      | $13477589.16  | 0.62%             | 2053-11-25      | Variable      | 49.38%                | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG3            | GRADE_23-FIG3                  | CUSIP: 79582AAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6714740 | PA      | $9515498.90   | 0.44%             | 2053-08-25      | Variable      | 3.99%                 | 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        |    2039549 | PA      | $2034754.82   | 0.09%             | 2051-03-27      | Variable      | 2.24%                 | 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        |   35826066 | PA      | $4982667.83   | 0.23%             | 2051-09-20      | Variable      | 1.86%                 | 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        |   29292953 | PA      | $3940643.22   | 0.18%             | 2051-07-20      | Variable      | 1.86%                 | 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        |   42779991 | PA      | $5999645.61   | 0.28%             | 2051-09-20      | Variable      | 1.86%                 | 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        |   73938973 | PA      | $438642.96    | 0.02%             | 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        |   61866719 | PA      | $8555659.97   | 0.39%             | 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        |    6571162 | PA      | $1120626.91   | 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        |  252508488 | PA      | $881153.62    | 0.04%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | GNMA_22-46                     | CUSIP: 38383PRL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23233038 | PA      | $295126.96    | 0.01%             | 2052-03-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF3                                            | PRPM_24-RCF3                   | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2250000 | PA      | $2004014.93   | 0.09%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | GNMA_22-90                     | CUSIP: 38383RH83<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   31129182 | PA      | $3227965.44   | 0.15%             | 2050-01-20      | Variable      | 1.61%                 | 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        |   22332011 | PA      | $2917887.19   | 0.13%             | 2050-06-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM_24-RCF6                   | CUSIP: 74390FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2350000 | PA      | $2158391.58   | 0.10%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM_24-RCF6                   | CUSIP: 74390FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4088000 | PA      | $3584506.39   | 0.16%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | GNMA_23-47                     | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   25834938 | PA      | $2003664.77   | 0.09%             | 2053-03-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-161             | GNMA_22-161                    | CUSIP: 38383YSS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   39884869 | PA      | $2763355.34   | 0.13%             | 2052-09-20      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-RPL1                                            | PRPM_25-RPL1                   | CUSIP: 74390WAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9500000 | PA      | $8176810.55   | 0.38%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_24-2                  | PRPM_24-2                      | CUSIP: 74448BAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1500000 | PA      | $1501649.40   | 0.07%             | 2029-03-25      | Variable      | 10.04%                | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | GNMA_22-168                    | CUSIP: 38383YZB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   55331774 | PA      | $5032203.48   | 0.23%             | 2052-09-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GNMA_23-66                     | CUSIP: 38384AQY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   58144911 | PA      | $2475042.78   | 0.11%             | 2053-05-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| PRPM_24-RCF4                                                     | PRPM_24-RCF4                   | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2335000 | PA      | $2135920.00   | 0.10%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM_24-RCF4                                                     | PRPM_24-RCF4                   | CUSIP: 74448JAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1910000 | PA      | $1690536.61   | 0.08%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-8                                       | PRPM_24-8                      | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4935298 | PA      | $4966804.59   | 0.23%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-8                                       | PRPM_24-8                      | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6100000 | PA      | $6135296.43   | 0.28%             | 2029-12-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_25-5                               | COLT_25-5                      | CUSIP: 19689AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8000000 | PA      | $8005528.00   | 0.37%             | 2070-05-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE PRPM_24-7                        | PRPM_24-7                      | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8044137 | PA      | $8034001.19   | 0.37%             | 2029-12-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRPM_24-RPL4                   | CUSIP: 74448MAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4700000 | PA      | $4343161.43   | 0.20%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRPM_24-RPL4                   | CUSIP: 74448MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4408000 | PA      | $3844708.73   | 0.18%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RCO MORTGAGE LLC RCO_25-3                                        | RCO_25-3                       | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $6991360.60   | 0.32%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_25-5                               | COLT_25-5                      | CUSIP: 19689AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3728000 | PA      | $3734108.70   | 0.17%             | 2070-05-25      | Variable      | 7.44%                 | 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        |  185170885 | NS      | $185115333.72 | 8.49%             |  |  |  | No            |                  1 | On Loan: No      |
| RR LTD RRAM_21-16A                                               | RRAM_21-16A                    | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3733333 | PA      | $3714957.53   | 0.17%             | 2036-07-15      | Variable      | 10.77%                | No            |                  2 | On Loan: No      |
| RUN_22-NQM1                                                      | RUN_22-NQM1                    | CUSIP: 74981CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5595000 | PA      | $4415265.72   | 0.20%             | 2067-03-25      | Variable      | 4.04%                 | 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        |    7059000 | PA      | $7366062.97   | 0.34%             | 2041-12-25      | Variable      | 9.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R02        | CAS_21-R02                     | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11350000 | PA      | $11931521.79  | 0.55%             | 2041-11-25      | Variable      | 10.52%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01        | CAS_22-R01                     | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10350000 | PA      | $10863718.11  | 0.50%             | 2041-12-25      | Variable      | 10.32%                | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                       | GNMA2 30YR TBA(REG C)          | CUSIP: 21H042661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  240000000 | PA      | $226391860.80 | 10.39%            | 2054-06-20      | Fixed         | 4.50%                 | 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      | $4797290.53   | 0.22%             | 2033-12-27      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| RCO MORTGAGE LLC RCO_25-1                                        | RCO_25-1                       | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8242028 | PA      | $8245460.28   | 0.38%             | 2030-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_20-2                   | DRMT_20-2                      | CUSIP: 24380NAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4911000 | PA      | $4895259.75   | 0.22%             | 2065-05-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | EASY_25-RTL1                   | CUSIP: 27786FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10019403.00  | 0.46%             | 2040-05-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| EASY MORTGAGE LOAN TRUST EASY_25-RTL1                            | EASY_25-RTL1                   | CUSIP: 27786FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3750000 | PA      | $3688092.38   | 0.17%             | 2040-05-25      | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX_25-1NN                   | CUSIP: 280579103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8358000 | PA      | $8174403.58   | 0.38%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RCO MORTGAGE LLC RCO_25-1                                        | RCO_25-1                       | CUSIP: 75523XAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7500000 | PA      | $7433118.75   | 0.34%             | 2030-01-25      | Variable      | 8.35%                 | 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        |    3459917 | PA      | $3379460.81   | 0.16%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   21564911 | PA      | $21536342.16  | 0.99%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-152                                           | FNMA_12-152                    | CUSIP: 3136AAP33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      22574 | PA      | $1.52         | 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        |    1749611 | PA      | $181344.70    | 0.01%             | 2043-10-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-101                                           | FNMA_13-101                    | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9156098 | PA      | $1197286.15   | 0.05%             | 2043-10-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX_25-1NN                   | CUSIP: 280579AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6537500 | PA      | $6490420.85   | 0.30%             | 2031-01-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO VIII LTD ELMW8_21-1A                                 | ELMW8_24-1A                    | CUSIP: 290021AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    2500000 | PA      | $2476877.50   | 0.11%             | 2037-04-20      | Variable      | 10.52%                | No            |                  2 | On Loan: No      |
| FIGRE TRUST FIGRE_25-HE1                                         | FIGRE_25-HE1                   | CUSIP: 30191LAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2110000 | PA      | $2107982.84   | 0.10%             | 2055-01-25      | Variable      | 9.08%                 | 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      | $8763777.46   | 0.40%             | 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        |    1243154 | PA      | $174343.27    | 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        |    1531101 | PA      | $158746.20    | 0.01%             | 2043-08-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   23456173 | PA      | $21612927.62  | 0.99%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FHLMC 30YR UMBS SUPER          | CUSIP: 3132E0B27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   20121701 | PA      | $19891802.16  | 0.91%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GNMA_23-113                    | CUSIP: 38384CVG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   14960775 | PA      | $1192019.17   | 0.05%             | 2053-08-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GNMA_23-113                    | CUSIP: 38384CZJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   50342062 | PA      | $5724733.20   | 0.26%             | 2049-09-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141             | GNMA_23-141                    | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   33046717 | PA      | $3412020.64   | 0.16%             | 2049-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | GNMA_23-173                    | CUSIP: 38384GBQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   64785253 | PA      | $5265505.67   | 0.24%             | 2053-11-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-51              | GNMA_24-51                     | CUSIP: 38384KWT4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   35489412 | PA      | $2015795.08   | 0.09%             | 2054-03-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | GNMA_24-64                     | CUSIP: 38384MC21<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   48565469 | PA      | $4899158.24   | 0.22%             | 2054-04-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | GNMA_24-64                     | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   48538847 | PA      | $2596469.14   | 0.12%             | 2054-04-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | GNMA_24-79                     | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22049710 | PA      | $3243644.65   | 0.15%             | 2054-05-20      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GNMA_24-97                     | CUSIP: 38384PRM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   28254625 | PA      | $4655780.23   | 0.21%             | 2054-06-20      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197             | GNMA_24-197                    | CUSIP: 38385BEL0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19865086 | PA      | $2342576.31   | 0.11%             | 2054-12-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | GNMA_25-39                     | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9780258 | PA      | $9788381.46   | 0.45%             | 2055-03-20      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| HTAP HTAP_24-1                                                   | HTAP_24-2                      | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13903372 | PA      | $13738831.15  | 0.63%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_24-2                                             | HTAP_24-2                      | CUSIP: 40444WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4700000 | PA      | $4498442.85   | 0.21%             | 2042-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HTAP HTAP_24-1                                                   | HTAP_24-1                      | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7099866 | PA      | $7091946.57   | 0.33%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_25-1                                             | HTAP_25-1                      | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6899905 | PA      | $6761155.88   | 0.31%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                      | HILT_16-SFP                    | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27400000 | PA      | $550964.68    | 0.03%             | 2035-11-05      | Variable      | 0.00%                 | 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        |    1674029 | PA      | $1653008.79   | 0.08%             | 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        |    2747554 | PA      | $2616057.94   | 0.12%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_22-1                     | HOF_22-1                       | CUSIP: 43789KAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3000000 | PA      | $2923690.50   | 0.13%             | 2067-07-25      | Variable      | 5.04%                 | 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      | $3789965.63   | 0.17%             | 2065-05-25      | Variable      | 5.45%                 | 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      | $5753053.09   | 0.26%             | 2056-11-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | IMPRL_22-NQM3                  | CUSIP: 45276KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4489000 | PA      | $3566084.05   | 0.16%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM5                       | IMPRL_22-NQM5                  | CUSIP: 45276QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3000000 | PA      | $2899667.40   | 0.13%             | 2067-08-25      | Variable      | 6.25%                 | 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      | $3921357.54   | 0.18%             | 2070-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| COREVEST AMERICAN FINANCE CAFL_25-RTL1                           | CAFL_25-RTL1                   | CUSIP: 124760AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3000000 | PA      | $2999972.10   | 0.14%             | 2040-05-28      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-2                                  | CHNGE_22-2                     | CUSIP: 12546YAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4569000 | PA      | $3938682.69   | 0.18%             | 2067-03-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE_23-1                     | CUSIP: 12547QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5373000 | PA      | $5369308.21   | 0.25%             | 2058-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE3                                      | FIGRE_24-HE3                   | CUSIP: 31684GAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1850000 | PA      | $1894466.97   | 0.09%             | 2054-07-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE3                                      | FIGRE_24-HE3                   | CUSIP: 31684GAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1550000 | PA      | $1594264.90   | 0.07%             | 2054-07-25      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGRE_24-HE1                   | CUSIP: 31684HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2350000 | PA      | $2405213.25   | 0.11%             | 2054-03-25      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGRE_24-HE1                   | CUSIP: 31684HAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3250000 | PA      | $3374465.90   | 0.15%             | 2054-03-25      | Variable      | 10.03%                | 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        |    7062524 | PA      | $809938.71    | 0.04%             | 2048-04-20      | Variable      | 1.76%                 | 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        |    6668905 | PA      | $688322.35    | 0.03%             | 2048-04-20      | Variable      | 1.76%                 | 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        |    5969910 | PA      | $762313.38    | 0.03%             | 2048-06-20      | Variable      | 1.76%                 | 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        |   13323264 | PA      | $1711645.08   | 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        |   12333339 | PA      | $1835573.30   | 0.08%             | 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        |   18349203 | PA      | $2405808.01   | 0.11%             | 2050-10-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_25-A                                | MPOWR_25-A                     | CUSIP: 624930AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6480000 | PA      | $6574022.86   | 0.30%             | 2042-07-21      | Fixed         | 8.47%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-BPL1                             | NYMT_24-BPL1                   | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6850000 | PA      | $6869114.24   | 0.32%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-RR1                              | NYMT_24-RR1                    | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13903286 | PA      | $13947053.46  | 0.64%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| ENVA_23-A                                                        | ENVA_23-A                      | CUSIP: 64110XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1372471 | PA      | $1381421.39   | 0.06%             | 2027-12-20      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| ENVA_25-A                                                        | ENVA_25-A                      | CUSIP: 64112RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $12499375.00  | 0.57%             | 2031-10-20      | Fixed         | 7.29%                 | No            |                  3 | On Loan: No      |
| NRZT_14-1A                                                       | NRZT_14-1A                     | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3034796 | PA      | $137114.53    | 0.01%             | 2054-01-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3                 | NRZT_19-RPL3                   | CUSIP: 64830NAK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9250000 | PA      | $6513887.00   | 0.30%             | 2059-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NRZT_22-NQM2                   | CUSIP: 64831MAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2887000 | PA      | $2022682.15   | 0.09%             | 2062-03-27      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-RPL1                 | NRZT_24-RPL1                   | CUSIP: 64832AAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6748000 | PA      | $4192431.18   | 0.19%             | 2064-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_24-RPL1                 | NRZT_24-RPL1                   | CUSIP: 64832AAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5287000 | PA      | $2829620.90   | 0.13%             | 2064-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC TRUST OBX_21-NQM2                       | OBX_21-NQM2                    | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6911069 | PA      | $5601804.71   | 0.26%             | 2061-05-25      | Variable      | 1.10%                 | 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        |    5328754 | PA      | $4849296.47   | 0.22%             | 2065-05-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC OBX_21-NQM3                             | OBX_21-NQM3                    | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5019315 | PA      | $4058863.69   | 0.19%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NYMT_24-CP1                    | CUSIP: 67118PAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5295000 | PA      | $4043302.24   | 0.19%             | 2068-02-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NYMT_24-CP1                    | CUSIP: 67118PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2350000 | PA      | $1715772.37   | 0.08%             | 2068-02-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_25-R1                               | NYMT_25-R1                     | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6506862 | PA      | $6503511.01   | 0.30%             | 2030-02-25      | Fixed         | 6.38%                 | 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      | $6620792.10   | 0.30%             | 2033-10-25      | Variable      | 8.27%                 | 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      | $2432710.14   | 0.11%             | 2033-10-25      | Variable      | 9.82%                 | 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        |    2500000 | PA      | $2316605.00   | 0.11%             | 2034-07-15      | Variable      | 10.77%                | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC OPTN_24-3                                    | OPTN_24-3                      | CUSIP: 68377NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1804499.41   | 0.08%             | 2029-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC1                                        | PRKCM_22-AFC1                  | CUSIP: 69377CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5893575 | PA      | $5544520.07   | 0.25%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_22-NQM1                                            | PRPM_22-NQM1                   | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4608000 | PA      | $4468099.74   | 0.20%             | 2067-08-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2               | PRPM_23-RCF2                   | CUSIP: 69380RAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1724000 | PA      | $1622032.99   | 0.07%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF2               | PRPM_23-RCF2                   | CUSIP: 69380RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3688000 | PA      | $3344350.68   | 0.15%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_23-NQM3                                            | PRPM_23-NQM3                   | CUSIP: 69380TAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2043000 | PA      | $1998558.62   | 0.09%             | 2068-11-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | PRPM_23-RCF1                   | CUSIP: 69381AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7802000 | PA      | $7184697.96   | 0.33%             | 2053-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_24-5                  | PRPM_24-5                      | CUSIP: 69381KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4940208 | PA      | $4940194.83   | 0.23%             | 2029-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_24-5                  | PRPM_24-5                      | CUSIP: 69381KAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2808230.32   | 0.13%             | 2029-09-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL6                                                     | PRET_24-NPL6                   | CUSIP: 69381QAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10875000 | PA      | $10836969.04  | 0.50%             | 2054-10-25      | Variable      | 8.72%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_25-2                                               | PRPM_25-2                      | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4900000 | PA      | $4875033.52   | 0.22%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_23-NQM1                                            | PRPM_23-NQM1                   | CUSIP: 693965AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2700000 | PA      | $2665639.53   | 0.12%             | 2068-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF2                                            | PRPM_24-RCF2                   | CUSIP: 693987AD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2586980.20   | 0.12%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF2                                            | PRPM_24-RCF2                   | CUSIP: 693987AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11150000 | PA      | $9896393.24   | 0.45%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PAGAYA POINT OF SALE HOLDINGS POSH_25-1                          | POSH_25-1                      | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8200000 | PA      | $8225625.00   | 0.38%             | 2034-01-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-2                         | PAID_24-2                      | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3024224 | PA      | $3051871.54   | 0.14%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-5                         | PAID_24-5                      | CUSIP: 69544LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4837561 | PA      | $4880411.62   | 0.22%             | 2031-10-15      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-2                         | PAID_21-2                      | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907832 | PA      | $898582.54    | 0.04%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-9                         | PAID_24-9                      | CUSIP: 69546QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10611460 | PA      | $10589506.69  | 0.49%             | 2032-03-15      | Fixed         | 6.17%                 | 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      | $402600.87    | 0.02%             | 2029-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL5                                                     | PRET_24-NPL5                   | CUSIP: 74143QAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4959524.50   | 0.23%             | 2054-09-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL4                                                     | PRET_24-NPL4                   | CUSIP: 74143RAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8500000 | PA      | $8513576.20   | 0.39%             | 2054-07-25      | Variable      | 9.44%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_24-NPL9                                            | PRET_24-NPL9                   | CUSIP: 74143TAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9050000 | PA      | $9102850.19   | 0.42%             | 2054-12-25      | Variable      | 8.59%                 | No            |                  2 | On Loan: No      |
| PROSPER MARKETPLACE ISSUANCE TRUST SERIES PMIT_24-1              | PMIT_24-1A                     | CUSIP: 74363CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1451286 | PA      | $1453400.23   | 0.07%             | 2029-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPST_24-1                      | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12250000 | PA      | $12534721.71  | 0.58%             | 2034-11-20      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_25-1                           | UPST_25-1                      | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10850000 | PA      | $10623398.84  | 0.49%             | 2035-04-20      | Fixed         | 9.27%                 | 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        |    2995983 | PA      | $2991309.64   | 0.14%             | 2051-04-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |  -50000000 | OU      | $-6530400.00  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  113000000 | OU      | $1454276.10   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |   -9500000 | OU      | $-1240776.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION VCAT_25-NPL2                           | VCAT_25-NPL2                   | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8308791 | PA      | $8284091.95   | 0.38%             | 2054-09-25      | Variable      | 5.98%                 | 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      | $5680359.00   | 0.26%             | 2060-01-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-R2                           | VERUS_21-R2                    | CUSIP: 92538DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3781000 | PA      | $3297523.53   | 0.15%             | 2064-02-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-4                            | VERUS_21-4                     | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7564094 | PA      | $6237074.38   | 0.29%             | 2066-07-25      | Variable      | 0.94%                 | 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      | $2600374.20   | 0.12%             | 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      | $2480378.25   | 0.11%             | 2066-09-25      | Variable      | 3.94%                 | 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      | $1978624.00   | 0.09%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-2                            | VERUS_22-2                     | CUSIP: 92538XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4493200 | PA      | $3418897.00   | 0.16%             | 2067-02-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_23-1                            | VERUS_23-1                     | CUSIP: 92539BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $6936250.30   | 0.32%             | 2067-12-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_23-INV1                         | VERUS_23-INV1                  | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4198000 | PA      | $4178204.33   | 0.19%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| VISIO_19-2                                                       | VISIO_19-2                     | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1400000 | PA      | $1321987.38   | 0.06%             | 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      | $1139944.44   | 0.05%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| VSTA_20-1                                                        | VSTA_20-1                      | CUSIP: 92838WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1962100.80   | 0.09%             | 2065-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VSTA_24-CES3                   | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4700000 | PA      | $4729243.40   | 0.22%             | 2055-01-25      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VSTA_24-CES3                   | CUSIP: 92841WAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2990103.00   | 0.14%             | 2055-01-25      | Variable      | 9.49%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES2                    | VSTA_24-CES2                   | CUSIP: 92841YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2504707.50   | 0.11%             | 2054-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VSTA_25-CES1                   | CUSIP: 92842DAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3929000 | PA      | $3870560.45   | 0.18%             | 2055-04-25      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VSTA_25-CES1                   | CUSIP: 92842DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2546000 | PA      | $2497037.87   | 0.11%             | 2055-04-25      | Variable      | 8.96%                 | 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        |    1292263 | PA      | $1292068.67   | 0.06%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer