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 2026-05-31 N 1599142431.23 403789544.25 1195352886.98 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 386220082.23000000 0.00000000 0.00000000 96010.03000000 USD N BBG MBS Index LEH_MBS Freddie Mac S6XOOCT0IEG5ABCC6L87 3132E0B27 14182217.16000000 PA USD 14223343.32000000 1.189886557762 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N INVESCO CLO LTD INVCO_26-1 N/A 46092GAA4 3000000.00000000 PA USD 3035154.00000000 0.253912801237 Long ABS-MBS CORP US N 2 2039-04-15 Floating 9.71000000 N N N N N N Affirm Inc N/A 00833Q105 22000.00000000 PA USD 188719.90000000 0.015787798068 Long ABS-O CORP US N 2 2029-12-17 None 0.00000000 N N N N N N CHNGE Mortgage Trust N/A 12547QAB3 6144000.00000000 PA USD 6134007.40000000 0.513154522552 Long ABS-MBS CORP US N 2 2058-03-25 Variable 8.05000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 693581AB6 3600000.00000000 PA USD 3539279.16000000 0.296086553063 Long ABS-MBS CORP US N 2 2054-01-25 Variable 4.00000000 N N N N N N UMBS, TBA N/A 01F052664 102000000.00000000 PA USD 102450174.96000000 8.570705444049 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 5.50000000 N N N N N N FREDDIE MAC FHLMC_4935 N/A 3137FQ4U4 5613440.53000000 PA USD 672933.64000000 0.056295814175 Long ABS-CBDO USGA US N 2 2049-12-25 Floating 2.32000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MP6G1 17468029.60000000 PA USD 15899567.36000000 1.330114942054 Long ABS-MBS USGSE 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 1649866.65000000 0.138023396100 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 14014460.12000000 PA USD 842413.40000000 0.070474034000 Long ABS-CBDO USGA US N 2 2054-06-20 Floating 1.77000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381UN24 68984392.07000000 PA USD 1736033.62000000 0.145231892515 Long ABS-MBS USGA US N 2 2055-09-20 Floating 0.72000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21 N/A 38380K4X0 5298143.61000000 PA USD 711809.83000000 0.059548091425 Long ABS-CBDO USGA US N 2 2048-02-20 Floating 2.48000000 N N N N N N Freddie Mac - STACR 5493000IT1PBTE7DAT80 35564KBE8 4000000.00000000 PA USD 4443238.80000000 0.371709379581 Long ABS-MBS USGSE US N 2 2051-01-25 Floating 8.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BXPP3 11979642.09000000 PA USD 11944310.53000000 0.999228818543 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.46000000 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3 N/A 64830NAJ0 12000000.00000000 PA USD 10044583.20000000 0.840302751547 Long ABS-CBDO CORP US N 2 2059-07-25 Floating 3.97000000 N N N N N N NRZ Excess Spread Collateralized Notes N/A 65246QAA7 1363727.53000000 PA USD 1351925.97000000 0.113098482023 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 5583403.09000000 PA USD 658211.20000000 0.055064174535 Long ABS-CBDO USGA US N 2 2049-02-20 Floating 2.33000000 N N N N N N PAGAYA AI DEBT TRUST PAID_25-5 N/A 69548WAE3 2499903.40000000 PA USD 2496353.29000000 0.208838186379 Long ABS-MBS CORP US N 2 2033-03-15 Fixed 5.87000000 N N N N N N UMBS, TBA N/A 01F032666 40000000.00000000 PA USD 36354219.60000000 3.041296005219 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 3.50000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69392VAA0 2645285.82000000 PA USD 2630819.81000000 0.220087292937 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 724267.50000000 0.060590266513 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 724267.50000000 0.06000000 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 306142.50000000 N N N FANNIE MAE FNMA_12-129 N/A 3136AADU6 46443.86000000 PA USD 60.27000000 0.000005042025 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 4684422.11000000 PA USD 467635.55000000 0.039121129424 Long ABS-CBDO USGA US N 2 2050-04-25 Floating 2.12000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54 N/A 3136BGJP7 17199025.22000000 PA USD 2302923.68000000 0.192656386669 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 4006129.89000000 PA USD 3326475.93000000 0.278284008532 Long ABS-CBDO USGA US N 2 2049-06-25 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 126416AC0 4160204.35000000 PA USD 3600706.79000000 0.301225422987 Long ABS-MBS CORP US N 2 2066-11-25 Variable 2.68000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HAQZ2 26161321.70000000 PA USD 2489343.94000000 0.208251803054 Long ABS-MBS USGSE US N 2 2048-01-15 Floating 2.24000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69382HAB1 3000000.00000000 PA USD 2990880.60000000 0.250209007948 Long ABS-MBS CORP US N 2 2030-05-25 Variable 9.56000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKF33 10046305.05000000 PA USD 10175518.62000000 0.851256455799 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 7.56000000 N N N N N N CHNGE Mortgage Trust N/A 17030AAA3 1820922.78000000 PA USD 1815411.39000000 0.151872422760 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 4381368.16000000 PA USD 855799.72000000 0.071593897444 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 603768.72000000 PA USD 627169.95000000 0.052467347243 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 16315900.54000000 PA USD 2657814.51000000 0.222345596764 Long ABS-CBDO USGA US N 2 2050-08-25 Fixed 2.50000000 N N N N N N Fannie Mae N/A 3136BQER6 17581994.11000000 PA USD 1940396.34000000 0.162328326733 Long ABS-CBDO USGA US N 2 2048-10-25 Variable 2.47000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983 N/A 3137FTHL4 18771783.39000000 PA USD 2451069.30000000 0.205049849855 Long ABS-CBDO USGA US N 2 2050-05-25 Floating 2.37000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159 N/A 38382XG74 10587359.07000000 PA USD 1816352.50000000 0.151951153486 Long ABS-CBDO USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BU5N6 4571354.37000000 PA USD 4629531.25000000 0.387294103726 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 7.56000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117 N/A 38381YRF3 9722648.90000000 PA USD 1088398.04000000 0.091052445838 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.38000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAS8 1300000.00000000 PA USD 936631.41000000 0.078356058717 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.37000000 N N N N N N UPSTART SECURITIZATION TRUST UPST_26-2 N/A 91683AAD2 3250000.00000000 PA USD 3244745.73000000 0.271446680335 Long ABS-MBS CORP US N 2 2036-05-20 Fixed 5.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380NPW3 23805237.89000000 PA USD 1321692.99000000 0.110569272421 Long ABS-MBS USGA US N 2 2061-07-16 Variable 0.80000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-131 N/A 38381QQW4 24527347.58000000 PA USD 2705265.88000000 0.226315250455 Long ABS-MBS USGSE US N 2 2055-08-20 Variable 3.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABYL1 1189215.56000000 PA USD 161045.47000000 0.013472629861 Long ABS-MBS USGSE US N 2 2043-02-25 Fixed 3.50000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 31417CNA9 3360481.87000000 PA USD 3162184.51000000 0.264539831245 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 2103161.72000000 0.175944839629 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 4232323.59000000 0.354064781714 Long ABS-MBS CORP US N 2 2055-12-25 Variable 5.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKQ98 9990513.33000000 PA USD 10029533.28000000 0.839043715813 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 7.06000000 N N N N N N FANNIE MAE FNMA_17-3 N/A 3136AU5X5 8283008.73000000 PA USD 777120.99000000 0.065011847000 Long ABS-CBDO USGA US N 2 2047-02-25 Floating 2.27000000 N N N N N N SAIF SECURITIZATION TRUST SAIF_25-CES1 N/A 78438CAC5 2250000.00000000 PA USD 2257228.80000000 0.188833676196 Long ABS-CBDO CORP US N 2 2065-06-25 Floating 5.99000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BSAF0 2201304.90000000 PA USD 232463.74000000 0.019447289794 Long ABS-MBS USGSE US N 2 2042-11-15 Floating 2.03000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TV77 5075418.90000000 PA USD 4980767.46000000 0.416677578165 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 0.635795511332 Long ABS-MBS CORP US N 3 2029-03-29 Floating 6.71000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38385EZR8 5307884.61000000 PA USD 5250713.92000000 0.439260571266 Long ABS-MBS USGA US N 2 2055-03-20 Floating 7.63000000 N N N N N N CHNGE Mortgage Trust 2022-2 N/A 12546YAA9 5104114.71000000 PA USD 5065860.90000000 0.423796265954 Long ABS-MBS CORP US N 2 2067-03-25 Variable 4.76000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 -240000000.00000000 NC USD -1437936.00000000 -0.12029384926 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Put Written CITIBANK NA N/A CITIBANK NA N/A N/A 240000000.00000000 OU Notional Amount N/A -1437936.00000000 -0.12000000 DIR US N/A N/A 2031-08-10 0.00000000 N/A 0.00000000 N/A 240000000.00000000 USD 1.00000000 3.90000000 USD 2026-08-06 XXXX -381936.00000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7D84 7899674.88000000 PA USD 7208644.66000000 0.603055778633 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 3.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140FG6D6 3117703.71000000 PA USD 2902129.49000000 0.242784329348 Long ABS-MBS USGA US N 2 2046-11-01 Fixed 3.50000000 N N N N N N BINOM Securitization Trust N/A 09055CAF5 3611624.39000000 PA USD 3592153.04000000 0.300509839322 Long ABS-MBS CORP US N 2 2066-02-25 Variable 5.31000000 N N N N N N Legacy Mortgage Asset Trust N/A 52474JAA4 3177473.72000000 PA USD 3186741.46000000 0.266594199479 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 19112134.51000000 PA USD 1685976.95000000 0.141044286449 Long ABS-CBDO USGA US N 2 2053-07-20 Floating 3.22000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381WR67 11940934.33000000 PA USD 1308769.39000000 0.109488118885 Long ABS-MBS USGA US N 2 2049-07-20 Floating 2.38000000 N N N N N N Government National Mortgage Association N/A 38382FAH7 12002977.89000000 PA USD 951210.79000000 0.079575730343 Long ABS-CBDO USGA US N 2 2049-05-20 Variable 2.33000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102 N/A 38380NKM0 11822481.52000000 PA USD 527152.63000000 0.044100167886 Long ABS-MBS USGA US N 2 2060-03-16 Floating 0.84000000 N N N N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 69544CAC5 6420000.00000000 PA USD 6417520.60000000 0.536872472547 Long ABS-O CORP US N 2 2033-12-15 Fixed 6.20000000 N N N N N N Hilton USA Trust N/A 43289VAN3 5000000.00000000 PA USD 566098.00000000 0.047358232549 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 14098541.17000000 PA USD 1874291.08000000 0.156798138893 Long ABS-CBDO USGA US N 2 2050-06-25 Floating 2.35000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-46 N/A 3136BNGS9 15024763.66000000 PA USD 1475125.29000000 0.123405005004 Long ABS-CBDO USGA US N 2 2052-07-25 Floating 2.39000000 N N N N N N FREDDIEMAC STRIP FHSTR_264 N/A 31325TL98 2319816.28000000 PA USD 200300.20000000 0.016756574747 Long ABS-CBDO USGA US N 2 2042-07-15 Floating 2.19000000 N N N N N N FREDDIE MAC GOLD N/A 3132QTYQ3 951737.06000000 PA USD 909297.09000000 0.076069343195 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 -1621272.85000000 OU Notional Amount USD -109038.12000000 -0.00912183516 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 -74371.51000000 USD -1621272.85000000 USD -109038.12000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140W52Z6 13436363.67000000 PA USD 12922970.29000000 1.081100855718 Long ABS-MBS USGSE US N 2 2056-04-01 Fixed 4.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -1659.00000000 NC USD -1650134.79000000 -0.13804582797 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes Futures TYU6 Index 2026-09-21 -180554724.59000000 USD -1650134.79000000 N N N CREDIT SUISSE MORTGAGE TRUST CSMC_22-ATH1 N/A 12660BAB7 2328681.69000000 PA USD 2187742.66000000 0.183020653049 Long ABS-CBDO CORP US N 2 2067-01-25 Floating 3.41000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69392PAC9 2000000.00000000 PA USD 1987247.80000000 0.166247793571 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 209089.29000000 PA USD 208403.33000000 0.017434460757 Long ABS-CBDO CORP US N 2 2035-01-25 Floating 5.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H020667 12000000.00000000 PA USD 9841866.24000000 0.823343997174 Long ABS-MBS USGA US N 2 2056-06-20 Fixed 2.00000000 N N N N N N FREDDIE MAC GOLD N/A 3128M95V0 3398167.29000000 PA USD 3184992.44000000 0.266447881181 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 5499581.68000000 0.460080177151 Long ABS-CBDO CORP US N 2 2058-09-25 Floating 8.37000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLXM5 16315645.69000000 PA USD 14414442.89000000 1.205873432607 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 11822829.82000000 PA USD 1244093.92000000 0.104077543422 Long ABS-CBDO USGA US N 2 2047-01-25 Floating 2.22000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -5000000.00000000 OU Notional Amount USD -287742.90000000 -0.02407179529 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.16.BBB- 137BEMAO1 Y sell protection 2065-04-17 0.00000000 USD -628278.77000000 USD -5000000.00000000 USD -287742.90000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17 N/A 38383VC89 18584598.15000000 PA USD 1811739.99000000 0.151565283334 Long ABS-CBDO USGA US N 2 2053-02-20 Floating 2.52000000 N N N N N N UMBS, TBA N/A 01F042665 43000000.00000000 PA USD 41275767.51000000 3.453019435480 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19 N/A 38380N3D9 15887413.79000000 PA USD 703250.02000000 0.058832000797 Long ABS-MBS USGA US N 2 2061-12-16 Floating 0.73000000 N N N N N N FANNIE MAE FNMA_17-72 N/A 3136AXU52 21526498.18000000 PA USD 375112.15000000 0.031380871212 Long ABS-CBDO USGA US N 2 2047-09-25 Floating 0.22000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAQ2 1600000.00000000 PA USD 1274782.72000000 0.106644885697 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 8001152.00000000 0.669354806195 Long ABS-O CORP US N 2 2042-08-17 Floating 5.03000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139 N/A 38381ANK8 2792529.18000000 PA USD 315513.91000000 0.026395043123 Long ABS-CBDO USGA US N 2 2048-10-20 Floating 2.43000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLR4 17597385.68000000 PA USD 15039785.16000000 1.258187881069 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 16149614.18000000 PA USD 2779146.73000000 0.232495923193 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 1206357.55000000 PA USD 57391.74000000 0.004801238247 Long ABS-CBDO USGA US N 2 2038-06-15 Floating 2.03000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ERRU6 6486060.74000000 PA USD 5879191.43000000 0.491837305454 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 12280440.40000000 PA USD 2331554.59000000 0.195051571414 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 4564885.53000000 PA USD 506447.57000000 0.042368038385 Long ABS-CBDO USGA US N 2 2047-11-25 Floating 2.42000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-111 N/A 38382UPG0 14476582.00000000 PA USD 2096818.54000000 0.175414186290 Long ABS-CBDO USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N MAGNETITE CLO MAGNE_16-17A N/A 55954EBQ1 4850000.00000000 PA USD 4850000.00000000 0.405737924994 Long DBT CORP KY N 2 2039-07-25 Variable 6.25000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191 N/A 38382MRY7 13649458.00000000 PA USD 3041119.72000000 0.254411877289 Long ABS-CBDO USGA US N 2 2050-12-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAVV1 20950936.00000000 PA USD 17129705.26000000 1.433024962467 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 20.00000000 0.000001673146 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 20.00000000 0.00000000 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 -1838980.00000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140X8QL4 13076156.12000000 PA USD 11205470.63000000 0.937419464331 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 2468533.18000000 PA USD 4396998.20000000 0.367841015644 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 15112120.92000000 PA USD 2606441.90000000 0.218047902706 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 -4895240.99000000 OU Notional Amount USD -465905.22000000 -0.03897637468 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 -938075.03000000 USD -4895240.99000000 USD -465905.22000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XN2F0 17066631.93000000 PA USD 13846605.63000000 1.158369698255 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 19186899.62000000 PA USD 18919079.28000000 1.582719169047 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 4386817.53000000 0.366989328237 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 27071652.12000000 PA USD 2763065.47000000 0.231150608334 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.33000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASS N/A 38379E4C3 2313119.48000000 PA USD 111138.91000000 0.009297581593 Long ABS-CBDO USGA US N 2 2039-09-16 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3132M8QG4 4309827.39000000 PA USD 4130630.46000000 0.345557408610 Long ABS-MBS USGA US N 2 2044-08-01 Fixed 4.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 3620AETC4 272405.23000000 PA USD 279921.09000000 0.023417443756 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 1354551.75000000 PA USD 1359204.09000000 0.113707349921 Long ABS-MBS CORP US N 2 2069-02-25 Variable 6.20000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 -10000000.00000000 OU Notional Amount USD 100506.91000000 0.008408137136 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 CMBX.NA.BBB-.18 137BERAR8 Y sell protection 2057-12-17 0.00000000 USD -895317.24000000 USD -10000000.00000000 USD 100506.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8ED5 14023332.01000000 PA USD 11520324.59000000 0.963759297817 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLJQ6 8738417.64000000 PA USD 8929098.65000000 0.746984321304 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 8.21000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKNH3 5067113.07000000 PA USD 5129360.02000000 0.429108431147 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 7.56000000 N N N N N N NRZT_14-1A N/A 64828AAB9 5249044.33000000 PA USD 204090.72000000 0.017073679431 Long ABS-CBDO CORP US N 2 2054-01-25 Floating 1.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BY4G4 28816800.30000000 PA USD 2348644.15000000 0.196481237932 Long ABS-MBS USGSE US N 2 2056-03-25 Floating 2.04000000 N N N N N N FHLMC_4215 N/A 3137B34H8 88804.27000000 PA USD 1497.69000000 0.000125292707 Long ABS-CBDO USGA US N 2 2041-07-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412LMW7 1803154.67000000 PA USD 1785110.36000000 0.149337520279 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 8883267.31000000 PA USD 986313.61000000 0.082512337632 Long ABS-CBDO USGA US N 2 2050-07-20 Floating 2.48000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193 N/A 38383DTZ1 120502792.80000000 PA USD 171800.83000000 0.014372394283 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 10096813.94000000 PA USD 1321504.33000000 0.110553489634 Long ABS-CBDO USGA US N 2 2050-08-20 Floating 2.53000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286 N/A 3137B6UF6 1520884.86000000 PA USD 156320.96000000 0.013077390091 Long ABS-CBDO USGA US N 2 2043-12-15 Floating 2.14000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -9790481.97000000 OU Notional Amount USD -1424199.13000000 -0.11914465974 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 -1383761.35000000 USD -9790481.97000000 USD -1424199.13000000 N N N UMBS, TBA N/A 01F060667 19000000.00000000 PA USD 19400333.23000000 1.622979577103 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 6.00000000 N N N N N N Bain Capital Credit CLO, Limited 254900XLVE4635MESI73 05684ABG3 5000000.00000000 PA USD 4872885.00000000 0.407652422399 Long ABS-CBDO CORP JE N 2 2035-04-23 Floating 6.57000000 N N N N N N Morgan Stanley Residential Mortgage Loan Trust N/A 61780QAF7 2893917.62000000 PA USD 2883119.26000000 0.241193984755 Long ABS-MBS CORP US N 2 2071-03-25 Variable 5.40000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XAZ88 18089006.85000000 PA USD 15394731.58000000 1.287881741674 Long ABS-MBS USGA US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Vista Point Securitization Trust N/A 92842UAB8 3050000.00000000 PA USD 3051551.84000000 0.255284600324 Long ABS-MBS CORP US N 2 2055-08-25 Variable 5.77000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HPAM5 34627209.51000000 PA USD 2727581.83000000 0.228182142671 Long ABS-MBS USGSE US N 2 2055-12-25 Floating 1.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AQC57 9725454.45000000 PA USD 982006.37000000 0.082152005545 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 2.42000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79 N/A 38384PDH0 12619501.12000000 PA USD 1669522.14000000 0.139667721405 Long ABS-CBDO USGA US N 2 2054-05-20 Floating 3.62000000 N N N N N N MFRA Trust 254900XBKB8JES2BO797 55287RAC2 5312848.14000000 PA USD 5315906.75000000 0.444714427672 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 17131067.85000000 PA USD 2420421.17000000 0.202485909923 Long ABS-CBDO USGA US N 2 2054-06-20 Floating 3.67000000 N N N N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 69544MAB5 1704622.88000000 PA USD 1708175.14000000 0.142901327181 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 9125179.76000000 PA USD 1066250.79000000 0.089199666610 Long ABS-CBDO USGA US N 2 2049-10-25 Floating 2.32000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46 N/A 38382P4J8 17090587.25000000 PA USD 1956253.56000000 0.163654899009 Long ABS-CBDO USGA US N 2 2051-03-20 Floating 2.58000000 N N N N N N MFA TRUST MFRA_26-INVR1 N/A 58003NAF1 3571084.96000000 PA USD 3560624.18000000 0.297872219892 Long ABS-MBS CORP US N 2 2059-12-25 Variable 5.80000000 N N N N N N FREDDIE MAC GOLD N/A 3132GTUM7 1623260.90000000 PA USD 1527346.94000000 0.127773727460 Long ABS-MBS USGA US N 2 2042-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QB4E5 11095285.53000000 PA USD 9889021.95000000 0.827288916746 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 5787167.92000000 PA USD 700093.38000000 0.058567924804 Long ABS-CBDO USGA US N 2 2048-01-20 Floating 2.48000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142 N/A 38382XTC9 18885123.76000000 PA USD 2540151.13000000 0.212502195599 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 4411945.72000000 PA USD 4352065.91000000 0.364082101394 Long ABS-MBS CORP US N 2 2055-03-02 Variable 6.25000000 N N N N N N UMBS, TBA N/A 01F050668 33000000.00000000 PA USD 32463444.42000000 2.715804242713 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 5.00000000 N N N N N N Preston Ridge Partners Mortgage Trust N/A 69392PAB1 2750000.00000000 PA USD 2749048.23000000 0.229977963825 Long ABS-MBS CORP US N 2 2055-07-25 Variable 5.25000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 5000000.00000000 OU Notional Amount USD -63847.93000000 -0.00534134569 N/A DCR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 CMBX.NA.BBB-.11 137BERAK3 Y buy protection 2054-11-18 635976.10000000 USD 0.00000000 USD 5000000.00000000 USD -63847.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQD77 10570722.65000000 PA USD 10510922.27000000 0.879315420951 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FEDF8 2923743.60000000 PA USD 2709234.79000000 0.226647278766 Long ABS-MBS USGA US N 2 2046-09-01 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -18000000.00000000 OU Notional Amount USD 105422.06000000 0.008819325334 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.BBB-.17 137BERAQ0 Y sell protection 2056-12-15 0.00000000 USD -2635790.66000000 USD -18000000.00000000 USD 105422.06000000 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105 N/A 3137H06M5 17261559.53000000 PA USD 3309127.27000000 0.276832666407 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 518022.15000000 PA USD 521487.98000000 0.043626278539 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 15421098.67000000 PA USD 1407634.80000000 0.117758932557 Long ABS-CBDO USGA US N 2 2052-07-20 Floating 2.35000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3137HLPA4 11924774.99000000 PA USD 1446731.59000000 0.121029664608 Long ABS-CBDO USGA US N 2 2055-06-25 Floating 3.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416CEZ5 1227558.98000000 PA USD 1216281.96000000 0.101750869826 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 1373147.74000000 PA USD 1353799.40000000 0.113255208126 Long ABS-CBDO USGA US N 2 2053-09-20 Floating 7.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137GCF65 10000000.00000000 PA USD 10009375.00000000 0.837357328452 Long ABS-MBS USGSE US N 3 2056-06-25 Floating 5.07000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1 N/A 38382MJ91 16386513.80000000 PA USD 2405913.84000000 0.201272265805 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 12337983.11000000 PA USD 797191.64000000 0.066690903471 Long ABS-CBDO USGA US N 2 2053-08-20 Floating 2.10000000 N N N N N N New Residential Mortgage Loan Trust 2138001CG5SYL78G3648 64831MAB8 4420000.00000000 PA USD 3603978.72000000 0.301499143830 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 1249435.34000000 PA USD 160975.00000000 0.013466734531 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 5170605.29000000 PA USD 694127.91000000 0.058068869666 Long ABS-CBDO USGA US N 2 2048-05-20 Floating 2.48000000 N N N N N N Cayuga Park CLO, Ltd. 549300SVH2QJEV4A2G21 149791BG9 11000000.00000000 PA USD 11012100.00000000 0.921242598729 Long ABS-CBDO CORP KY N 2 2038-10-17 Floating 4.88000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -383.00000000 NC USD -718871.85000000 -0.06013888098 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USU6 Index 2026-09-21 -42260909.40000000 USD -718871.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AMDR7 5393857.98000000 PA USD 585580.42000000 0.048988079284 Long ABS-MBS USGSE US N 2 2045-01-25 Floating 2.42000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 36213J7E9 22452.92000000 PA USD 23038.04000000 0.001927300318 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 6643004.20000000 PA USD 6647515.93000000 0.556113261816 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 6309790.09000000 PA USD 6328708.73000000 0.529442710929 Long ABS-O CORP US N 2 2042-12-22 Fixed 6.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 74126000.00000000 NC USD 459.58000000 0.000038447223 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 459.58000000 0.00000000 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 -1222619.42000000 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 31427SRQ3 10212273.50000000 PA USD 10190805.46000000 0.852535311622 Long ABS-MBS USGSE US N 2 2054-09-01 Fixed 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80 N/A 38384NMT9 7961068.47000000 PA USD 6883037.10000000 0.575816327962 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 6342190.02000000 PA USD 613131.22000000 0.051292904938 Long ABS-CBDO USGA US N 2 2046-06-25 Floating 2.12000000 N N N N N N FREDDIE MAC FHLMC_4177 N/A 3137B16F4 2507553.30000000 PA USD 343881.60000000 0.028768207593 Long ABS-CBDO USGA US N 2 2043-03-15 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3142GWE21 10727532.44000000 PA USD 10585400.04000000 0.885546030406 Long ABS-MBS USGSE US N 2 2055-12-01 Fixed 5.00000000 N N N N N N Upstart Securitization Trust N/A 91684NAB7 5100000.00000000 PA USD 5116663.98000000 0.428046314668 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 4122086.22000000 0.344842620526 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 14142440.36000000 PA USD 2359797.70000000 0.197414313856 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 4918823.50000000 0.411495513465 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 9295030.53000000 PA USD 9109689.48000000 0.762092063291 Long ABS-CBDO CORP US N 2 2056-02-25 Floating 5.25000000 N N N N N N UMBS, TBA N/A 01F030462 36000000.00000000 PA USD 34218046.44000000 2.862589517514 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 3.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21 N/A 38381B7M0 4912140.87000000 PA USD 454311.63000000 0.038006486197 Long ABS-CBDO USGA US N 2 2049-02-20 Floating 2.33000000 N N N N N N Upgrade Master Pass-Thru Trust N/A 91533UAJ7 1000000.00000000 PA USD 1003898.00000000 0.083983400294 Long ABS-O CORP US N 2 2034-06-15 Fixed 7.74000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHWG8 29132823.20000000 PA USD 27533860.62000000 2.303408551558 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.00000000 N N N N N N HTAP Trust N/A 40444WAA7 5929818.47000000 PA USD 5912763.13000000 0.494645823371 Long ABS-MBS CORP US N 2 2042-04-25 Fixed 6.50000000 N N N N N N FREDDIE MAC FHLMC_326 N/A 31325VB86 1140387.51000000 PA USD 101795.55000000 0.008515941284 Long ABS-CBDO USGA US N 2 2044-03-15 Floating 2.24000000 N N N N N N MPOWER Education Trust N/A 62477DAB1 2000000.00000000 PA USD 2034483.20000000 0.170199379794 Long ABS-O 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 2017496.20000000 0.168778293169 Long ABS-CBDO CORP US N 2 2069-02-25 Floating 8.42000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140XQBR7 22971580.08000000 PA USD 22179450.17000000 1.855473008145 Long ABS-MBS USGA US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140H4B94 17366864.75000000 PA USD 16992207.99000000 1.421522311535 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 5988966.00000000 0.501020750042 Long ABS-MBS CORP US N 2 2067-08-25 Variable 5.35000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45 N/A 3136BWEY8 21165919.30000000 PA USD 1453150.42000000 0.121566646621 Long ABS-CBDO USGA US N 2 2055-06-25 Floating 2.19000000 N N N N N N MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1 N/A 58550DAD5 2789000.00000000 PA USD 2674229.30000000 0.223718813843 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 1233178.96000000 PA USD 1188899.07000000 0.099460091070 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 130096.76000000 PA USD 129067.99000000 0.010797480091 Long ABS-CBDO CORP US N 2 2037-02-25 Floating 6.24000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987 N/A 3137FTRP4 9973327.91000000 PA USD 1296267.34000000 0.108442231086 Long ABS-CBDO USGA US N 2 2050-06-25 Floating 2.35000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140QSFA4 14007174.13000000 PA USD 13877241.48000000 1.160932610876 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 3000000.00000000 PA USD 3067209.00000000 0.256594436120 Long ABS-O CORP US N 2 2035-11-20 Fixed 7.67000000 N N N N N N Research-Driven Pagaya Motor Asset Trust I N/A 76091HAD4 2390000.00000000 PA USD 2384780.96000000 0.199504346036 Long ABS-O CORP US N 2 2035-02-26 Fixed 5.62000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140BHHW4 9467997.35000000 PA USD 9673555.15000000 0.809263545130 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 161528.51000000 0.013513039685 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Three Month SOFR SFRH6 Comdty 2026-06-16 -163026828.51000000 USD 161528.51000000 N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 694969AC0 5610000.00000000 PA USD 5587526.90000000 0.467437437166 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 2646814.48000000 PA USD 105208.76000000 0.008801481231 Long ABS-CBDO USGA US N 2 2035-05-25 Floating 2.35000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -13000000.00000000 OU Notional Amount USD 49626.33000000 0.004151604981 N/A DCR US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.BBB-.18 137BERAR8 Y sell protection 2057-12-17 0.00000000 USD -1082879.76000000 USD -13000000.00000000 USD 49626.33000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122 N/A 38382WCZ8 13658676.38000000 PA USD 1798579.97000000 0.150464351539 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 15495123.92000000 PA USD 726682.57000000 0.060792304759 Long ABS-MBS USGA US N 2 2061-06-16 Floating 0.76000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81 N/A 38384BAE1 11852217.08000000 PA USD 878276.55000000 0.073474248447 Long ABS-CBDO USGA US N 2 2053-06-20 Floating 2.42000000 N N N N N N FIGRE Trust N/A 316918AA9 2539869.83000000 PA USD 2512851.71000000 0.210218399718 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 10024990.00000000 0.838663637256 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 5.69000000 N N N N N N Research-Driven Pagaya Motor Asset Trust I N/A 76089TAA8 4882753.45000000 PA USD 4878512.78000000 0.408123227302 Long ABS-O CORP US N 2 2034-07-25 Fixed 5.66000000 N N N N N N FREDDIE MAC GOLD N/A 3132L6SJ1 3175221.40000000 PA USD 2960911.86000000 0.247701903952 Long ABS-MBS USGA US N 2 2044-12-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335AH43 5541056.04000000 PA USD 5166985.33000000 0.432256063149 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 21356255.22000000 PA USD 1564247.46000000 0.130860725484 Long ABS-CBDO USGA US N 2 2049-11-20 Variable 2.33000000 N N N N N N CIM Trust N/A 171951AA4 10400000.00000000 PA USD 10092387.76000000 0.844301952162 Long ABS-MBS CORP US N 3 2065-07-25 Variable 5.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79 N/A 38382FB86 8949556.53000000 PA USD 1027610.45000000 0.085967119935 Long ABS-CBDO USGA US N 2 2050-06-20 Floating 2.38000000 N N N N N N CHNGE Mortgage Trust N/A 12569QAA8 1410663.63000000 PA USD 1412821.95000000 0.118192875542 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 11882487.65000000 PA USD 1376554.11000000 0.115158805821 Long ABS-CBDO USGA US N 2 2050-01-25 Floating 2.22000000 N N N N N N OBX TRUST OBX_22-NQM3 N/A 67116KAD7 5264000.00000000 PA USD 4369844.33000000 0.365569396083 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 1017512.66000000 PA USD 958664.82000000 0.080199314398 Long ABS-CBDO CORP US N 2 2056-05-25 Fixed 1.69000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 91.00000000 NC USD 180849.40000000 0.015129373256 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra U.S. Treasury Bond Futures WNU6 Comdty 2026-09-21 10230119.35000000 USD 180849.40000000 N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3140L3K26 17288509.37000000 PA USD 14048522.39000000 1.175261510054 Long ABS-MBS USGA US N 2 2051-04-01 Fixed 2.00000000 N N N N N N COLUMBIA SHORT TERM CASH FUND 549300VVFD6ONXJAKQ35 19766H239 28353497.17000000 NS USD 28342155.77000000 2.371028344743 Long STIV RF US N 1 N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 31427PWW0 8598997.33000000 PA USD 8842641.92000000 0.739751584349 Long ABS-MBS USGA US N 2 2055-07-01 Fixed 6.00000000 N N N N N N GCAT 254900KVL1UYCCX9U836 36168AAA7 939786.14000000 PA USD 909371.56000000 0.076075573155 Long ABS-MBS CORP US N 2 2065-04-25 Variable 2.47000000 N N N N N N Exeter Automobile Receivables Trust N/A 30168JAG8 5230000.00000000 PA USD 5430285.99000000 0.454283086538 Long ABS-O CORP US N 2 2032-10-15 Fixed 7.81000000 N N N N N N Enva 2018-A, LLC N/A 64112RAA9 1110971.26000000 PA USD 1120241.32000000 0.093716368798 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 4768635.98000000 PA USD 540516.78000000 0.045218176647 Long ABS-CBDO USGA US N 2 2047-11-20 Floating 2.48000000 N N N N N N KSL Resorts N/A 48269AAG7 4700000.00000000 PA USD 4705875.47000000 0.393680855357 Long ABS-MBS CORP US N 2 2043-06-15 Floating 6.35000000 N N N N N N GNMA POOL 701579 GN 01/39 FIXED 5 N/A 36296UM49 647243.47000000 PA USD 653853.09000000 0.054699586801 Long ABS-MBS USGA US N 2 2039-01-15 Fixed 5.00000000 N N N N N N UNLOCK HEA TRUST N/A 91528JAA8 3030536.60000000 PA USD 3025974.73000000 0.253144888255 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 5469177.72000000 PA USD 494008.40000000 0.041327410957 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.38000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPO N/A 31325USF4 3218619.31000000 PA USD 291735.65000000 0.024405817995 Long ABS-CBDO USGA US N 2 2043-08-15 Floating 2.21000000 N N N N N N Vendee Mortgage Trust N/A 911760LJ3 110606.92000000 PA USD 0.11000000 0.000000009202 Long ABS-MBS CORP US N 2 2028-03-15 Variable 0.00000000 N N N N N N FREDDIE MAC FHLMC_318 N/A 31325UVQ6 3376950.29000000 PA USD 311063.05000000 0.026022696175 Long ABS-CBDO USGA US N 2 2043-11-15 Floating 2.19000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40 N/A 38380V6B2 3293675.91000000 PA USD 380782.53000000 0.031855239916 Long ABS-CBDO USGA US N 2 2048-03-20 Floating 2.48000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADVT2 7575298.30000000 PA USD 7211033.41000000 0.603255615019 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 17344701.99000000 PA USD 3314562.14000000 0.277287332979 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 12874624.53000000 PA USD 1662824.71000000 0.139107432467 Long ABS-CBDO USGA US N 2 2049-04-16 Floating 2.31000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126 N/A 38383TX32 17599983.59000000 PA USD 1800457.20000000 0.150621395540 Long ABS-CBDO USGA US N 2 2052-07-20 Floating 2.34000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2 N/A 3617UVEL6 18113286.61000000 PA USD 15331940.91000000 1.282628843498 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAH96 23068531.89000000 PA USD 18745244.49000000 1.568176619153 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31394VL81 1378010.34000000 PA USD 13.78000000 0.000001152797 Long ABS-MBS USGSE US N 2 2034-08-25 Variable 0.00000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27 N/A 38382NEY9 10153460.93000000 PA USD 1474985.15000000 0.123393281269 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 19204440.27000000 PA USD 1841961.24000000 0.154093511636 Long ABS-MBS USGA US N 2 2050-05-20 Floating 2.33000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97 N/A 38380XJ99 4352137.73000000 PA USD 473735.41000000 0.039631427268 Long ABS-CBDO USGA US N 2 2048-07-20 Floating 2.48000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63 N/A 38380WWB1 3731746.62000000 PA USD 436659.14000000 0.036529726472 Long ABS-CBDO USGA US N 2 2048-04-20 Floating 2.48000000 N N N N N N SFO Commerical Mortgage Trust N/A 78432WAA1 1750000.00000000 PA USD 1748905.55000000 0.146308723478 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.14000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190 N/A 38383LAZ3 25121147.68000000 PA USD 2871475.30000000 0.240219882452 Long ABS-CBDO USGA US N 2 2049-07-20 Floating 2.43000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 3620AYKB1 365238.68000000 PA USD 376388.30000000 0.031487630481 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 854063.49000000 PA USD 849207.80000000 0.071042435187 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 9060532.83000000 PA USD 892661.82000000 0.074677681354 Long ABS-CBDO USGA US N 2 2049-04-20 Floating 2.38000000 N N N N N N Imperial Fund LLC N/A 45276JAC4 5830753.63000000 PA USD 5226281.15000000 0.437216591596 Long ABS-MBS CORP US N 2 2057-01-25 Variable 2.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3142GXSB4 12700000.00000000 PA USD 12563954.68000000 1.051066577648 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 5.00000000 N N N N N N FREDDIE MAC GOLD N/A 3128CUTX4 317437.98000000 PA USD 320292.33000000 0.026794792858 Long ABS-MBS USGA US N 2 2030-06-01 Fixed 5.50000000 N N N N N N SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_26-LOC6 N/A 79589WAJ1 6000000.00000000 PA USD 6000000.00000000 0.501943824736 Long ABS-MBS CORP US N 2 2056-06-25 Variable 7.48000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191 N/A 38382MHY8 7381950.12000000 PA USD 1055777.58000000 0.088323506095 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 6718139.75000000 PA USD 5428173.75000000 0.454106382234 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 2280122.50000000 PA USD 2148229.06000000 0.179715051797 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 1259731.92000000 PA USD 138588.78000000 0.011593963716 Long ABS-CBDO USGA US N 2 2036-09-15 Floating 2.33000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161 N/A 38383A6G4 16310577.50000000 PA USD 2167760.56000000 0.181349004433 Long ABS-CBDO USGA US N 2 2051-09-20 Floating 2.58000000 N N N N N N FANNIE MAE FNMA_16-42 N/A 3136AS2T2 9108490.22000000 PA USD 990209.48000000 0.082838255613 Long ABS-CBDO USGA US N 2 2046-07-25 Floating 2.27000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3142GSWW4 7979422.56000000 PA USD 8203071.49000000 0.686246846378 Long ABS-MBS USGA US N 2 2054-09-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H030666 17000000.00000000 PA USD 15110544.86000000 1.264107446812 Long ABS-MBS USGA US N 2 2056-06-20 Fixed 3.00000000 N N N N N N Government National Mortgage Association N/A 38384EE68 19705930.50000000 PA USD 2057013.41000000 0.172084196424 Long ABS-CBDO USGA US N 2 2049-12-20 Variable 2.33000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042661 65000000.00000000 PA USD 62520549.65000000 5.230300635986 Long ABS-MBS USGA US N 2 2056-06-20 Fixed 4.50000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47 N/A 38383WJ31 11412508.23000000 PA USD 933104.93000000 0.078061042907 Long ABS-CBDO USGA US N 2 2053-03-20 Floating 2.72000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100 N/A 38384B4K4 23141079.43000000 PA USD 2437560.97000000 0.203919779384 Long ABS-CBDO USGA US N 2 2049-09-20 Floating 2.33000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKPN8 10543508.32000000 PA USD 10685122.40000000 0.893888534204 Long ABS-MBS USGSE US N 2 2055-04-25 Floating 7.56000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLW24 18167226.24000000 PA USD 894376.18000000 0.074821100090 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 1.49000000 N N N N N N FREDDIE MAC FHLMC_4993 N/A 3137FU6V1 13220004.23000000 PA USD 1745849.62000000 0.146053072612 Long ABS-CBDO USGA US N 2 2050-07-25 Floating 2.32000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 130000000.00000000 NC USD 193310.00000000 0.016171793459 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Call Purchased CITIBANK NA N/A CITIBANK NA N/A N/A 130000000.00000000 OU Notional Amount N/A 193310.00000000 0.02000000 DIR US N/A N/A 2031-09-10 0.00000000 N/A 0.00000000 N/A 130000000.00000000 USD 1.00000000 3.40000000 USD 2026-09-08 XXXX -1087190.00000000 N N N Government National Mortgage Association N/A 38384MJC2 24049417.25000000 PA USD 1330800.96000000 0.111331220637 Long ABS-CBDO USGA US N 2 2054-04-20 Variable 1.77000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125 N/A 38382HMR8 14670344.54000000 PA USD 1874711.59000000 0.156833317626 Long ABS-CBDO USGA US N 2 2050-08-20 Floating 2.53000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30 N/A 38384JTX2 3999377.13000000 PA USD 3990050.18000000 0.333796841372 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 3327639.95000000 PA USD 3286090.37000000 0.274905461457 Long ABS-MBS CORP US N 2 2059-09-25 Variable 3.53000000 N N N N N N Vendee Mortgage Trust N/A 911760LZ7 125931.55000000 PA USD 0.13000000 0.000000010875 Long ABS-MBS CORP US N 2 2029-03-15 Variable 0.00000000 N N N N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 69549PAC1 9750000.00000000 PA USD 9719740.88000000 0.813127318791 Long ABS-O CORP US N 2 2033-11-15 Fixed 6.03000000 N N N N N N FREDDIE MAC FHLMC_4594 N/A 3137BQMD6 3062844.03000000 PA USD 319029.20000000 0.026689122808 Long ABS-CBDO USGA US N 2 2046-06-15 Floating 2.19000000 N N N N N N PRKCM TRUST PRKCM_22-AFC1 N/A 69377CAE3 3338854.70000000 PA USD 3156406.32000000 0.264056443446 Long ABS-CBDO CORP US N 2 2057-04-25 Floating 4.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HBDP6 18209958.41000000 PA USD 1861161.55000000 0.155699757809 Long ABS-MBS USGSE US N 2 2048-08-15 Floating 2.29000000 N N N N N N Hilton USA Trust N/A 43289VAS2 8700000.00000000 PA USD 175379.82000000 0.014671802938 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 7859773.50000000 PA USD 853697.94000000 0.071418068195 Long ABS-CBDO USGA US N 2 2044-09-16 Variable 2.46000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139 N/A 38380NTH2 16926219.44000000 PA USD 693154.08000000 0.057987401674 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 5616481.09000000 PA USD 550420.20000000 0.046046670066 Long ABS-CBDO USGA US N 2 2048-11-20 Floating 2.43000000 N N N N N N Freddie Mac - STACR 5493000ISA3AUOXQEF68 35564KSJ9 4500000.00000000 PA USD 4610979.45000000 0.385742110152 Long ABS-MBS USGSE US N 2 2042-02-25 Floating 8.36000000 N N N N N N Easy Street Mortgage Loan Trust N/A 27786YAA6 8300000.00000000 PA USD 8285976.32000000 0.693182440955 Long ABS-MBS CORP US N 2 2040-10-25 Variable 5.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B45D6 12981319.13000000 PA USD 1244384.06000000 0.104101815752 Long ABS-MBS USGSE US N 2 2049-07-25 Floating 2.32000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3 N/A 38382BN66 18075503.32000000 PA USD 630769.99000000 0.052768516884 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 56567.81000000 0.004732310484 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 56567.81000000 0.00000000 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 -768538.34000000 N N N GCAT 254900KVL1UYCCX9U836 36171FAA1 5079932.99000000 PA USD 4833067.04000000 0.404321359210 Long ABS-MBS CORP US N 2 2067-05-25 Variable 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BVHZ4 14028444.48000000 PA USD 14207126.18000000 1.188529875549 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 7.56000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AXV44 3466606.80000000 PA USD 3211988.69000000 0.268706314677 Long ABS-MBS USGSE US N 2 2047-09-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLAE2 5093493.23000000 PA USD 5187679.56000000 0.433987286641 Long ABS-MBS USGSE US N 2 2055-05-25 Floating 7.91000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 150000000.00000000 NC USD 3390225.00000000 0.283617083869 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 3390225.00000000 0.28000000 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 996225.00000000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST RPM_26-3 N/A 76091NAE9 8150000.00000000 PA USD 8156677.30000000 0.682365633516 Long DBT CORP US N 2 2035-03-26 Fixed 6.76000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3133GCXX5 4012786.73000000 PA USD 3696393.66000000 0.309230328571 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 6276686.06000000 PA USD 374758.96000000 0.031351324289 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 4277531.73000000 PA USD 456950.32000000 0.038227231889 Long ABS-CBDO USGA US N 2 2048-08-20 Floating 2.48000000 N N N N N N GoldenTree Loan Management US CLO1, LTD 25490014ZMZARIPJAM61 38140GAL9 3400000.00000000 PA USD 3399881.00000000 0.284424878797 Long ABS-CBDO CORP KY N 2 2039-07-20 Floating 0.00000000 N N N N N N FEDERAL HOME LOAN MORTGAGE CORPORATION S6XOOCT0IEG5ABCC6L87 3132E0NY4 10926265.55000000 PA USD 10276495.73000000 0.859703928599 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 2946558.74000000 PA USD 2743693.86000000 0.229530031665 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 810109.47000000 PA USD 55335.18000000 0.004629191981 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 11746767.68000000 PA USD 10545458.64000000 0.882204640559 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 25543240.94000000 PA USD 2374116.53000000 0.198612188572 Long ABS-MBS USGA US N 2 2052-09-20 Floating 2.42000000 N N N N N N Home Owner Mortgage Enhanced Securuties Limited 2549001JI3VOZZFMYK81 43761FAD7 5963784.44000000 PA USD 5905067.40000000 0.494002019346 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 68014.95000000 PA USD 68851.04000000 0.005759892392 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 -137888.65000000 -0.01153539272 N/A DCR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 CMBX.NA.17.BBB 137BERAQ0 Y sell protection 2056-12-15 0.00000000 USD -283839.45000000 USD -3000000.00000000 USD -137888.65000000 N N N RUN_22-NQM1 N/A 74981CAD3 5000000.00000000 PA USD 4031332.50000000 0.337250408972 Long ABS-CBDO CORP US N 2 2067-03-25 Floating 4.02000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -440.00000000 NC USD -172198.40000000 -0.01440565391 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year U.S. Treasury Notes Futures TUU6 Index 2026-09-30 -90715301.60000000 USD -172198.40000000 N N N BHMS Mortgage Trust N/A 088928AA4 3700000.00000000 PA USD 3704640.54000000 0.309920240319 Long ABS-MBS CORP US N 2 2042-08-15 Floating 5.48000000 N N N N N N FANNIE MAE FNMA_17-51 N/A 3136AWY84 6095674.65000000 PA USD 653831.82000000 0.054697807410 Long ABS-CBDO USGA US N 2 2047-07-25 Floating 2.42000000 N N N N N N Toorak Mortgage Corp. N/A 89054YAC7 4000000.00000000 PA USD 4025816.80000000 0.336788980379 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 2808352.25000000 PA USD 197613.36000000 0.016531800956 Long ABS-CBDO USGA US N 2 2037-06-25 Floating 2.37000000 N N N N N N RCO Mortgage LLC N/A 74939VAA0 6589737.80000000 PA USD 6572255.23000000 0.549817154547 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 -4895240.99000000 OU Notional Amount USD -872184.10000000 -0.07296457050 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 -531796.15000000 USD -4895240.99000000 USD -872184.10000000 N N N FREDDIE MAC GOLD N/A 3132H3F73 5272510.37000000 PA USD 4936492.07000000 0.412973618399 Long ABS-MBS USGA US N 2 2042-07-01 Fixed 3.50000000 N N N N N N Voya CLO Ltd 254900MS3D9HONB0N824 92892MAJ8 3050000.00000000 PA USD 3050000.00000000 0.255154777574 Long ABS-CBDO CORP KY N 2 2039-07-15 Floating 0.00000000 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION B1V7KEBTPIMZEU4LTD58 3138ER2F6 11725101.56000000 PA USD 10554929.27000000 0.882996927933 Long ABS-MBS USGA US N 2 2047-01-01 Fixed 3.00000000 N N N N N N Pagaya AI Debt Selection Trust 254900ULYEY0HX0PKA54 69546QAC2 1295851.01000000 PA USD 1296044.35000000 0.108423576344 Long ABS-O CORP US N 2 2032-03-15 Fixed 5.77000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36202FJR8 1791191.82000000 PA USD 1811166.60000000 0.151517315073 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KM4G7 11909300.24000000 PA USD 10510027.85000000 0.879240596185 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 2644937.14000000 PA USD 2517310.78000000 0.210591433493 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 4.00000000 N N N N N N SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_26-LOC6 N/A 79589WAK8 3000000.00000000 PA USD 3000000.00000000 0.250971912368 Long ABS-MBS CORP US N 2 2056-06-25 Variable 8.48000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 100000000.00000000 NC USD 314860.00000000 0.026340338776 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 314860.00000000 0.03000000 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 -1420140.00000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8 N/A 38382MVH9 16323667.24000000 PA USD 2766004.60000000 0.231396488026 Long ABS-CBDO USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKF25 5861059.84000000 PA USD 5938180.25000000 0.496772151109 Long ABS-MBS USGSE US N 2 2054-06-25 Floating 7.56000000 N N N N N N A&D Mortgage Trust 9845006Y6D399D9E8O78 002941AA0 4865629.46000000 PA USD 4868013.62000000 0.407244895881 Long ABS-MBS CORP US N 2 2070-10-25 Variable 5.23000000 N N N N N N Verus Securitization Trust N/A 92538UAC5 9974288.41000000 PA USD 9444943.95000000 0.790138548446 Long ABS-MBS CORP US N 2 2067-02-25 Variable 4.12000000 N N N N N N VISTA POINT SECURITIZATION TRUST VSTA_24-CES3 N/A 92841WAC3 5000000.00000000 PA USD 5042866.00000000 0.421872574611 Long ABS-CBDO CORP US N 2 2055-01-25 Floating 6.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7W88 12593914.80000000 PA USD 11130134.54000000 0.931117050139 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 21246.30000000 0.001777408180 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 21246.30000000 0.00000000 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 -2236253.70000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 1 N/A 3620AYKE5 151085.33000000 PA USD 154938.07000000 0.012961701242 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 9094360.68000000 0.760809697208 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 15199883.11000000 PA USD 1889125.07000000 0.158039110506 Long ABS-MBS USGA US N 2 2051-07-20 Floating 2.58000000 N N N N N N FREDDIE_MAC FHLMC_304 N/A 31325UQS8 827431.13000000 PA USD 141816.81000000 0.011864012003 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 8519770.00000000 0.712740989945 Long ABS-MBS USGSE US N 2 2034-01-25 Floating 9.11000000 N N N N N N CITIGROUP MORTGAGE LOAN TRUST IN N/A 17323TAG5 1787090.50000000 PA USD 1746577.87000000 0.146113996044 Long ABS-CBDO CORP US N 2 2053-01-25 Fixed 4.25000000 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134 N/A 38380NSQ3 16005489.75000000 PA USD 648524.84000000 0.054253839770 Long ABS-MBS USGA US N 2 2061-08-16 Floating 0.64000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 148.00000000 NC USD 16754.48000000 0.001401634628 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes Futures FVU6 Index 2026-09-30 15850464.34000000 USD 16754.48000000 N N N FREDDIE MAC FHLMC_4139 N/A 3137AWXC4 895456.14000000 PA USD 49315.81000000 0.004125627715 Long ABS-CBDO USGA US N 2 2042-05-15 Fixed 3.50000000 N N N N N N MPOWER Education Trust N/A 624930AA1 1443697.17000000 PA USD 1468620.15000000 0.122860802529 Long ABS-O CORP US N 2 2042-07-21 Fixed 6.62000000 N N N N N N Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 000000000 200000000.00000000 NC USD 579740.00000000 0.048499485492 N/A DIR US N 2 Citigroup Global Markets, Inc. MBNUM2BPBDO7JBLYG310 Call Purchased CITIBANK NA N/A CITIBANK NA N/A N/A 200000000.00000000 OU Notional Amount N/A 579740.00000000 0.05000000 DIR US N/A N/A 2031-10-13 0.00000000 N/A 0.00000000 N/A 200000000.00000000 USD 1.00000000 3.50000000 USD 2026-10-08 XXXX -1260260.00000000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138 N/A 38382J3D6 11111942.61000000 PA USD 1850140.67000000 0.154777780699 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 2688624.80000000 0.224923102565 Long ABS-CBDO CORP US N 2 2048-10-25 Variable 4.20000000 N N N N N N 2026-07-06 Columbia Funds Series Trust II Jennifer Borges Jennifer Borges Senior Manager