# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001410368-26-018882
**Filing Date:** 2026-2
**Character Count:** 147701
**Document Hash:** 62beb087beeac906f3339ad4c8481f7c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-018882.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-018882

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 26684863

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Variable Series Trust
- **DATE OF NAME CHANGE:** 20070920

## Series and Classes Contracts Data

### Columbia Variable Portfolio - U.S. Government Mortgage Fund (Series ID: S000019851)

| Class ID   | Class Name                                                          | Ticker Symbol   |
|:---|:---|:---|
| C000055688 | Columbia Variable Portfolio - U.S. Government Mortgage Fund Class 3 |  |
| C000088777 | Columbia Variable Portfolio - U.S. Government Mortgage Fund Class 1 |  |
| C000088778 | Columbia Variable Portfolio - U.S. Government Mortgage Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-22127

- **c. CIK number of Registrant:** 0001413032

- **d. LEI of Registrant:** 54930017CSZ4UCL7G406

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 800-345-6611

**Item A.2. Information about the Series.**

- **a. Name of Series:** Columbia Variable Portfolio - U.S. Government Mortgage Fund

- **b. EDGAR series identifier (if any):** S000019851

- **c. LEI of Series:** TX7LTWMZQ1ZOQMCVEE78

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1862140967.00

**Total Liabilities:** $463291835.55

**Net Assets:** $1398849131.45

**Delayed Delivery Securities:** $462793727.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 256068.96000000 | **1-Year:** 5316.10000000 | **5-Year:** 3068.15000000 | **10-Year:** 56335.11000000 | **30-Year:** 522648.07000000

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

- **3-Month:** -8021.62000000 | **1-Year:** -31272.43000000 | **5-Year:** 8986.71000000 | **10-Year:** 2804.84000000 | **30-Year:** 27399.15000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055688 | 0.76%                | 0.65%                | 0.00%                |
| Class ID C000088777 | 0.76%                | 0.75%                | 0.00%                |
| Class ID C000088778 | 0.76%                | 0.65%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2259224.43             | $9404343.53                                |
| Month 2  | $-15862.40               | $7647835.43                                |
| Month 3  | $1122954.48              | $-8495027.71                               |

**Designated Index Information**

- **Index Name:** BBG MBS Index

- **Index Identifier:** LEH_MBS

### Schedule of Portfolio Investments

| Name                                                 | Title                                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  80000000 | PA      | $73953124.80  | 5.29%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  75500000 | PA      | $71606054.28  | 5.12%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  33500000 | PA      | $32700762.70  | 2.34%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  87000000 | PA      | $86755312.50  | 6.20%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  48000000 | PA      | $48671164.32  | 3.48%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                            | Uniform Mortgage-Backed Security, TBA                               | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $22588004.34  | 1.61%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust 2025-1                                     | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |   6166401 | PA      | $6229999.61   | 0.45%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                         | ARES LII CLO Ltd                                                    | CUSIP: 04009AAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4972682 | PA      | $4969017.19   | 0.36%             | 2031-04-22      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                | ARROYO MORTGAGE TRUST ARRW_19-3                                     | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1740000 | PA      | $1627070.52   | 0.12%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Basswood Park CLO Ltd                                | Basswood Park CLO Ltd                                               | CUSIP: 070252AJ0<br>LEI: 5493005HSAGIQZIVAS94 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $7001036.00   | 0.50%             | 2034-04-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                  | BHMS Commercial Mortgage Trust 2025-ATLS                            | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3914659.32   | 0.28%             | 2042-08-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX 2025-BIO3 Mortgage Trust                                         | CUSIP: 123911AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6163428.60   | 0.44%             | 2042-02-10      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Commercial Mortgage Trust 2024-SLCT                              | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7800000 | PA      | $7792696.08   | 0.56%             | 2042-01-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                          | CHNGE Mortgage Trust 2022-2                                         | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2683917 | PA      | $2674790.01   | 0.19%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-NQM1            | CREDIT SUISSE MORTGAGE TRUST CSMC_21-NQM1                           | CUSIP: 126407AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    671436 | PA      | $614573.85    | 0.04%             | 2065-05-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                         | CSMC 2014-USA OA LLC                                                | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1344732.64   | 0.10%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                 | CHNGE Mortgage Trust 2023-3                                         | CUSIP: 17030AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1618247 | PA      | $1627066.73   | 0.12%             | 2058-07-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                          | CHNGE Mortgage Trust 2022-1                                         | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2553622 | PA      | $2475454.47   | 0.18%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| CMLTI_14-A                                           | CMLTI_14-A                                                          | CUSIP: 17322GAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    315194 | PA      | $314284.34    | 0.02%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                     | CITIGROUP MORTGAGE LOAN TRUST IN                                    | CUSIP: 17323TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1301642 | PA      | $1284053.80   | 0.09%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                     | Colt 2024-7 Mortgage Loan Trust                                     | CUSIP: 19688YAA2<br>LEI: 213800EA95GXXC9AJO50 | Long             | ABS-MBS          | CORP              | US        |   8295195 | PA      | $8370253.62   | 0.60%             | 2069-12-26      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                        | COLUMBIA SHORT TERM CASH FUND                                       | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  69484724 | NS      | $69463878.11  | 4.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                          | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $15272773.48  | 1.09%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                          | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40000000 | PA      | $37779687.60  | 2.70%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae                                                          | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75000000 | PA      | $73042968.75  | 5.22%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                 | Cross 2025-H1 Mortgage Trust                                        | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4588565 | PA      | $4641146.50   | 0.33%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                   | EFMT 2025-NQM1                                                      | CUSIP: 26846CAA4<br>LEI: 254900TJEVLCYF1H3X71 | Long             | ABS-MBS          | CORP              | US        |   1644495 | PA      | $1660634.11   | 0.12%             | 2070-01-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3128LUVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47181 | PA      | $48915.73     | 0.00%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3128M82S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2221819 | PA      | $2178025.05   | 0.16%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3128M9LT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6626050 | PA      | $6329100.78   | 0.45%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3128QS3F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12180 | PA      | $12599.63     | 0.00%             | 2037-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_264                           | FREDDIEMAC STRIP FHSTR_264                                          | CUSIP: 31325TL98<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2530662 | PA      | $248033.10    | 0.02%             | 2042-07-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_266                                | FREDDIE MAC FHLMC_266                                               | CUSIP: 31325TMP1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1510854 | PA      | $271764.63    | 0.02%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_267                                | FREDDIE MAC FHLMC_267                                               | CUSIP: 31325TN47<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1218070 | PA      | $221056.18    | 0.02%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPO                     | FEDERAL HOME LOAN MORTGAGE CORPO                                    | CUSIP: 31325USF4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1453808 | PA      | $153717.93    | 0.01%             | 2043-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                | FREDDIE MAC FHLMC_318                                               | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5305597 | PA      | $570535.83    | 0.04%             | 2043-11-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                | FREDDIE MAC FHLMC_326                                               | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    599162 | PA      | $62115.74     | 0.00%             | 2044-03-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4548059 | PA      | $4404268.79   | 0.31%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132D6NT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10815651 | PA      | $10039124.17  | 0.72%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10745895 | PA      | $9248423.36   | 0.66%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DMES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13799687 | PA      | $12519737.60  | 0.90%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6522116 | PA      | $5607726.85   | 0.40%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3239297 | PA      | $2902385.70   | 0.21%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DP3S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12999983 | PA      | $12047956.56  | 0.86%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DQWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7096432 | PA      | $7102131.75   | 0.51%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DTL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12572799 | PA      | $11697670.38  | 0.84%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13877703 | PA      | $13307985.09  | 0.95%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DUAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15133339 | PA      | $15775236.80  | 1.13%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DUJT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15256228 | PA      | $15641846.15  | 1.12%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DUT56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10380221 | PA      | $10243002.79  | 0.73%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132DUV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15487423 | PA      | $15883474.05  | 1.14%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9102330 | PA      | $7852448.58   | 0.56%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11067979 | PA      | $9976344.93   | 0.71%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132E0M41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8810212 | PA      | $8623036.36   | 0.62%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3132E0NY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7940896 | PA      | $7578465.64   | 0.54%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132GRSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3238631 | PA      | $3171090.15   | 0.23%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132GVBR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1106722 | PA      | $1083981.10   | 0.08%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132H3F73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3472765 | PA      | $3302113.47   | 0.24%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132HPRZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4698842 | PA      | $4383911.77   | 0.31%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132J6PZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2847269 | PA      | $2719385.13   | 0.19%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132L6SJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3259213 | PA      | $3100934.41   | 0.22%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | FREDDIE MAC GOLD                                                    | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2117831 | PA      | $2054868.37   | 0.15%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | FREDDIE MAC GOLD                                                    | CUSIP: 3132M9BR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    949725 | PA      | $912588.55    | 0.07%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | FREDDIE MAC GOLD                                                    | CUSIP: 3132QWH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1669016 | PA      | $1617675.82   | 0.12%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132WMK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2066711 | PA      | $1951090.24   | 0.14%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132XTA81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1986446 | PA      | $1975306.45   | 0.14%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 3132Y0TM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1053289 | PA      | $1045645.07   | 0.07%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Gold Pool                                               | CUSIP: 31335AH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4206768 | PA      | $3998974.23   | 0.29%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                     | FREDDIE MAC GOLD                                                    | CUSIP: 31335ATX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2924203 | PA      | $2863239.66   | 0.20%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3133A13X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9794111 | PA      | $8813783.62   | 0.63%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3133B66L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7719149 | PA      | $6246281.74   | 0.45%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3133BAFC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4694323 | PA      | $4199863.51   | 0.30%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3133BE5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5206998 | PA      | $4962432.87   | 0.35%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3133KM4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13231294 | PA      | $11748159.26  | 0.84%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3133KMEM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16137750 | PA      | $13271356.24  | 0.95%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac Pool                                                    | CUSIP: 3133KNWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7722588 | PA      | $6626473.37   | 0.47%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-40                                | FANNIE MAE FNMA_12-40                                               | CUSIP: 3136A5BC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    589044 | PA      | $14075.45     | 0.00%             | 2040-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-99                                | FANNIE MAE FNMA_12-99                                               | CUSIP: 3136A8WP1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2830390 | PA      | $348167.36    | 0.02%             | 2042-09-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                               | FANNIE MAE FNMA_12-129                                              | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    123762 | PA      | $1059.31      | 0.00%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-144                               | FANNIE MAE FNMA_12-144                                              | CUSIP: 3136ABJV6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    533182 | PA      | $39267.80     | 0.00%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-1                                 | FANNIE MAE FNMA_13-1                                                | CUSIP: 3136ABYL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    720708 | PA      | $100204.76    | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-10                                | FANNIE MAE FNMA_13-10                                               | CUSIP: 3136ACBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1034021 | PA      | $28587.68     | 0.00%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                | FANNIE MAE FNMA_14-93                                               | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1839863 | PA      | $225064.50    | 0.02%             | 2045-01-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                   | CUSIP: 3136AQC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6280744 | PA      | $710723.28    | 0.05%             | 2046-02-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                | FANNIE MAE FNMA_16-42                                               | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6178018 | PA      | $753956.65    | 0.05%             | 2046-07-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                | FANNIE MAE FNMA_16-37                                               | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2433729 | PA      | $262437.29    | 0.02%             | 2046-06-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                 | FANNIE MAE FNMA_17-3                                                | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4608891 | PA      | $490602.18    | 0.04%             | 2047-02-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                | FANNIE MAE FNMA_17-51                                               | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4651574 | PA      | $556549.62    | 0.04%             | 2047-07-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                | FANNIE MAE FNMA_17-72                                               | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11136468 | PA      | $378628.76    | 0.03%             | 2047-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                   | CUSIP: 3136AXV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818914 | PA      | $1710622.33   | 0.12%             | 2047-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                | FANNIE MAE FNMA_17-90                                               | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2456428 | PA      | $304767.28    | 0.02%             | 2047-11-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                           | FANNIE MAE FNMA_18-7                                                | CUSIP: 3136B0YQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7814164 | PA      | $7161591.42   | 0.51%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                       | Fannie Mae-Aces                                                     | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21912255 | PA      | $21589544.29  | 1.54%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                | FANNIE MAE FNMA_19-33                                               | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7260060 | PA      | $797401.39    | 0.06%             | 2049-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-34                                | FANNIE MAE FNMA_19-34                                               | CUSIP: 3136B5LE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6188220 | PA      | $849878.42    | 0.06%             | 2049-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                | FANNIE MAE FNMA_20-40                                               | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7863057 | PA      | $1176968.39   | 0.08%             | 2050-06-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                           | FNMA_20-55                                                          | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9302426 | PA      | $1546464.06   | 0.11%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                   | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34037004 | PA      | $5798812.97   | 0.41%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13     | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13                    | CUSIP: 3136BFNK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5944391 | PA      | $1149137.61   | 0.08%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54     | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54                    | CUSIP: 3136BGJP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9182227 | PA      | $1265909.55   | 0.09%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-34                    | CUSIP: 3136BQER6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10333939 | PA      | $1286887.49   | 0.09%             | 2048-10-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                   | CUSIP: 3136BU3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12138228 | PA      | $12264647.80  | 0.88%             | 2055-02-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae REMICS                                                   | CUSIP: 3136BU5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5815706 | PA      | $5927606.42   | 0.42%             | 2055-01-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10     | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10                    | CUSIP: 3136BUS68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6402182 | PA      | $6385647.75   | 0.46%             | 2055-02-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12     | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12                    | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  16655341 | PA      | $17141452.07  | 1.23%             | 2055-03-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45     | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45                    | CUSIP: 3136BWEY8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  24240681 | PA      | $1924710.10   | 0.14%             | 2055-06-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-86     | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-86                    | CUSIP: 3136BXPP3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14669933 | PA      | $14622167.95  | 1.05%             | 2055-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                               | FREDDIE MAC FHLMC_4068                                              | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    873501 | PA      | $96552.83     | 0.01%             | 2036-09-15      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                               | FREDDIE MAC FHLMC_4139                                              | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    578362 | PA      | $34565.05     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4147                               | FREDDIE MAC FHLMC_4147                                              | CUSIP: 3137AXDF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     74991 | PA      | $243.22       | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4177                               | FREDDIE MAC FHLMC_4177                                              | CUSIP: 3137B16F4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2919269 | PA      | $410380.55    | 0.03%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286                   | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1788235 | PA      | $213129.32    | 0.02%             | 2043-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                               | FREDDIE MAC FHLMC_4594                                              | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4080059 | PA      | $477790.82    | 0.03%             | 2046-06-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.     | Freddie Mac Multifamily Structured Pass Through Certificates        | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4362000 | PA      | $4342059.55   | 0.31%             | 2027-01-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_4965                        | FREDDIE MAC REMICS FHLMC_4965                                       | CUSIP: 3137FRWS6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2629356 | PA      | $313916.75    | 0.02%             | 2050-04-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983                   | CUSIP: 3137FTHL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11979865 | PA      | $1752944.18   | 0.13%             | 2050-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                   | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5410903 | PA      | $789783.58    | 0.06%             | 2050-06-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                               | FREDDIE MAC FHLMC_4993                                              | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6808545 | PA      | $1009791.64   | 0.07%             | 2050-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104                   | CUSIP: 3137FYZH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2496687 | PA      | $2103868.58   | 0.15%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01          | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                         | CUSIP: 3137G0WL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3653661 | PA      | $3539678.94   | 0.25%             | 2033-04-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                   | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8681858 | PA      | $1687780.15   | 0.12%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5177    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5177                   | CUSIP: 3137H4PH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10156200 | PA      | $981974.54    | 0.07%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HAQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16299070 | PA      | $1753902.18   | 0.13%             | 2048-01-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HBDP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10763013 | PA      | $1223268.04   | 0.09%             | 2048-08-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HK4A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7136809 | PA      | $7185710.75   | 0.51%             | 2055-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7299352 | PA      | $7529462.33   | 0.54%             | 2054-06-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513    | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513                   | CUSIP: 3137HKF33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15168024 | PA      | $15688666.31  | 1.12%             | 2054-11-25      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HKNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6334311 | PA      | $6504948.95   | 0.47%             | 2055-03-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HKPN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13015005 | PA      | $13365551.43  | 0.96%             | 2055-04-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HKQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11477800 | PA      | $11757684.35  | 0.84%             | 2055-04-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7358702 | PA      | $7522100.03   | 0.54%             | 2055-05-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HLEG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8176336 | PA      | $8204673.35   | 0.59%             | 2055-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HLJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11426161 | PA      | $11437836.10  | 0.82%             | 2055-06-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  13806770 | PA      | $1830323.44   | 0.13%             | 2055-06-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HLW24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21089780 | PA      | $1204207.43   | 0.09%             | 2055-06-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_25-5563 | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_25-5563                | CUSIP: 3137HMER7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14787213 | PA      | $14895644.25  | 1.06%             | 2055-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                          | Freddie Mac REMICS                                                  | CUSIP: 3137HPAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42679690 | PA      | $3778872.59   | 0.27%             | 2055-12-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138APD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    207528 | PA      | $205181.79    | 0.01%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138APD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    108215 | PA      | $106959.05    | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138APDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    332705 | PA      | $328738.79    | 0.02%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138APDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1230202 | PA      | $1173330.48   | 0.08%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138APEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    814635 | PA      | $803215.85    | 0.06%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3138EBRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229339 | PA      | $227997.23    | 0.02%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138EJB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    272532 | PA      | $270226.87    | 0.02%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138EKRC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5311752 | PA      | $5104024.57   | 0.36%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138EM6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6868955 | PA      | $6027779.80   | 0.43%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138M4K84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     72048 | PA      | $71221.05     | 0.01%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138MFSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5772242 | PA      | $5339726.56   | 0.38%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138MGWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    702320 | PA      | $679936.43    | 0.05%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138W2WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    779830 | PA      | $768218.92    | 0.05%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138WACJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2170602 | PA      | $2121042.63   | 0.15%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3138WDN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4274087 | PA      | $4060468.15   | 0.29%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138XUSP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5377460 | PA      | $5252455.87   | 0.38%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3138YY6Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1748255 | PA      | $1691930.48   | 0.12%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 31391MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6200 | PA      | $6270.15      | 0.00%             | 2033-02-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                 | Fannie Mae REMIC Trust 2003-W11                                     | CUSIP: 31393C6U2<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |       477 | PA      | $483.41       | 0.00%             | 2033-06-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                 | FANNIE MAE FNMA_06-5                                                | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    943121 | PA      | $9.43         | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 31402DB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9722 | PA      | $9911.62      | 0.00%             | 2034-06-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 31403N7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       818 | PA      | $842.23       | 0.00%             | 2033-12-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140AGZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9885102 | PA      | $10222591.06  | 0.73%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140BHHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13267253 | PA      | $13627394.77  | 0.97%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140F5QZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2471369 | PA      | $2327780.09   | 0.17%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140GWP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2233865 | PA      | $2095061.10   | 0.15%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140H1WH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2305553 | PA      | $2164558.27   | 0.15%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5513014 | PA      | $5475602.53   | 0.39%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140HLSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1952982 | PA      | $1886700.95   | 0.13%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140JAEQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    869760 | PA      | $857393.99    | 0.06%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140JB5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13592305 | PA      | $12671506.36  | 0.91%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140KGWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4981521 | PA      | $4508516.99   | 0.32%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20569455 | PA      | $16771557.82  | 1.20%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140L0PD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14359476 | PA      | $12288522.65  | 0.88%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140L3K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6924126 | PA      | $5683290.97   | 0.41%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140LPPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4891716 | PA      | $4554341.35   | 0.33%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140LTFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14858414 | PA      | $12653348.95  | 0.90%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13566555 | PA      | $11056274.75  | 0.79%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140MP6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9553949 | PA      | $8854286.16   | 0.63%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140Q7HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116134 | PA      | $1108561.04   | 0.08%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140Q8KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6998493 | PA      | $6763528.31   | 0.48%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140Q8V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4189839 | PA      | $3936653.35   | 0.28%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140QB4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5858775 | PA      | $5282464.81   | 0.38%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10588992 | PA      | $9571475.45   | 0.68%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140QNQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12531479 | PA      | $10267950.29  | 0.73%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140QNTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9736428 | PA      | $8624107.66   | 0.62%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140QSFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8889409 | PA      | $8947509.71   | 0.64%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140QVE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11609400 | PA      | $11971560.50  | 0.86%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140QVKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13897540 | PA      | $13994564.93  | 1.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140W0EA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11742626 | PA      | $9638309.02   | 0.69%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140X7W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15711427 | PA      | $14056071.88  | 1.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140X8LC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10183187 | PA      | $9167640.67   | 0.66%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140X8QL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5853325 | PA      | $5068092.83   | 0.36%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140XAVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14993891 | PA      | $12365109.91  | 0.88%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XAZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9018141 | PA      | $7743129.06   | 0.55%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XBPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2904421 | PA      | $2690660.13   | 0.19%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XCTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15764911 | PA      | $13488937.16  | 0.96%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7198499 | PA      | $6194951.05   | 0.44%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XGYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7981275 | PA      | $7611274.65   | 0.54%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15099507 | PA      | $14486185.01  | 1.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XN2F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11007305 | PA      | $9020814.40   | 0.64%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XNEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2632124 | PA      | $2667003.93   | 0.19%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XRSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20198168 | PA      | $18040668.49  | 1.29%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140XRUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12647869 | PA      | $12398843.61  | 0.89%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140XRWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18478087 | PA      | $18510908.86  | 1.32%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 3140XRYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23440525 | PA      | $19197895.10  | 1.37%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 3140Y7Q50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16491145 | PA      | $16450205.04  | 1.18%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183279 | PA      | $1193506.12   | 0.09%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                | FEDERAL NATIONAL MORTGAGE ASSOCIATION                               | CUSIP: 31417BFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    348240 | PA      | $344833.86    | 0.02%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 31417G2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3461501 | PA      | $3305871.27   | 0.24%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                           | Fannie Mae Pool                                                     | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1874027 | PA      | $1755965.46   | 0.13%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 31427PWW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12242364 | PA      | $12660190.50  | 0.91%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION               | FEDERAL HOME LOAN MORTGAGE CORPORATION                              | CUSIP: 3142GSWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14671451 | PA      | $15134159.44  | 1.08%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_19-2         | ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_19-2                        | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1170077.64   | 0.08%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                          | FIGRE Trust 2025-PF2                                                | CUSIP: 316918AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3222980 | PA      | $3204791.92   | 0.23%             | 2055-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GCAT                                                 | GCAT 2021-CM1 Trust                                                 | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456324 | PA      | $441401.03    | 0.03%             | 2065-04-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_22-NQM2                              | GCAT TRUST GCAT_22-NQM2                                             | CUSIP: 36169KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2361116 | PA      | $2271414.29   | 0.16%             | 2067-02-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                  | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3048109 | PA      | $3027017.72   | 0.22%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                          | CUSIP: 3617UVEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10376897 | PA      | $8827386.67   | 0.63%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                          | CUSIP: 3617VEBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6968891 | PA      | $5928265.16   | 0.42%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                  | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1326971 | PA      | $1361315.14   | 0.10%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2           | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                          | CUSIP: 3622ACH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7116430 | PA      | $6711882.92   | 0.48%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE                                           | GINNIE MAE                                                          | CUSIP: 3622ADRD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   9332613 | PA      | $8314808.20   | 0.59%             | 2055-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Ginnie Mae II Pool                                                  | CUSIP: 36241L6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1743801 | PA      | $1755502.71   | 0.13%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121                | CUSIP: 38375G5P2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    797547 | PA      | $106631.60    | 0.01%             | 2042-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                     | GOVERNMENT NATIONAL MORTGAGE ASS                                    | CUSIP: 38379E4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1144606 | PA      | $61047.88     | 0.00%             | 2039-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASS                                    | CUSIP: 38379EZ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1618496 | PA      | $199028.66    | 0.01%             | 2044-09-16      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21                 | CUSIP: 38380K4X0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2794900 | PA      | $426456.77    | 0.03%             | 2048-02-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170                | CUSIP: 38380KTP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2462947 | PA      | $320433.30    | 0.02%             | 2047-11-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19                 | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8449906 | PA      | $380293.94    | 0.03%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102                | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6364709 | PA      | $294903.70    | 0.02%             | 2060-03-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118                | CUSIP: 38380NMV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7679671 | PA      | $367562.88    | 0.03%             | 2061-06-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38380NPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12263737 | PA      | $695797.82    | 0.05%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134                | CUSIP: 38380NSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8082833 | PA      | $336364.66    | 0.02%             | 2061-08-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139                | CUSIP: 38380NTH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8750984 | PA      | $368073.39    | 0.03%             | 2061-11-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1                  | CUSIP: 38380UA94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1729090 | PA      | $237445.57    | 0.02%             | 2048-01-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40                 | CUSIP: 38380V6B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1489521 | PA      | $193050.86    | 0.01%             | 2048-03-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-36  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-36                 | CUSIP: 38380VU33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14399458 | PA      | $2078904.51   | 0.15%             | 2048-03-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63                 | CUSIP: 38380WWB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2119102 | PA      | $277879.18    | 0.02%             | 2048-04-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97                 | CUSIP: 38380XJ99<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2371162 | PA      | $293675.54    | 0.02%             | 2048-07-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94                 | CUSIP: 38380XSN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2884432 | PA      | $431941.33    | 0.03%             | 2048-05-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105                | CUSIP: 38380YRN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2194561 | PA      | $260204.47    | 0.02%             | 2048-08-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                          | GNMA_18-155                                                         | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3033530 | PA      | $335326.99    | 0.02%             | 2048-11-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139                | CUSIP: 38381ANK8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3646663 | PA      | $472429.56    | 0.03%             | 2048-10-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-22  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-22                 | CUSIP: 38381RDN6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8296516 | PA      | $996734.27    | 0.07%             | 2049-02-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23                 | CUSIP: 38381RWR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2817195 | PA      | $372399.91    | 0.03%             | 2049-02-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                           | GNMA_19-43                                                          | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4834584 | PA      | $534213.74    | 0.04%             | 2049-04-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52                 | CUSIP: 38381VBU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6745053 | PA      | $970409.44    | 0.07%             | 2049-04-16      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92                 | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12199055 | PA      | $1505304.86   | 0.11%             | 2049-07-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR_19-97   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR_19-97                  | CUSIP: 38381YHN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  28250754 | PA      | $3466251.75   | 0.25%             | 2049-08-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117                | CUSIP: 38381YRF3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6150571 | PA      | $765757.78    | 0.05%             | 2049-09-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3                  | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9355615 | PA      | $340567.76    | 0.02%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-77                 | CUSIP: 38382FAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6353228 | PA      | $601619.58    | 0.04%             | 2049-05-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79                 | CUSIP: 38382FB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5663315 | PA      | $723890.59    | 0.05%             | 2050-06-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104                | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5156357 | PA      | $645004.52    | 0.05%             | 2050-07-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125                | CUSIP: 38382HLX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6472727 | PA      | $891190.94    | 0.06%             | 2050-08-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138                | CUSIP: 38382J3D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5599825 | PA      | $950321.63    | 0.07%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138                | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13789195 | PA      | $2004048.47   | 0.14%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133                | CUSIP: 38382JK39<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11788714 | PA      | $1619264.73   | 0.12%             | 2050-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1                  | CUSIP: 38382MJ91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9054293 | PA      | $1331190.16   | 0.10%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191                | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8673775 | PA      | $1948023.26   | 0.14%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1                  | CUSIP: 38382MT74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10668928 | PA      | $1554670.85   | 0.11%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8                  | CUSIP: 38382MVH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10411444 | PA      | $1852590.56   | 0.13%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27                 | CUSIP: 38382NEY9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6037135 | PA      | $878834.17    | 0.06%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46                 | CUSIP: 38382P4J8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10535916 | PA      | $1357607.61   | 0.10%             | 2051-03-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67                 | CUSIP: 38382RT81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8627202 | PA      | $1452365.26   | 0.10%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122                | CUSIP: 38382WCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7037191 | PA      | $950804.76    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117                | CUSIP: 38382WDY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14212232 | PA      | $1884630.04   | 0.13%             | 2051-07-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38382WEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10482470 | PA      | $1408952.92   | 0.10%             | 2051-07-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146                | CUSIP: 38382WZT7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8770818 | PA      | $1646635.10   | 0.12%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158                | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7347461 | PA      | $1169720.92   | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159                | CUSIP: 38382XG74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5444394 | PA      | $847731.95    | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142                | CUSIP: 38382XTC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10085555 | PA      | $1384093.21   | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161                | CUSIP: 38383A6G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10874524 | PA      | $1546777.14   | 0.11%             | 2051-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38383BDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23503065 | PA      | $2469011.08   | 0.18%             | 2055-09-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38383D3X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10695428 | PA      | $1570922.02   | 0.11%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193                | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  61087174 | PA      | $120005.75    | 0.01%             | 2051-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190                | CUSIP: 38383LAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11803610 | PA      | $1020397.30   | 0.07%             | 2049-11-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128                | CUSIP: 38383T7W7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10506291 | PA      | $1067112.37   | 0.08%             | 2052-07-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126                | CUSIP: 38383TX32<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11019097 | PA      | $1237325.63   | 0.09%             | 2052-07-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38383URE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10019209 | PA      | $927702.62    | 0.07%             | 2052-08-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17                 | CUSIP: 38383VC89<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12356097 | PA      | $1377927.27   | 0.10%             | 2053-02-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38383VJ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12430506 | PA      | $1340572.87   | 0.10%             | 2050-05-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-24                 | CUSIP: 38383WCS3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  36068130 | PA      | $3557937.09   | 0.25%             | 2052-01-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47                 | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7535413 | PA      | $600698.22    | 0.04%             | 2053-03-20      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | Government National Mortgage Association                            | CUSIP: 38383YEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17093588 | PA      | $1762154.05   | 0.13%             | 2052-09-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-65  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-65                 | CUSIP: 38384AGV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  16273545 | PA      | $1512066.23   | 0.11%             | 2053-05-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100                | CUSIP: 38384B4H1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13582275 | PA      | $1351429.55   | 0.10%             | 2053-07-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100                | CUSIP: 38384B4K4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15270122 | PA      | $1890777.05   | 0.14%             | 2049-09-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81                 | CUSIP: 38384BAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6740034 | PA      | $458317.57    | 0.03%             | 2053-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115                | CUSIP: 38384CG29<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  16651956 | PA      | $922987.95    | 0.07%             | 2053-08-20      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113                | CUSIP: 38384CZJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17073315 | PA      | $1962941.22   | 0.14%             | 2049-09-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141                | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11028024 | PA      | $1281356.09   | 0.09%             | 2049-12-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140                | CUSIP: 38384EUC7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8746524 | PA      | $589366.14    | 0.04%             | 2053-09-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140                | CUSIP: 38384EUV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1084814 | PA      | $1106383.64   | 0.08%             | 2053-09-20      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30                 | CUSIP: 38384JTX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2684808 | PA      | $2713193.76   | 0.19%             | 2064-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64                 | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  16833142 | PA      | $874267.93    | 0.06%             | 2054-04-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80                 | CUSIP: 38384NMS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7943653 | PA      | $7360611.95   | 0.53%             | 2064-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80                 | CUSIP: 38384NMT9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5131052 | PA      | $4593207.80   | 0.33%             | 2064-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95                 | CUSIP: 38384P6F2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9180741 | PA      | $590227.99    | 0.04%             | 2054-06-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79                 | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8373225 | PA      | $1230447.98   | 0.09%             | 2054-05-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-126 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-126                | CUSIP: 38384UXN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  36907182 | PA      | $4324163.55   | 0.31%             | 2054-08-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-184 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-184                | CUSIP: 38384XH97<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  29011435 | PA      | $1798404.36   | 0.13%             | 2054-11-20      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-159 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-159                | CUSIP: 38384YAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  39105302 | PA      | $2858550.67   | 0.20%             | 2054-10-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197                | CUSIP: 38385BDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  20985997 | PA      | $1896928.43   | 0.14%             | 2054-12-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197 | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197                | CUSIP: 38385BEL0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  25147344 | PA      | $2791727.42   | 0.20%             | 2054-12-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39  | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39                 | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5905984 | PA      | $6066104.21   | 0.43%             | 2055-03-20      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                     | Hilton USA Trust 2016-SFP                                           | CUSIP: 43289VAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $25031.90     | 0.00%             | 2035-11-05      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                     | Hilton USA Trust 2016-SFP                                           | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $40216.40     | 0.00%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America 2021-2 Trust                               | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8635461 | PA      | $8460284.50   | 0.60%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust 2021-GS1                                | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2995695 | PA      | $2997934.29   | 0.21%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust 2024-2                                | CUSIP: 525920AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6327019 | PA      | $6368822.69   | 0.46%             | 2029-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1       | MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                      | CUSIP: 58550DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1535048.16   | 0.11%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust       | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC3            | CUSIP: 61779JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4666937 | PA      | $4663668.49   | 0.33%             | 2070-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| MPOWER Education Trust                               | MPOWER Education Trust 2024-A                                       | CUSIP: 62476DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1313215 | PA      | $1354783.43   | 0.10%             | 2041-07-22      | Fixed         | 6.78%                 | No            |                  2 | On Loan: No      |
| NRZT_14-1A                                           | NRZT_14-1A                                                          | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5871933 | PA      | $245042.81    | 0.02%             | 2054-01-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust 2025-NQM1                       | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |   4844510 | PA      | $4928827.91   | 0.35%             | 2065-01-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                             | OBX 2025-NQM2 Trust                                                 | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |   7704948 | PA      | $7786537.38   | 0.56%             | 2064-11-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                              | NYMT Loan Trust Series 2025-R1                                      | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1341610 | PA      | $1345190.30   | 0.10%             | 2030-02-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                | PRPM 2025-NQM4 Trust                                                | CUSIP: 69392VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3336037 | PA      | $3336783.21   | 0.24%             | 2070-07-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Grantor Trust 2024-11                                | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3953519 | PA      | $3971342.85   | 0.28%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Grantor Trust 2024-11                                | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1998422 | PA      | $2013339.83   | 0.14%             | 2032-07-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-5             | PAGAYA AI DEBT SELECTION TRUST PAID_24-5                            | CUSIP: 69544LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012731 | PA      | $1022532.92   | 0.07%             | 2031-10-15      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Grantor Trust 2025-1                                 | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4393664 | PA      | $4429701.93   | 0.32%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST PAID_25-7               | PAGAYA AI DEBT GRANTOR TRUST PAID_25-7                              | CUSIP: 69545RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5075000 | PA      | $5076396.13   | 0.36%             | 2033-05-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                       | Pagaya AI Debt Grantor Trust 2024-6 And Pagaya AI Debt Trust 2024-6 | CUSIP: 69548KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1340551 | PA      | $1354669.58   | 0.10%             | 2031-11-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| Pagaya Point of Sale Holdings Grantor Trust          | Pagaya Point Of Sale Holdings Grantor Trust 2025-2                  | CUSIP: 69549JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3260673.98   | 0.23%             | 2033-07-20      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential 2022-SFR1 Trust                                | CUSIP: 74333YAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   4941502 | PA      | $4717024.67   | 0.34%             | 2041-02-17      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                     | RCO X Mortgage LLC 2025-1                                           | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7724980 | PA      | $7727682.02   | 0.55%             | 2030-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                  | SG Residential Mortgage Trust 2019-3                                | CUSIP: 78432BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1997042 | PA      | $1972527.84   | 0.14%             | 2059-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                        | SFO Commercial Mortgage Trust 2021-555                              | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2350000 | PA      | $2342985.49   | 0.17%             | 2038-05-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                  | Sounds Point CLO IV-R LTD                                           | CUSIP: 83609YAE6<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5007400.00   | 0.36%             | 2031-04-18      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Splitero Trust 2025-1                                | Splitero Trust 2025-1                                               | CUSIP: 848948AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $4849048.82   | 0.35%             | 2055-12-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| STAR 2025-SFR6 Trust                                 | STAR 2025-SFR6 Trust                                                | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7023858.10   | 0.50%             | 2042-08-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                       | VCAT 2025 NPL2 LLC                                                  | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4185814 | PA      | $4243119.06   | 0.30%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                     | Vista Point Securitization Trust 2024-CES3                          | CUSIP: 92841WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5052019.50   | 0.36%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES2        | VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                       | CUSIP: 92842UAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3150000 | PA      | $3173460.89   | 0.23%             | 2055-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                             | CDS: (CMBX.NA.7.BBB-)                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |  -1002984 | OU      | $-110539.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                             | OTC (GENERIC) 1 YEAR                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        | 150000000 | NC      | $1886700.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                       | OTC (GENERIC) 1 YEAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  60000000 | NC      | $230682.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                       | OTC (GENERIC) 1 YEAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  20000000 | NC      | $233168.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                               | US 5YR NOTE MAR 26                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       441 | NC      | $-37991.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                              | THREE-MONTH SOFR FUTURE MAR 26                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      -713 | NC      | $-34617.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                               | US 2YR NOTE MAR 26                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       203 | NC      | $7565.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                               | US 10YR NOTE MAR 26                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -2351 | NC      | $1775840.83   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                               | US LONG BOND MAR 26                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -125 | NC      | $154464.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                               | US ULTRA T-BOND MAR 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        47 | NC      | $-92812.87    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-02

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

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager