NPORT-P false 0001352280 XXXXXXXX S000031344 C000149222 C000097361 C000097358 C000097356 C000121134 Columbia Funds Series Trust II 811-21852 0001352280 549300ETFU8G7TK7WT48 290 Congress Street Boston 02210 1800-345-6611 Columbia Quality Income Fund S000031344 TJ30X3X4Z9WHP6KG4C22 2026-05-31 2026-02-28 N 1551116720.79 357838163.37 1193278557.42 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 343504378.69000000 0.00000000 0.00000000 0.00000000 USD N BBG MBS Index LEH_MBS Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0B27 14632499.21000000 PA USD 14991033.19000000 1.256289497266 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N Affirm Inc N/A 00833Q105 22000.00000000 PA USD 311882.67000000 0.026136618986 Long ABS-O CORP US N 2 2029-12-17 Variable 100.00000000 N N N N N N CHNGE Mortgage Trust N/A 12547QAB3 6144000.00000000 PA USD 6198470.86000000 0.519448775933 Long ABS-MBS CORP US N 2 2058-03-25 Variable 8.07000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693581AB6 3600000.00000000 PA USD 3544737.84000000 0.297058705861 Long ABS-MBS CORP US N 2 2054-01-25 Variable 4.00000000 N N N N N N FREDDIE MAC FHLMC_4935 N/A 3137FQ4U4 5746058.13000000 PA USD 841158.55000000 0.070491382315 Long ABS-CBDO USGA US N 2 2049-12-25 Floating 2.27000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140MP6G1 17946012.54000000 PA USD 16933593.99000000 1.419081394256 Long ABS-MBS USGA US N 2 2052-05-01 Fixed 3.50000000 N N N N N N FIGURE LENDING FIGRE_23-HE3 N/A 31684CAC5 1608190.55000000 PA USD 1671406.75000000 0.140068447522 Long ABS-CBDO CORP US N 2 2042-01-25 Floating 7.31000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95 N/A 38384P6F2 14396976.43000000 PA USD 938010.52000000 0.078607841745 Long ABS-CBDO USGA US N 2 2054-06-20 Floating 1.74000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21 N/A 38380K4X0 5440622.61000000 PA USD 883031.00000000 0.074000407910 Long ABS-CBDO USGA US N 2 2048-02-20 Floating 2.42000000 N N N N N N Freddie Mac - STACR 5493000IT1PBTE7DAT80 35564KBE8 4000000.00000000 PA USD 4479854.40000000 0.375424025860 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 8.42000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-86 N/A 3136BXPP3 12518396.02000000 PA USD 12497673.07000000 1.047339113930 Long ABS-CBDO USGA US N 2 2055-09-25 Floating 4.52000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3 N/A 64830NAJ0 12000000.00000000 PA USD 10555540.80000000 0.884583128923 Long ABS-CBDO CORP US N 2 2059-07-25 Floating 3.98000000 N N N N N N NRZ Excess Spread Collateralized Notes N/A 65246QAA7 1428981.83000000 PA USD 1411406.78000000 0.118279740402 Long ABS-O CORP US N 2 2026-11-25 Fixed 3.47000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23 N/A 38381RWR6 5701270.31000000 PA USD 802477.17000000 0.067249777096 Long ABS-CBDO USGA US N 2 2049-02-20 Floating 2.27000000 N N N N N N PAGAYA AI DEBT TRUST PAID_25-5 N/A 69548WAE3 2499903.40000000 PA USD 2509827.77000000 0.210330417352 Long ABS-MBS CORP US N 2 2033-03-15 Fixed 5.87000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69392VAA0 2793395.95000000 PA USD 2812733.51000000 0.235714745103 Long ABS-MBS CORP US N 2 2070-07-25 Variable 4.98000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 75000000.00000000 NC USD 147210.00000000 0.012336599789 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased MORGAN STANLEY CAPITAL SERVICES 9R7GPTSO7KV3UQJZQ078 MORGAN STANLEY CAPITAL SERVICES 9R7GPTSO7KV3UQJZQ078 N/A 75000000.00000000 OU Notional Amount N/A 147210.00000000 0.01000000 DIR US N/A N/A 2031-08-06 0.00000000 N/A 0.00000000 N/A 75000000.00000000 USD 1.00000000 3.75000000 USD 2026-08-04 XXXX -270915.00000000 N N N FANNIE MAE FNMA_12-129 N/A 3136AADU6 117083.30000000 PA USD 653.68000000 0.000054780168 Long ABS-CBDO USGA US N 2 2041-01-25 Fixed 3.50000000 N N N N N N FREDDIE MAC REMICS FHLMC_4965 N/A 3137FRWS6 4719620.36000000 PA USD 596715.29000000 0.050006369953 Long ABS-CBDO USGA US N 2 2050-04-25 Floating 2.07000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54 N/A 3136BGJP7 17723216.22000000 PA USD 2415254.33000000 0.202404904955 Long ABS-CBDO USGA US N 2 2049-04-25 Fixed 2.50000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104 N/A 3137FYZH2 4081515.46000000 PA USD 3499290.54000000 0.293250098079 Long ABS-CBDO USGA US N 2 2049-06-25 Fixed 2.00000000 N N N N N N CSMC TRUST CSMC_22-NQM1 N/A 126416AC0 4290445.41000000 PA USD 3836270.44000000 0.321489933439 Long ABS-CBDO CORP US N 2 2066-11-25 Floating 2.68000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HAQZ2 26837276.03000000 PA USD 3121156.42000000 0.261561426759 Long ABS-MBS USGSE US N 2 2048-01-15 Floating 2.23000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69382HAB1 3000000.00000000 PA USD 2997282.30000000 0.251180437406 Long ABS-MBS CORP US N 2 2030-05-25 Variable 9.56000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513 N/A 3137HKF33 11403095.10000000 PA USD 11673952.82000000 0.978309108749 Long ABS-CBDO USGA US N 2 2054-11-25 Floating 7.62000000 N N N N N N CHNGE Mortgage Trust N/A 17030AAA3 2295759.37000000 PA USD 2301732.94000000 0.192891502632 Long ABS-MBS CORP US N 2 2058-07-25 Variable 7.10000000 N N N N N N FANNIE MAE FNMA_417 N/A 31395QC32 4561208.28000000 PA USD 902107.66000000 0.075599084085 Long ABS-CBDO USGA US N 2 2043-02-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138EGFW9 645054.35000000 PA USD 677968.31000000 0.056815594798 Long ABS-MBS USGA US N 2 2036-09-01 Fixed 6.50000000 N N N N N N FNMA_20-55 N/A 3136BBRM6 16674172.32000000 PA USD 2787379.70000000 0.233590026626 Long ABS-CBDO USGA US N 2 2050-08-25 Fixed 2.50000000 N N N N N N FREDDIE MAC FHLMC_4147 N/A 3137AXDF7 21215.54000000 PA USD 17.24000000 0.000001444759 Long ABS-CBDO USGA US N 2 2041-01-15 Fixed 3.50000000 N N N N N N Fannie Mae N/A 3136BQER6 18077705.54000000 PA USD 2399439.39000000 0.201079569818 Long ABS-CBDO USGA US N 2 2048-10-25 Variable 2.42000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983 N/A 3137FTHL4 19448780.24000000 PA USD 3048409.59000000 0.255465043852 Long ABS-CBDO USGA US N 2 2050-05-25 Floating 2.32000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159 N/A 38382XG74 10888164.30000000 PA USD 1687750.39000000 0.141438089162 Long ABS-CBDO USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BU5N6 5251817.09000000 PA USD 5375210.11000000 0.450457278107 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 7.62000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117 N/A 38381YRF3 9877327.14000000 PA USD 1347010.61000000 0.112883165596 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.32000000 N N N N N N Credit Suisse Mortgage Trust N/A 12649AAS8 4050000.00000000 PA USD 2588068.67000000 0.216887218320 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.37000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NPW3 23932362.54000000 PA USD 1365752.92000000 0.114453822329 Long ABS-MBS USGA US N 2 2061-07-16 Variable 0.80000000 N N N N N N FANNIE MAE FNMA_13-1 N/A 3136ABYL1 1217163.53000000 PA USD 168273.59000000 0.014101786121 Long ABS-CBDO USGA US N 2 2043-02-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31417CNA9 3523199.20000000 PA USD 3427077.66000000 0.287198461640 Long ABS-MBS USGA US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69382WAD4 2200000.00000000 PA USD 2126989.26000000 0.178247505309 Long ABS-MBS CORP US N 2 2055-08-25 Variable 4.50000000 N N N N N N Splitero Trust 2025-1 N/A 848948AA3 4300000.00000000 PA USD 4290941.19000000 0.359592583250 Long ABS-MBS CORP US N 2 2055-12-25 Variable 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKQ98 10915185.42000000 PA USD 11065467.88000000 0.927316410002 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 7.12000000 N N N N N N FANNIE MAE FNMA_17-3 N/A 3136AU5X5 8622419.89000000 PA USD 998965.98000000 0.083716075662 Long ABS-CBDO USGA US N 2 2047-02-25 Floating 2.22000000 N N N N N N SAIF SECURITIZATION TRUST SAIF_25-CES1 N/A 78438CAC5 2250000.00000000 PA USD 2295708.75000000 0.192386659068 Long ABS-CBDO CORP US N 2 2065-06-25 Floating 5.99000000 N N N N N N FANNIE MAE FHLMC_4620 N/A 3137BSAF0 2310027.30000000 PA USD 245308.27000000 0.020557502560 Long ABS-CBDO USGA US N 2 2042-11-15 Floating 2.03000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV77 5261113.52000000 PA USD 5301025.06000000 0.444240368440 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.50000000 N N N N N N ASP WHCO PARTICIPATION LP ASPWP-29-1A N/A 04524YAA2 7600000.00000000 PA USD 7600000.00000000 0.636900743145 Long ABS-MBS CORP US N 3 2029-03-29 Floating 6.71000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39 N/A 38385EZR8 5523682.87000000 PA USD 5743065.33000000 0.481284549553 Long ABS-CBDO USGA US N 2 2055-03-20 Floating 7.66000000 N N N N N N CHNGE Mortgage Trust 2022-2 N/A 12546YAA9 5254971.68000000 PA USD 5240844.74000000 0.439197093370 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.76000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7D84 8148153.22000000 PA USD 7685871.82000000 0.644097036036 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 3.00000000 N N N N N N LHOME Mortgage Trust 5299002NGIWITLMXOH85 50205DAA7 10000000.00000000 PA USD 10020713.00000000 0.839763099545 Long ABS-MBS CORP US N 2 2029-01-25 Variable 7.02000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140FG6D6 3210049.71000000 PA USD 3093380.49000000 0.259233728014 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.50000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474JAA4 3255019.05000000 PA USD 3265077.06000000 0.273622369202 Long ABS-MBS CORP US N 2 2066-10-25 Variable 5.89000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100 N/A 38384B4H1 20068814.47000000 PA USD 1965166.41000000 0.164686308806 Long ABS-CBDO USGA US N 2 2053-07-20 Floating 3.19000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 94.00000000 NC USD 99987.71000000 0.008379243000 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra U.S. Treasury Bond Futures WNM6 Comdty 2026-06-18 11329824.79000000 USD 99987.71000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92 N/A 38381WR67 12358442.23000000 PA USD 1629774.51000000 0.136579552181 Long ABS-CBDO USGA US N 2 2049-07-20 Floating 2.32000000 N N N N N N Government National Mortgage Association N/A 38382FAH7 12219798.08000000 PA USD 1179882.60000000 0.098877382205 Long ABS-CBDO USGA US N 2 2049-05-20 Variable 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102 N/A 38380NKM0 11884309.81000000 PA USD 551392.76000000 0.046208218238 Long ABS-MBS USGA US N 2 2060-03-16 Floating 0.84000000 N N N N N N CIM_20-R3 N/A 12559NAC3 8500000.00000000 PA USD 8261863.15000000 0.692366681578 Long ABS-CBDO CORP US N 2 2060-01-26 Floating 4.00000000 N N N N N N Hilton USA Trust N/A 43289VAN3 5000000.00000000 PA USD 478778.50000000 0.040122945059 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 4.93000000 Y N N N N N FANNIE MAE FNMA_20-40 N/A 3136BAPQ1 14372464.98000000 PA USD 2331315.86000000 0.195370632071 Long ABS-CBDO USGA US N 2 2050-06-25 Floating 2.30000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-46 N/A 3136BNGS9 15638822.08000000 PA USD 1760624.85000000 0.147545167811 Long ABS-CBDO USGA US N 2 2052-07-25 Floating 2.33000000 N N N N N N FREDDIEMAC STRIP FHSTR_264 N/A 31325TL98 2417390.68000000 PA USD 255743.08000000 0.021431968119 Long ABS-CBDO USGA US N 2 2042-07-15 Floating 2.18000000 N N N N N N FREDDIE MAC GOLD N/A 3132QTYQ3 961268.15000000 PA USD 951292.16000000 0.079720879427 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -1769730.14000000 OU Notional Amount USD -50163.45000000 -0.00420383402 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.BBB-.7 137BERAG2 Y sell protection 2047-01-17 0.00000000 USD -82161.75000000 USD -1769730.14000000 USD -50163.45000000 N N N CREDIT SUISSE MORTGAGE TRUST CSMC_22-ATH1 N/A 12660BAB7 2447765.47000000 PA USD 2336293.50000000 0.195787771888 Long ABS-CBDO CORP US N 2 2067-01-25 Variable 3.41000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69392PAC9 2000000.00000000 PA USD 2013723.60000000 0.168755533859 Long ABS-MBS CORP US N 2 2055-07-25 Variable 5.25000000 N N N N N N CMLTI_14-A N/A 17322GAD1 262216.71000000 PA USD 263067.08000000 0.022045739309 Long ABS-CBDO CORP US N 2 2035-01-25 Floating 5.48000000 N N N N N N FREDDIE MAC GOLD N/A 3128M95V0 3563436.09000000 PA USD 3450330.56000000 0.289147118126 Long ABS-MBS USGA US N 2 2044-06-01 Fixed 3.50000000 N N N N N N CHNGE MORTGAGE TRUST CHNGE_23-4 N/A 12569QAE0 5480320.00000000 PA USD 5537553.72000000 0.464062115720 Long ABS-CBDO CORP US N 2 2058-09-25 Floating 8.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLXM5 16698564.57000000 PA USD 15257027.92000000 1.278580581636 Long ABS-MBS USGA US N 2 2052-06-01 Fixed 3.00000000 N N N N N N FANNIE MAE FNMA_16-101 N/A 3136AU3F6 12090635.02000000 PA USD 1575733.77000000 0.132050790672 Long ABS-CBDO USGA US N 2 2047-01-25 Floating 2.17000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -5000000.00000000 OU Notional Amount USD -204296.00000000 -0.01712056239 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.16.BBB- 137BEMAO1 Y sell protection 2065-04-17 0.00000000 USD -632304.50000000 USD -5000000.00000000 USD -204296.00000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17 N/A 38383VC89 19215018.45000000 PA USD 2168526.28000000 0.181728420955 Long ABS-CBDO USGA US N 2 2053-02-20 Floating 2.49000000 N N N N N N UMBS, TBA N/A 01F052631 22000000.00000000 PA USD 22352721.38000000 1.873219060294 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19 N/A 38380N3D9 17287116.00000000 PA USD 779427.66000000 0.065318165247 Long ABS-MBS USGA US N 2 2061-12-16 Floating 0.72000000 N N N N N N FANNIE MAE FNMA_17-72 N/A 3136AXU52 21970627.91000000 PA USD 994239.02000000 0.083319943513 Long ABS-CBDO USGA US N 2 2047-09-25 Floating 0.17000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAQ2 2200000.00000000 PA USD 1770154.76000000 0.148343800279 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.37000000 N N N N N N STAR 2025-SFR6 Trust N/A 85520EAA9 8000000.00000000 PA USD 8020254.40000000 0.672119208891 Long ABS-O CORP US N 2 2042-08-17 Floating 5.06000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139 N/A 38381ANK8 2837412.37000000 PA USD 388641.51000000 0.032569219281 Long ABS-CBDO USGA US N 2 2048-10-20 Floating 2.37000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLR4 17972491.47000000 PA USD 15888306.28000000 1.331483431190 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119 N/A 38382UN72 16507223.84000000 PA USD 2806277.57000000 0.235173719711 Long ABS-CBDO USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N FREDDIE MAC FHLMC_4107 N/A 3137AUG60 1245682.34000000 PA USD 63526.81000000 0.005323720065 Long ABS-CBDO USGA US N 2 2038-06-15 Floating 2.10000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ERRU6 6569239.74000000 PA USD 6158991.90000000 0.516140331333 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13 N/A 3136BFNK5 12514825.41000000 PA USD 2420791.49000000 0.202868934076 Long ABS-CBDO USGA US N 2 2051-03-25 Fixed 3.00000000 N N N N N N FANNIE MAE FNMA_17-90 N/A 3136AYQT3 4722741.02000000 PA USD 640970.88000000 0.053715109185 Long ABS-CBDO USGA US N 2 2047-11-25 Floating 2.37000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-111 N/A 38382UPG0 14700807.22000000 PA USD 2128942.97000000 0.178411231540 Long ABS-CBDO USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191 N/A 38382MRY7 13955195.39000000 PA USD 3112573.76000000 0.260842176426 Long ABS-CBDO USGA US N 2 2050-12-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAVV1 21621247.01000000 PA USD 18277093.71000000 1.531670337688 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 100000000.00000000 NC USD 1080670.00000000 0.090563095538 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 100000000.00000000 OU Notional Amount N/A 1080670.00000000 0.09000000 DIR US N/A N/A 2036-06-09 0.00000000 N/A 0.00000000 N/A 100000000.00000000 USD 1.00000000 3.50000000 USD 2026-06-05 XXXX -758330.00000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X8QL4 13465940.32000000 PA USD 11933278.23000000 1.000041285900 Long ABS-MBS USGA US N 2 2050-12-01 Fixed 2.50000000 N N N N N N SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG4 N/A 79581UAD6 2662638.06000000 PA USD 4632894.37000000 0.388249193048 Long ABS-CBDO CORP US N 2 2053-11-25 Floating 49.38000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67 N/A 38382RT81 15663674.22000000 PA USD 2658498.31000000 0.222789414380 Long ABS-CBDO USGA US N 2 2051-04-20 Fixed 3.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 -4997448.93000000 OU Notional Amount USD -283781.31000000 -0.02378164831 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.10.BBB- 137BEMAI9 Y sell protection 2059-11-17 0.00000000 USD -964790.33000000 USD -4997448.93000000 USD -283781.31000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XN2F0 17261268.56000000 PA USD 14494813.51000000 1.214704933719 Long ABS-MBS USGA US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Home Partners of America Trust N/A 43732VAA4 19189912.91000000 PA USD 18840238.15000000 1.578863378785 Long ABS-O CORP US N 2 2026-12-17 Fixed 2.30000000 N N N N N N EASY MORTGAGE LOAN TRUST EASY_25-RTL1 N/A 27786FAA7 4350000.00000000 PA USD 4402394.88000000 0.368932706669 Long ABS-CBDO CORP US N 2 2040-05-25 Floating 6.46000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113 N/A 38384CZJ1 27858171.52000000 PA USD 3470272.93000000 0.290818343162 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASS N/A 38379E4C3 2495026.08000000 PA USD 126520.53000000 0.010602765734 Long ABS-CBDO USGA US N 2 2039-09-16 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3132M8QG4 4490390.92000000 PA USD 4457041.68000000 0.373512257660 Long ABS-MBS USGA US N 2 2044-08-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A 01F060634 19000000.00000000 PA USD 19488077.13000000 1.633154053495 Long ABS-MBS USGSE US N 2 2055-03-01 Fixed 6.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 3620AETC4 275736.31000000 PA USD 286949.99000000 0.024047192352 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 5.00000000 N N N N N N A&D Mortgage Trust 984500E3BD374F778L95 00039GAA7 1511133.06000000 PA USD 1521548.09000000 0.127509882796 Long ABS-MBS CORP US N 2 2069-02-25 Variable 6.20000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 -119190000.00000000 NC USD -221455.02000000 -0.01855853510 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Call Written CITIBANK NA MBNUM2BPBDO7JBLYG310 CITIBANK NA MBNUM2BPBDO7JBLYG310 N/A 119190000.00000000 OU Notional Amount N/A -221455.02000000 -0.02000000 DIR US N/A N/A 2028-03-30 0.00000000 N/A 0.00000000 N/A 119190000.00000000 USD 1.00000000 3.20000000 USD 2026-03-26 XXXX -126103.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8ED5 14330182.75000000 PA USD 12179402.16000000 1.020667142995 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLJQ6 9914621.28000000 PA USD 9892243.98000000 0.828997045030 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 8.27000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKNH3 5877290.99000000 PA USD 5981288.48000000 0.501248299720 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 7.62000000 N N N N N N NRZT_14-1A N/A 64828AAB9 5527410.52000000 PA USD 225431.57000000 0.018891780850 Long ABS-CBDO CORP US N 2 2054-01-25 Floating 2.01000000 N N N N N N FHLMC_4215 N/A 3137B34H8 99222.70000000 PA USD 1874.34000000 0.000157074807 Long ABS-CBDO USGA US N 2 2041-07-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412LMW7 1869417.61000000 PA USD 1886506.22000000 0.158094370192 Long ABS-MBS USGSE US N 2 2036-03-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104 N/A 38382HGQ7 9173520.53000000 PA USD 1225613.53000000 0.102709758956 Long ABS-CBDO USGA US N 2 2050-07-20 Floating 2.42000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 109751209.00000000 NC USD 10.98000000 0.000000920153 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 109751209.00000000 OU Notional Amount N/A 10.98000000 0.00000000 DIR GB N/A N/A 2031-03-03 0.00000000 N/A 0.00000000 N/A 109751209.00000000 USD 1.00000000 3.50000000 USD 2026-02-27 XXXX -713371.88000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193 N/A 38383DTZ1 123236330.40000000 PA USD 321979.56000000 0.026982765926 Long ABS-CBDO USGA US N 2 2051-11-20 Floating 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125 N/A 38382HLX6 10419161.24000000 PA USD 1565885.32000000 0.131225463682 Long ABS-CBDO USGA US N 2 2050-08-20 Floating 2.47000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286 N/A 3137B6UF6 1560362.14000000 PA USD 201329.78000000 0.016871985065 Long ABS-CBDO USGA US N 2 2043-12-15 Floating 2.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -9994897.86000000 OU Notional Amount USD -1073974.01000000 -0.09000195330 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.10.BBB- 137BEMAI9 Y sell protection 2059-11-17 0.00000000 USD -1423169.27000000 USD -9994897.86000000 USD -1073974.01000000 N N N Bain Capital Credit CLO, Limited N/A 05684ABG3 5000000.00000000 PA USD 5009260.00000000 0.419789660079 Long ABS-CBDO CORP JE N 2 2035-04-23 Floating 6.57000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XAZ88 18517722.31000000 PA USD 16295055.29000000 1.365570108393 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.50000000 N N N N N N VISTA POINT SECURITIZATION TRUST VSTA_25-CES2 N/A 92842UAB8 3050000.00000000 PA USD 3095974.18000000 0.259451086315 Long ABS-CBDO CORP US N 2 2055-08-25 Floating 5.77000000 N N N N N N UMBS, TBA N/A 01F022436 20000000.00000000 PA USD 19065947.00000000 1.597778396456 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HPAM5 35332802.29000000 PA USD 3100827.93000000 0.259857843813 Long ABS-MBS USGSE US N 2 2055-12-25 Floating 1.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AQC57 9947187.30000000 PA USD 1218475.73000000 0.102111591834 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 2.37000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79 N/A 38384PDH0 12993792.34000000 PA USD 1917176.89000000 0.160664656050 Long ABS-CBDO USGA US N 2 2054-05-20 Floating 3.59000000 N N N N N N MFRA Trust 254900XBKB8JES2BO797 55287RAC2 5766062.51000000 PA USD 5815478.24000000 0.487352949052 Long ABS-MBS CORP US N 2 2070-08-25 Variable 5.23000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97 N/A 38384PRM4 17582441.54000000 PA USD 2422777.81000000 0.203035393113 Long ABS-CBDO USGA US N 2 2054-06-20 Floating 3.64000000 N N N N N N Pagaya AI Debt Selection Trust N/A 69544MAB5 2028142.89000000 PA USD 2044732.69000000 0.171354180236 Long ABS-O CORP US N 2 2032-06-15 Fixed 5.75000000 N N N N N N FANNIE MAE FNMA_19-57 N/A 3136B6PZ0 9227618.17000000 PA USD 1329904.63000000 0.111449637784 Long ABS-CBDO USGA US N 2 2049-10-25 Floating 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46 N/A 38382P4J8 17613673.59000000 PA USD 2409346.23000000 0.201909790050 Long ABS-CBDO USGA US N 2 2051-03-20 Floating 2.52000000 N N N N N N FREDDIE MAC GOLD N/A 3132GTUM7 1728388.61000000 PA USD 1679878.58000000 0.140778409999 Long ABS-MBS USGA US N 2 2042-05-01 Fixed 3.50000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 150000000.00000000 NC USD 174090.00000000 0.014589217154 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 N/A 150000000.00000000 OU Notional Amount N/A 174090.00000000 0.01000000 DIR US N/A N/A 2031-03-20 0.00000000 N/A 0.00000000 N/A 150000000.00000000 USD 1.00000000 3.35000000 USD 2026-03-18 XXXX -1145910.00000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QB4E5 11264977.95000000 PA USD 10384597.73000000 0.870257633092 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1 N/A 38380UA94 5946255.81000000 PA USD 870593.10000000 0.072958077943 Long ABS-CBDO USGA US N 2 2048-01-20 Floating 2.42000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142 N/A 38382XTC9 19493537.19000000 PA USD 2684940.40000000 0.225005333692 Long ABS-CBDO USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N RCO Mortgage LLC N/A 74939AAA6 4572139.60000000 PA USD 4559631.60000000 0.382109572961 Long ABS-MBS CORP US N 2 2055-03-02 Variable 6.25000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69392PAB1 2750000.00000000 PA USD 2757342.50000000 0.231072827283 Long ABS-MBS CORP US N 2 2055-07-25 Variable 5.25000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -499.00000000 NC USD -180226.82000000 -0.01510349942 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year U.S. Treasury Notes Futures TUM6 Comdty 2026-06-30 -104247218.74000000 USD -180226.82000000 N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 5000000.00000000 OU Notional Amount USD -61881.43000000 -0.00518583273 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.11 137BERAK3 Y buy protection 2054-11-18 641541.43000000 USD 0.00000000 USD 5000000.00000000 USD -61881.43000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQD77 10702378.24000000 PA USD 10905399.04000000 0.913902204325 Long ABS-MBS USGA US N 2 2052-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FEDF8 3020410.78000000 PA USD 2898778.57000000 0.242925555979 Long ABS-MBS USGA US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -407.00000000 NC USD -341642.31000000 -0.02863055804 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USM6 Comdty 2026-06-18 -47875138.94000000 USD -341642.31000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -18000000.00000000 OU Notional Amount USD 264196.20000000 0.022140362646 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.17.BBB 137BERAQ0 Y sell protection 2056-12-15 0.00000000 USD -2657289.00000000 USD -18000000.00000000 USD 264196.20000000 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105 N/A 3137H06M5 17586261.53000000 PA USD 3427439.27000000 0.287228765545 Long ABS-CBDO USGA US N 2 2051-05-25 Fixed 3.00000000 N N N N N N ACHV ABS TRUST ACHV_24-1PL N/A 00092BAC8 619174.70000000 PA USD 625613.50000000 0.052428118825 Long ABS-MBS CORP US N 2 2031-04-25 Fixed 6.42000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128 N/A 38383T7W7 15740501.04000000 PA USD 1629738.42000000 0.136576527740 Long ABS-CBDO USGA US N 2 2052-07-20 Floating 2.32000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3137HLPA4 12620147.35000000 PA USD 1463937.09000000 0.122681923755 Long ABS-CBDO USGA US N 2 2055-06-25 Floating 3.33000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CEZ5 1278576.98000000 PA USD 1296671.31000000 0.108664594862 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140 N/A 38384EUV5 1517977.16000000 PA USD 1576679.01000000 0.132130004364 Long ABS-CBDO USGA US N 2 2053-09-20 Floating 6.94000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1 N/A 38382MJ91 16725632.95000000 PA USD 2458736.62000000 0.206048839536 Long ABS-CBDO USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113 N/A 38384CVG1 12909288.33000000 PA USD 863406.77000000 0.072355843874 Long ABS-CBDO USGA US N 2 2053-08-20 Floating 2.07000000 N N N N N N New Residential Mortgage Loan Trust 2138001CG5SYL78G3648 64831MAB8 4420000.00000000 PA USD 3743934.04000000 0.313751891100 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.70000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121 N/A 38375G5P2 1329259.29000000 PA USD 176809.43000000 0.014817112810 Long ABS-CBDO USGA US N 2 2042-09-16 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94 N/A 38380XSN8 5333946.38000000 PA USD 858738.16000000 0.071964601614 Long ABS-CBDO USGA US N 2 2048-05-20 Floating 2.42000000 N N N N N N UMBS, TBA N/A 01F032633 40000000.00000000 PA USD 37691218.00000000 3.158626941348 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 3.50000000 N N N N N N Cayuga Park CLO, Ltd. 549300SVH2QJEV4A2G21 149791BG9 11000000.00000000 PA USD 10986987.00000000 0.920739498056 Long ABS-CBDO CORP KY N 2 2038-10-17 Floating 4.87000000 N N N N N N FANNIE MAE FNMA_14-93 N/A 3136AMDR7 5457546.18000000 PA USD 723318.61000000 0.060616073715 Long ABS-CBDO USGA US N 2 2045-01-25 Floating 2.37000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -793.00000000 NC USD -386383.06000000 -0.03237995500 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes Futures TYM6 Comdty 2026-06-18 -89866929.44000000 USD -386383.06000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 36213J7E9 23319.17000000 PA USD 24185.82000000 0.002026837727 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 6.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XNEM2 7104331.79000000 PA USD 7269273.77000000 0.609184982399 Long ABS-MBS USGA US N 2 2053-09-01 Fixed 5.00000000 N N N N N N MPOWER Education Trust N/A 62477DAA3 6683223.17000000 PA USD 6821749.68000000 0.571681242202 Long ABS-O CORP US N 2 2042-12-22 Fixed 6.25000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 130000000.00000000 NC USD 779064.00000000 0.065287689547 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 N/A 130000000.00000000 OU Notional Amount N/A 779064.00000000 0.07000000 DIR US N/A N/A 2031-04-01 0.00000000 N/A 0.00000000 N/A 130000000.00000000 USD 1.00000000 3.30000000 USD 2026-03-30 XXXX -488436.00000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 74126000.00000000 NC USD 828187.56000000 0.069404377950 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 74126000.00000000 OU Notional Amount N/A 828187.56000000 0.07000000 DIR US N/A N/A 2036-06-15 0.00000000 N/A 0.00000000 N/A 74126000.00000000 USD 1.00000000 3.50000000 USD 2026-06-11 XXXX -394891.44000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80 N/A 38384NMT9 8031127.23000000 PA USD 7365369.27000000 0.617238047579 Long ABS-CBDO USGA US N 2 2064-05-20 Fixed 3.00000000 N N N N N N FANNIE MAE FNMA_16-37 N/A 3136ASPK6 6540772.79000000 PA USD 793870.60000000 0.066528523039 Long ABS-CBDO USGA US N 2 2046-06-25 Floating 2.07000000 N N N N N N FREDDIE MAC FHLMC_4177 N/A 3137B16F4 2565915.14000000 PA USD 354909.94000000 0.029742421649 Long ABS-CBDO USGA US N 2 2043-03-15 Fixed 4.00000000 N N N N N N Upstart Securitization Trust N/A 91684NAB7 5100000.00000000 PA USD 5138935.14000000 0.430656790742 Long ABS-O CORP US N 2 2034-11-20 Fixed 6.24000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693581AC4 4200000.00000000 PA USD 4124468.88000000 0.345641749309 Long ABS-MBS CORP US N 2 2054-01-25 Variable 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158 N/A 38382X7G4 14507508.36000000 PA USD 2292994.39000000 0.192159188291 Long ABS-CBDO USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69380RAC9 5000000.00000000 PA USD 4916469.50000000 0.412013562921 Long ABS-MBS CORP US N 2 2053-11-25 Variable 4.00000000 N N N N N N POINT SECURITIZATION TRUST PNT_26-1 N/A 73072JAA6 9300000.00000000 PA USD 9219442.47000000 0.772614442174 Long ABS-CBDO CORP US N 2 2056-02-25 Variable 5.25000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21 N/A 38381B7M0 5017810.45000000 PA USD 564946.25000000 0.047344037692 Long ABS-CBDO USGA US N 2 2049-02-20 Floating 2.27000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHWG8 29762690.17000000 PA USD 29232780.95000000 2.449786830428 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.00000000 N N N N N N HTAP Trust N/A 40444WAA7 6103782.58000000 PA USD 6114848.13000000 0.512440962923 Long ABS-MBS CORP US N 2 2042-04-25 Fixed 6.50000000 N N N N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 69547XAC6 2831959.58000000 PA USD 2848553.45000000 0.238716553841 Long ABS-O CORP US N 2 2031-10-15 Fixed 7.30000000 N N N N N N FREDDIE MAC FHLMC_326 N/A 31325VB86 1172728.11000000 PA USD 130494.50000000 0.010935795266 Long ABS-CBDO USGA US N 2 2044-03-15 Floating 2.23000000 N N N N N N MPOWR_25-1 N/A 62477DAB1 2000000.00000000 PA USD 2058638.20000000 0.172519499927 Long ABS-MBS CORP US N 2 2042-12-22 Fixed 8.18000000 N N N N N N A&D MTG TR ADMT_24-NQM1 N/A 00039GAE9 2000000.00000000 PA USD 2038353.20000000 0.170819561562 Long ABS-CBDO CORP US N 2 2069-02-25 Floating 8.44000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XQBR7 23574003.31000000 PA USD 23458179.28000000 1.965859449508 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4B94 17942160.58000000 PA USD 18074966.30000000 1.514731509051 Long ABS-MBS USGSE US N 2 2048-05-01 Fixed 4.50000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69378KAD6 6000000.00000000 PA USD 5973414.60000000 0.500588447086 Long ABS-MBS CORP US N 2 2067-08-25 Variable 5.37000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45 N/A 3136BWEY8 22233475.78000000 PA USD 1578576.78000000 0.132289042670 Long ABS-CBDO USGA US N 2 2055-06-25 Floating 2.13000000 N N N N N N MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1 N/A 58550DAD5 2789000.00000000 PA USD 2687771.85000000 0.225242616930 Long ABS-CBDO CORP US N 2 2054-04-25 Floating 4.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138E2FK6 1247013.59000000 PA USD 1240962.52000000 0.103996046210 Long ABS-MBS USGA US N 2 2042-01-01 Fixed 4.00000000 N N N N N N CMLTI_09-11 N/A 17314QAB3 133329.85000000 PA USD 132144.04000000 0.011074031220 Long ABS-CBDO CORP US N 2 2037-02-25 Floating 6.52000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987 N/A 3137FTRP4 10111352.26000000 PA USD 1604386.46000000 0.134451964298 Long ABS-CBDO USGA US N 2 2050-06-25 Floating 2.30000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 225000000.00000000 NC USD 235327.50000000 0.019721086793 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 225000000.00000000 OU Notional Amount N/A 235327.50000000 0.02000000 DIR US N/A N/A 2031-05-08 0.00000000 N/A 0.00000000 N/A 225000000.00000000 USD 1.00000000 3.60000000 USD 2026-05-06 XXXX -1092172.50000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140QSFA4 14306547.55000000 PA USD 14530422.13000000 1.217689033264 Long ABS-MBS USGA US N 2 2053-06-01 Fixed 5.00000000 N N N N N N Upstart Securitization Trust N/A 91684AAE9 1000000.00000000 PA USD 1005156.20000000 0.084234832994 Long ABS-O CORP US N 2 2035-11-20 Fixed 7.67000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140BHHW4 10930237.59000000 PA USD 11216808.96000000 0.939999205571 Long ABS-MBS USGA US N 2 2055-08-01 Fixed 6.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -676.00000000 NC USD 182653.51000000 0.015306862665 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Three Month SOFR SFRH6 Comdty 2026-06-16 -163026828.51000000 USD 182653.51000000 N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 69547XAB8 2105065.80000000 PA USD 2117955.54000000 0.177490454917 Long ABS-O CORP US N 2 2031-10-15 Fixed 6.57000000 N N N N N N Pagaya AI Debt Selection Trust N/A 694969AC0 5610000.00000000 PA USD 5650138.99000000 0.473497068632 Long ABS-O CORP US N 2 2033-09-15 Fixed 5.37000000 N N N N N N FANNIE MAE FNMA_05-74 N/A 31394FEC5 2809184.29000000 PA USD 142920.90000000 0.011977161502 Long ABS-CBDO USGA US N 2 2035-05-25 Floating 2.30000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122 N/A 38382WCZ8 14122621.88000000 PA USD 1904315.52000000 0.159586838140 Long ABS-CBDO USGA US N 2 2050-11-20 Fixed 2.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118 N/A 38380NMV8 15564107.93000000 PA USD 748541.76000000 0.062729842528 Long ABS-MBS USGA US N 2 2061-06-16 Floating 0.76000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 149164518.00000000 NC USD 14.92000000 0.000001250336 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 149164518.00000000 OU Notional Amount N/A 14.92000000 0.00000000 DIR US N/A N/A 2031-03-03 0.00000000 N/A 0.00000000 N/A 149164518.00000000 USD 1.00000000 3.50000000 USD 2026-02-27 XXXX -1055324.04000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81 N/A 38384BAE1 12387715.38000000 PA USD 839735.97000000 0.070372166228 Long ABS-CBDO USGA US N 2 2053-06-20 Floating 2.39000000 N N N N N N FIGRE Trust N/A 316918AA9 2722763.80000000 PA USD 2750637.28000000 0.230510911546 Long ABS-O CORP US N 2 2055-10-25 Variable 5.02000000 N N N N N N Sound Point CLO LTD 549300HOEGQTNS4MTZ12 83609YAE6 10000000.00000000 PA USD 10022000.00000000 0.839870953658 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 5.68000000 N N N N N N FREDDIE MAC GOLD N/A 3132L6SJ1 3219363.94000000 PA USD 3109016.60000000 0.260544076709 Long ABS-MBS USGA US N 2 2044-12-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AH43 5620814.42000000 PA USD 5428116.32000000 0.454890962906 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association N/A 38383LAU4 21944717.00000000 PA USD 1944157.09000000 0.162925670448 Long ABS-CBDO USGA US N 2 2049-11-20 Variable 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79 N/A 38382FB86 9191707.87000000 PA USD 1290798.89000000 0.108172470038 Long ABS-CBDO USGA US N 2 2050-06-20 Floating 2.32000000 N N N N N N CHNGE Mortgage Trust N/A 12569QAA8 1701949.89000000 PA USD 1714940.70000000 0.143716711352 Long ABS-MBS CORP US N 2 2058-09-25 Variable 7.57000000 N N N N N N FANNIE MAE FNMA_19-77 N/A 3136B7K26 12096110.55000000 PA USD 1706997.07000000 0.143051013477 Long ABS-CBDO USGA US N 2 2050-01-25 Floating 2.17000000 N N N N N N OBX TRUST OBX_22-NQM3 N/A 67116KAD7 5264000.00000000 PA USD 4546961.08000000 0.381047748803 Long ABS-CBDO CORP US N 2 2062-01-25 Floating 3.83000000 N N N N N N VISIO TRUST VISIO_21-1R N/A 92837UAC3 1174626.96000000 PA USD 1112542.76000000 0.093234119819 Long ABS-CBDO CORP US N 2 2056-05-25 Fixed 1.69000000 N N N N N N UMBS, TBA N/A 01F050635 67000000.00000000 PA USD 67300524.48000000 5.639967638864 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 5.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140L3K26 17913297.15000000 PA USD 15064985.45000000 1.262486898496 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 2.00000000 N N N N N N COLUMBIA SHORT TERM CASH FUND N/A 19766H239 54463730.12000000 NS USD 54452837.37000000 4.563296393067 Long STIV RF US N 1 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 31427PWW0 9799690.00000000 PA USD 10123838.66000000 0.848405311320 Long ABS-MBS USGA US N 2 2055-07-01 Fixed 6.00000000 N N N N N N GCAT N/A 36168AAA7 1049193.05000000 PA USD 1019258.84000000 0.085416672717 Long ABS-MBS CORP US N 2 2065-04-25 Variable 2.47000000 N N N N N N Enva 2018-A, LLC N/A 64112RAA9 1441882.97000000 PA USD 1466193.26000000 0.122870996959 Long ABS-O CORP US N 2 2031-10-20 Fixed 7.29000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170 N/A 38380KTP0 4833581.75000000 PA USD 666231.91000000 0.055832052445 Long ABS-CBDO USGA US N 2 2047-11-20 Floating 2.42000000 N N N N N N GNMA POOL 701579 GN 01/39 FIXED 5 N/A 36296UM49 691192.97000000 PA USD 708828.15000000 0.059401733618 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030633 17000000.00000000 PA USD 15590338.24000000 1.306512896176 Long ABS-MBS USGA US N 2 2056-03-20 Fixed 3.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 150000000.00000000 NC USD 43905.00000000 0.003679358832 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Put Purchased Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 N/A 150000000.00000000 OU Notional Amount N/A 43905.00000000 0.00000000 DIR US N/A N/A 2031-04-24 0.00000000 N/A 0.00000000 N/A 150000000.00000000 USD 1.00000000 3.75000000 USD 2026-04-22 XXXX -424845.00000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020634 12000000.00000000 PA USD 10164274.56000000 0.851793950104 Long ABS-MBS USGA US N 2 2056-03-20 Fixed 2.00000000 N N N N N N UNLOCK HEA TRUST N/A 91528JAA8 3106940.19000000 PA USD 3109856.67000000 0.260614476868 Long ABS-MBS CORP US N 2 2038-10-25 Fixed 7.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-119 N/A 38381YE59 5761369.87000000 PA USD 662154.82000000 0.055490381175 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.32000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPO N/A 31325USF4 3286978.53000000 PA USD 373837.60000000 0.031328611217 Long ABS-CBDO USGA US N 2 2043-08-15 Floating 2.20000000 N N N N N N VENDE_98-1 N/A 911760LJ3 124997.56000000 PA USD 0.12000000 0.000000010056 Long ABS-CBDO USGA US N 2 2028-03-15 Floating 0.00000000 N N N N N N FREDDIE MAC FHLMC_318 N/A 31325UVQ6 3479097.26000000 PA USD 403579.11000000 0.033821030931 Long ABS-CBDO USGA US N 2 2043-11-15 Floating 2.18000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40 N/A 38380V6B2 3414895.05000000 PA USD 468419.79000000 0.039254856888 Long ABS-CBDO USGA US N 2 2048-03-20 Floating 2.42000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADVT2 7817618.75000000 PA USD 7719264.35000000 0.646895421190 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146 N/A 38382WZT7 17730173.15000000 PA USD 3305225.19000000 0.276986892075 Long ABS-CBDO USGA US N 2 2051-08-20 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52 N/A 38381VBU3 12978634.39000000 PA USD 1992796.63000000 0.167001796655 Long ABS-CBDO USGA US N 2 2049-04-16 Floating 2.28000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126 N/A 38383TX32 18043739.28000000 PA USD 2149146.48000000 0.180104340821 Long ABS-CBDO USGA US N 2 2052-07-20 Floating 2.31000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2 N/A 3617UVEL6 18591735.77000000 PA USD 16233263.47000000 1.360391785225 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAH96 23574194.24000000 PA USD 19825740.82000000 1.661451192323 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N FANNIE MAE FNMA_06-5 N/A 31394VL81 1471891.22000000 PA USD 14.72000000 0.000001233576 Long ABS-CBDO USGA US N 2 2034-08-25 Floating 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27 N/A 38382NEY9 10295400.14000000 PA USD 1497458.74000000 0.125491129517 Long ABS-CBDO USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383VJ74 19761670.65000000 PA USD 2312364.46000000 0.193782453025 Long ABS-MBS USGA US N 2 2050-05-20 Floating 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97 N/A 38380XJ99 4462880.89000000 PA USD 582545.64000000 0.048818914609 Long ABS-CBDO USGA US N 2 2048-07-20 Floating 2.42000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63 N/A 38380WWB1 3853133.47000000 PA USD 537585.33000000 0.045051117918 Long ABS-CBDO USGA US N 2 2048-04-20 Floating 2.42000000 N N N N N N SFO Commerical Mortgage Trust N/A 78432WAA1 3700000.00000000 PA USD 3690747.04000000 0.309294675333 Long ABS-MBS CORP US N 2 2038-05-15 Floating 4.92000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190 N/A 38383LAZ3 25786977.80000000 PA USD 3554048.96000000 0.297839003131 Long ABS-CBDO USGA US N 2 2049-07-20 Floating 2.37000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 3620AYKB1 369558.59000000 PA USD 385608.46000000 0.032315041412 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N Research-Driven Pagaya Motor Asset Trust I N/A 76088LAA6 1050575.66000000 PA USD 1041031.39000000 0.087241271832 Long ABS-O CORP US N 2 2030-03-25 Fixed 2.65000000 N N N N N N GNMA_19-43 N/A 38381T2U8 9280809.41000000 PA USD 1074287.10000000 0.090028191097 Long ABS-CBDO USGA US N 2 2049-04-20 Floating 2.32000000 N N N N N N Imperial Fund LLC N/A 45276JAC4 5955724.41000000 PA USD 5416977.92000000 0.453957534585 Long ABS-MBS CORP US N 2 2057-01-25 Variable 2.45000000 N N N N N N FREDDIE MAC GOLD N/A 3128CUTX4 376699.62000000 PA USD 383059.37000000 0.032101420713 Long ABS-MBS USGA US N 2 2030-06-01 Fixed 5.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191 N/A 38382MHY8 7495775.63000000 PA USD 1104485.30000000 0.092558882679 Long ABS-CBDO USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XHNA1 6839823.04000000 PA USD 5716506.73000000 0.479058866385 Long ABS-MBS USGA US N 2 2052-01-01 Fixed 2.00000000 N N N N N N FREDDIE MAC GOLD N/A 31292LGF6 2367866.60000000 PA USD 2305073.57000000 0.193171456544 Long ABS-MBS USGA US N 2 2042-03-01 Fixed 3.50000000 N N N N N N FREDDIE MAC FHLMC_4068 N/A 3137ARN93 1308301.88000000 PA USD 143824.77000000 0.012052908275 Long ABS-CBDO USGA US N 2 2036-09-15 Floating 2.32000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161 N/A 38383A6G4 16683657.75000000 PA USD 2563277.18000000 0.214809623793 Long ABS-CBDO USGA US N 2 2051-09-20 Floating 2.52000000 N N N N N N FANNIE MAE FNMA_16-42 N/A 3136AS2T2 9335952.91000000 PA USD 1258045.80000000 0.105427671701 Long ABS-CBDO USGA US N 2 2046-07-25 Floating 2.22000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3142GSWW4 8919981.73000000 PA USD 9202685.57000000 0.771210168218 Long ABS-MBS USGA US N 2 2054-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association N/A 38384EE68 20182599.15000000 PA USD 2555522.72000000 0.214159778880 Long ABS-CBDO USGA US N 2 2049-12-20 Variable 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47 N/A 38383WJ31 11974165.82000000 PA USD 938917.09000000 0.078683814785 Long ABS-CBDO USGA US N 2 2053-03-20 Floating 2.69000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 150000000.00000000 NC USD 3737340.00000000 0.313199292550 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 150000000.00000000 OU Notional Amount N/A 3737340.00000000 0.31000000 DIR US N/A N/A 2031-05-18 0.00000000 N/A 0.00000000 N/A 150000000.00000000 USD 1.00000000 3.75000000 USD 2026-05-14 XXXX 872340.00000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100 N/A 38384B4K4 23951485.63000000 PA USD 3039651.90000000 0.254731125527 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.27000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKPN8 12145024.32000000 PA USD 12355200.04000000 1.035399485155 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 7.62000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLW24 18974067.43000000 PA USD 998035.95000000 0.083638136610 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 1.43000000 N N N N N N FREDDIE MAC FHLMC_4993 N/A 3137FU6V1 13514900.93000000 PA USD 2173963.72000000 0.182184093268 Long ABS-CBDO USGA US N 2 2050-07-25 Floating 2.27000000 N N N N N N Government National Mortgage Association N/A 38384MJC2 25761448.18000000 PA USD 1354652.87000000 0.113523607842 Long ABS-CBDO USGA US N 2 2054-04-20 Variable 1.74000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125 N/A 38382HMR8 14992263.04000000 PA USD 2194147.68000000 0.183875564205 Long ABS-CBDO USGA US N 2 2050-08-20 Floating 2.47000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30 N/A 38384JTX2 4500944.07000000 PA USD 4566234.31000000 0.382662898080 Long ABS-CBDO USGA US N 2 2064-02-20 Fixed 5.00000000 N N N N N N SG Capital Partners N/A 78432BAD1 3806636.44000000 PA USD 3758621.43000000 0.314982734469 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.53000000 N N N N N N VENDE_98-3 N/A 911760LZ7 147958.93000000 PA USD 0.15000000 0.000000012570 Long ABS-CBDO USGA US N 2 2029-03-15 Floating 0.00000000 N N N N N N FREDDIE MAC FHLMC_4594 N/A 3137BQMD6 3146744.16000000 PA USD 404731.40000000 0.033917595978 Long ABS-CBDO USGA US N 2 2046-06-15 Floating 2.18000000 N N N N N N PRKCM TRUST PRKCM_22-AFC1 N/A 69377CAE3 3417050.67000000 PA USD 3311652.77000000 0.277525540822 Long ABS-CBDO CORP US N 2 2057-04-25 Floating 4.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HBDP6 18656104.52000000 PA USD 2305071.78000000 0.193171306537 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 2.28000000 N N N N N N Hilton USA Trust N/A 43289VAS2 8700000.00000000 PA USD 174744.72000000 0.014644084477 Long ABS-MBS CORP US N 2 2035-11-05 Fixed 6.16000000 Y N N N N N Government National Mortgage Association N/A 38379EZ54 8002275.75000000 PA USD 1068327.82000000 0.089528787168 Long ABS-CBDO USGA US N 2 2044-09-16 Variable 2.43000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139 N/A 38380NTH2 17009370.16000000 PA USD 716227.16000000 0.060021790850 Long ABS-MBS USGA US N 2 2061-11-16 Floating 0.67000000 N N N N N N GNMA_18-155 N/A 38381A2N5 5739703.13000000 PA USD 669980.62000000 0.056146204575 Long ABS-CBDO USGA US N 2 2048-11-20 Floating 2.37000000 N N N N N N Freddie Mac - STACR 5493000ISA3AUOXQEF68 35564KSJ9 4500000.00000000 PA USD 4651137.45000000 0.389778012944 Long ABS-MBS USGSE US N 2 2042-02-25 Floating 8.42000000 N N N N N N Easy Street Mortgage Loan Trust N/A 27786YAA6 8300000.00000000 PA USD 8334000.12000000 0.698411956552 Long ABS-MBS CORP US N 2 2040-10-25 Variable 5.61000000 N N N N N N FANNIE MAE FNMA_19-33 N/A 3136B45D6 13309921.12000000 PA USD 1567264.51000000 0.131341043568 Long ABS-CBDO USGA US N 2 2049-07-25 Floating 2.27000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3 N/A 38382BN66 18176551.14000000 PA USD 660272.31000000 0.055332621699 Long ABS-MBS USGA US N 2 2062-02-16 Floating 0.62000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 30503000.00000000 NC USD 478457.86000000 0.040096074552 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 30503000.00000000 OU Notional Amount N/A 478457.86000000 0.04000000 DIR US N/A N/A 2056-11-02 0.00000000 N/A 0.00000000 N/A 30503000.00000000 USD 1.00000000 3.50000000 USD 2026-10-29 XXXX -346648.29000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042638 65000000.00000000 PA USD 64233203.45000000 5.382917764723 Long ABS-MBS USGA US N 2 2056-03-20 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 520.00000000 NC USD 158152.80000000 0.013253636296 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes Futures FVM6 Comdty 2026-06-30 57114972.20000000 USD 158152.80000000 N N N GCAT N/A 36171FAA1 5183687.80000000 PA USD 5051412.01000000 0.423322113565 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12 N/A 3136BVHZ4 15712389.02000000 PA USD 16003105.93000000 1.341103955190 Long ABS-CBDO USGA US N 2 2055-03-25 Floating 7.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXV44 3566061.40000000 PA USD 3400213.87000000 0.284947202717 Long ABS-MBS USGSE US N 2 2047-09-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLAE2 6051303.15000000 PA USD 6146100.44000000 0.515059991800 Long ABS-MBS USGSE US N 2 2055-05-25 Floating 7.97000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 150000000.00000000 NC USD 862245.00000000 0.072258484378 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 150000000.00000000 OU Notional Amount N/A 862245.00000000 0.07000000 DIR US N/A N/A 2031-08-07 0.00000000 N/A 0.00000000 N/A 150000000.00000000 USD 1.00000000 3.40000000 USD 2026-08-05 XXXX -1531755.00000000 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3133GCXX5 4205368.92000000 PA USD 3930039.84000000 0.329348065090 Long ABS-MBS USGA US N 2 2036-05-01 Fixed 2.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASS N/A 38379FL56 6638393.53000000 PA USD 414494.65000000 0.034735782975 Long ABS-CBDO USGA US N 2 2038-10-16 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105 N/A 38380YRN7 4423637.80000000 PA USD 562433.70000000 0.047133479144 Long ABS-CBDO USGA US N 2 2048-08-20 Floating 2.42000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3132E0NY4 11167660.02000000 PA USD 10901061.28000000 0.913538688197 Long ABS-MBS USGA US N 2 2052-12-01 Fixed 4.00000000 N N N N N N FREDDIE MAC GOLD N/A 3132WHN76 3026532.67000000 PA USD 2918457.97000000 0.244574743411 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.50000000 N N N N N N FANNIE MAE FNMA_12-144 N/A 3136ABJV6 882889.37000000 PA USD 63175.15000000 0.005294249997 Long ABS-CBDO USGA US N 2 2042-07-25 Fixed 3.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80 N/A 38384NMS1 12378368.26000000 PA USD 11717321.31000000 0.981943506580 Long ABS-CBDO USGA US N 2 2064-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38383YEB4 26023107.84000000 PA USD 2818929.74000000 0.236234006089 Long ABS-MBS USGA US N 2 2052-09-20 Floating 2.39000000 N N N N N N Home Owner Mortgage Enhanced Securuties Limited 2549001JI3VOZZFMYK81 43761FAD7 6328014.63000000 PA USD 6371523.53000000 0.533951062003 Long ABS-MBS CORP US N 2 2060-08-25 Variable 5.08000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 36201G2P9 70443.42000000 PA USD 71582.78000000 0.005998832339 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -3000000.00000000 OU Notional Amount USD -112694.27000000 -0.00944408740 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.17.BBB 137BERAQ0 Y sell protection 2056-12-15 0.00000000 USD -286154.53000000 USD -3000000.00000000 USD -112694.27000000 N N N RUN_22-NQM1 N/A 74981CAD3 5000000.00000000 PA USD 4229312.50000000 0.354427930821 Long ABS-CBDO CORP US N 2 2067-03-25 Floating 4.03000000 N N N N N N BHMS Mortgage Trust N/A 088928AA4 3700000.00000000 PA USD 3723153.12000000 0.312010393285 Long ABS-MBS CORP US N 2 2042-08-15 Floating 5.51000000 N N N N N N FANNIE MAE FNMA_17-51 N/A 3136AWY84 6269876.08000000 PA USD 822086.09000000 0.068893058111 Long ABS-CBDO USGA US N 2 2047-07-25 Floating 2.37000000 N N N N N N Toorak Mortgage Corp. N/A 89054YAC7 4000000.00000000 PA USD 4007259.60000000 0.335819291738 Long ABS-CBDO CORP US N 2 2039-02-25 Variable 9.16000000 N N N N N N FANNIE MAE FNMA_07-54 N/A 31396WDZ6 2956108.62000000 PA USD 254888.99000000 0.021360393046 Long ABS-CBDO USGA US N 2 2037-06-25 Floating 2.32000000 N N N N N N RCO Mortgage LLC N/A 74939VAA0 7094600.99000000 PA USD 7092779.10000000 0.594394247336 Long ABS-O CORP US N 2 2030-10-25 Variable 5.31000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 -4997448.93000000 OU Notional Amount USD -701630.55000000 -0.05879855509 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.10.BBB- 137BEMAI9 Y sell protection 2059-11-17 0.00000000 USD -546941.09000000 USD -4997448.93000000 USD -701630.55000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 168500000.00000000 NC USD 252210.80000000 0.021135953414 N/A DIR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 168500000.00000000 OU Notional Amount N/A 252210.80000000 0.02000000 DIR US N/A N/A 2036-03-18 0.00000000 N/A 0.00000000 N/A 168500000.00000000 USD 1.00000000 3.40000000 USD 2026-03-16 XXXX -2073089.20000000 N N N FREDDIE MAC GOLD N/A 3132H3F73 5477028.24000000 PA USD 5279308.40000000 0.442420453059 Long ABS-MBS USGA US N 2 2042-07-01 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ER2F6 12032599.76000000 PA USD 11202932.75000000 0.938836341300 Long ABS-MBS USGA US N 2 2047-01-01 Fixed 3.00000000 N N N N N N PAGAYA AI DEBT SELECTION TRUST PAID_24-9 N/A 69546QAC2 1577002.23000000 PA USD 1581248.47000000 0.132512937584 Long ABS-MBS CORP US N 2 2032-03-15 Fixed 5.77000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FJR8 1849447.02000000 PA USD 1905197.01000000 0.159660709408 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KM4G7 12051272.06000000 PA USD 10942520.44000000 0.917013078962 Long ABS-MBS USGA US N 2 2051-11-01 Fixed 3.00000000 N N N N N N FREDDIE MAC GOLD N/A 3132QT6F8 2671995.74000000 PA USD 2634492.89000000 0.220777694664 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 4.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 100000000.00000000 NC USD 1841150.00000000 0.154293395163 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 N/A 100000000.00000000 OU Notional Amount N/A 1841150.00000000 0.15000000 DIR US N/A N/A 2026-03-12 0.00000000 N/A 0.00000000 N/A 100000000.00000000 USD 1.00000000 3.50000000 USD 2026-12-01 XXXX 106150.00000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8 N/A 38382MVH9 16667300.50000000 PA USD 2886623.11000000 0.241906895255 Long ABS-CBDO USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKF25 6789249.46000000 PA USD 6914519.94000000 0.579455643194 Long ABS-MBS USGSE US N 2 2054-06-25 Floating 7.62000000 N N N N N N A&D Mortgage Trust 9845006Y6D399D9E8O78 002941AA0 5073269.42000000 PA USD 5117292.21000000 0.428843054136 Long ABS-MBS CORP US N 2 2070-10-25 Variable 5.23000000 N N N N N N VISTA POINT SECURITIZATION TRUST VSTA_24-CES3 N/A 92841WAC3 5000000.00000000 PA USD 5104406.00000000 0.427763154567 Long ABS-CBDO CORP US N 2 2055-01-25 Floating 6.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7W88 12830973.16000000 PA USD 11735614.15000000 0.983476496500 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 129000000.00000000 NC USD 1630972.80000000 0.136679972153 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Call Purchased Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 N/A 129000000.00000000 OU Notional Amount N/A 1630972.80000000 0.14000000 DIR US N/A N/A 2036-07-13 0.00000000 N/A 0.00000000 N/A 129000000.00000000 USD 1.00000000 3.50000000 USD 2026-07-09 XXXX -626527.20000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 3620AYKE5 152871.73000000 PA USD 158788.65000000 0.013306922261 Long ABS-MBS USGA US N 2 2040-05-15 Fixed 5.00000000 N N N N N N Center Street Lending Resi-Investor Abs Trust N/A 151704AA1 9150000.00000000 PA USD 9187185.60000000 0.769911228427 Long ABS-MBS CORP US N 2 2030-12-25 Variable 5.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382WEG8 15523540.14000000 PA USD 2364516.14000000 0.198152906150 Long ABS-MBS USGA US N 2 2051-07-20 Floating 2.52000000 N N N N N N FREDDIE_MAC FHLMC_304 N/A 31325UQS8 856179.28000000 PA USD 147109.74000000 0.012328197727 Long ABS-CBDO USGA US N 2 2042-12-15 Fixed 4.00000000 N N N N N N Freddie Mac - STACR 5493000ISU5NYXNHD479 35564KJB6 7000000.00000000 PA USD 8488403.70000000 0.711351397979 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 9.17000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST IN N/A 17323TAG5 1876471.32000000 PA USD 1860136.82000000 0.155884542501 Long ABS-CBDO CORP US N 2 2053-01-25 Fixed 4.25000000 N N N N N N UMBS, TBA N/A 01F030439 36000000.00000000 PA USD 34851830.40000000 2.920678510753 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134 N/A 38380NSQ3 16101867.31000000 PA USD 671373.80000000 0.056262956861 Long ABS-MBS USGA US N 2 2061-08-16 Floating 0.64000000 N N N N N N UMBS, TBA N/A 01F042632 56000000.00000000 PA USD 55375610.64000000 4.640627311675 Long ABS-MBS USGSE US N 2 2056-03-01 Fixed 4.50000000 N N N N N N FREDDIE MAC FHLMC_4139 N/A 3137AWXC4 967653.77000000 PA USD 55536.07000000 0.004654074243 Long ABS-CBDO USGA US N 2 2042-05-15 Fixed 3.50000000 N N N N N N PAGAYA AI DEBT SELECTION TRUST PAID_24-2 N/A 694961AB9 5055271.91000000 PA USD 5106937.80000000 0.427975326317 Long ABS-MBS CORP US N 2 2031-08-15 Fixed 6.61000000 N N N N N N MPOWER Education Trust N/A 624930AA1 1710921.23000000 PA USD 1768693.39000000 0.148221333485 Long ABS-O CORP US N 2 2042-07-21 Fixed 6.62000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138 N/A 38382J3D6 11268330.86000000 PA USD 1917807.94000000 0.160717539762 Long ABS-CBDO USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N Arroyo Mortgage Trust N/A 04285AAD7 2900000.00000000 PA USD 2730154.54000000 0.228794402029 Long ABS-CBDO CORP US N 2 2048-10-25 Variable 4.20000000 N N N N N N 2026-03-31 Columbia Funds Series Trust II Jennifer Borges Jennifer Borges Senior Manager XXXX