# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009123
**Filing Date:** 2023-2
**Character Count:** 109505
**Document Hash:** ef6ca2dcad855fac00326dd34e22c5ce
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009123.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009123

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032
- **IRS NUMBER:** 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:** 23663096

**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:** 02110

  - **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:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $1195149892.64

**Total Liabilities:** $309534430.91

**Net Assets:** $885615461.73

**Delayed Delivery Securities:** $307378393.24

**Cash Not Reported:** $457464.66

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 177661.961700000000 | **1-Year:** 2.681400000000 | **5-Year:** 20432.591400000000 | **10-Year:** 58400.592500000000 | **30-Year:** 365274.415499999000

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

- **3-Month:** 16195.028300000000 | **1-Year:** 17722.264900000000 | **5-Year:** 8994.684100000000 | **10-Year:** 31124.791000000000 | **30-Year:** 11731.317300000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055688 | -2.33%               | 4.53%                | -0.80%               |
| Class ID C000088777 | -2.33%               | 4.53%                | -0.80%               |
| Class ID C000088778 | -2.34%               | 4.55%                | -0.80%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8539150.04             | $-10630685.51                              |
| Month 2  | $-3286686.32             | $38378281.82                               |
| Month 3  | $8823186.40              | $-18199018.08                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27        | GNMA_21-27                    | CUSIP: 38382NEY9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7572116 | PA      | $982015.58    | 0.11%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-46        | GNMA_21-46                    | CUSIP: 38382P4J8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14943142 | PA      | $1551364.10   | 0.18%             | 2051-03-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-67        | GNMA_21-67                    | CUSIP: 38382RT81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11885864 | PA      | $1813629.53   | 0.20%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122       | GNMA_21-122                   | CUSIP: 38382WCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9162850 | PA      | $1308460.51   | 0.15%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-146       | GNMA_21-146                   | CUSIP: 38382WZT7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11288252 | PA      | $1914052.92   | 0.22%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158       | GNMA_21-158                   | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9394338 | PA      | $1545374.18   | 0.17%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-159       | GNMA_21-159                   | CUSIP: 38382XG74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7239678 | PA      | $1073961.34   | 0.12%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142       | GNMA_21-142                   | CUSIP: 38382XTC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12773457 | PA      | $1854615.28   | 0.21%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161       | GNMA_21-161                   | CUSIP: 38383A6G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14254082 | PA      | $1713181.06   | 0.19%             | 2051-09-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-175       | GNMA_21-175                   | CUSIP: 38383CQ52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12324829 | PA      | $1941232.12   | 0.22%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-228       | GNMA_21-228                   | CUSIP: 38383D3X4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14442430 | PA      | $2107643.05   | 0.24%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193       | GNMA_21-193                   | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  79568856 | PA      | $407217.49    | 0.05%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                | HILT_16-SFP                   | CUSIP: 43289VAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $933255.40    | 0.11%             | 2035-11-05      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                | HILT_16-SFP                   | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1848496.60   | 0.21%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST HILT_16-HHV                               | HILT_16-HHV                   | CUSIP: 43300LAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $6307533.75   | 0.71%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| HOME RE 2022-1 LTD HMIR_22-1                               | HMIR_22-1                     | CUSIP: 43730GAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2600000 | PA      | $2589749.24   | 0.29%             | 2034-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST HPA_21-2                    | HPA_21-2                      | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8750065 | PA      | $7474614.19   | 0.84%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BVRT FINANCING TRUST BVRT_21-CRT1                          | BVRT_21-CRT1                  | CUSIP: 512366AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2393608 | PA      | $2287930.29   | 0.26%             | 2033-01-10      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1                    | LMAT_21-GS1                   | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4001077 | PA      | $3648724.92   | 0.41%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| LOAN REVOLVING ADVANCE INVESTMENT TRUST LRAIT_21-2         | LRAIT_21-2                    | CUSIP: 53958V102<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    725460 | PA      | $725460.00    | 0.08%             | 2023-06-30      | Variable      | 7.04%                 | No            |                  3 | On Loan: No      |
| MADISON PARK FUNDING LTD MDPK_15                           | MDPK_15-18A                   | CUSIP: 55819BBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8000000 | PA      | $7506104.00   | 0.85%             | 2030-10-21      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD                 | MSC_19-MEAD                   | CUSIP: 61771LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2917500 | PA      | $2523015.49   | 0.28%             | 2036-11-10      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| NRZT_14-1A                                                 | NRZT_14-1A                    | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9506651 | PA      | $469975.56    | 0.05%             | 2054-01-25      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD OZLMF_13-4A                               | OZLMF_13-4A                   | CUSIP: 67108HAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1675508.01   | 0.19%             | 2030-10-22      | Variable      | 11.57%                | No            |                  2 | On Loan: No      |
| OZLM LTD OZLM_15-11A                                       | OZLM_15-11A                   | CUSIP: 67109UAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2891025.00   | 0.33%             | 2030-10-30      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT1                       | PNMSR_18-GT1                  | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11500000 | PA      | $11239404.25  | 1.27%             | 2023-02-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST PNMSR_18-GT2                       | PNMSR_18-GT2                  | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | PA      | $10305925.35  | 1.16%             | 2025-08-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_22-NPL1                                      | PRET_22-NPL1                  | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2446589 | PA      | $2184796.63   | 0.25%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                   | PAID_21-5                     | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2251392 | PA      | $2171348.89   | 0.25%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD PSTAT_21-4                  | PSTAT_21-4A                   | CUSIP: 69702HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4940964.00   | 0.56%             | 2029-10-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR1                    | PROG_20-SFR1                  | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3627492.80   | 0.41%             | 2037-04-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL TRUST PROG_20-SFR3                    | PROG_20-SFR3                  | CUSIP: 74333AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2647072.20   | 0.30%             | 2027-10-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR1             | PROG_22-SFR1                  | CUSIP: 74333YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4990490 | PA      | $4179509.92   | 0.47%             | 2041-02-17      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| REDDING RIDGE ASSET MANAGEMENT RRAM_18-3A                  | RRAM_18-3A                    | CUSIP: 74988LAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3638850.00   | 0.41%             | 2030-01-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| RADNOR RE LTD RMIR_20-1                                    | RMIR_20-1                     | CUSIP: 750493AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3750000 | PA      | $3630544.50   | 0.41%             | 2030-01-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| RMIR_19-2                                                  | RMIR_19-2                     | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    323211 | PA      | $322863.58    | 0.04%             | 2029-06-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST SGR_19-3                     | SGR_19-3                      | CUSIP: 78432BAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $1940933.72   | 0.22%             | 2059-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| SFO COMMERICAL MORTGAGE TRUST SFO-21-555                   | SFO_21-555                    | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4581762.50   | 0.52%             | 2038-05-15      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO LTD SNDPT_13-3RA                           | SNDPT_13-3RA                  | CUSIP: 83609YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5000000 | PA      | $4704195.00   | 0.53%             | 2031-04-18      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1                | STWH_21-NPB1                  | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1870185 | PA      | $1627812.59   | 0.18%             | 2026-10-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST UBSCM_18-NYCH                | UBSCM_18-NYCH                 | CUSIP: 90266HAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2396418.75   | 0.27%             | 2032-02-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST2                    | UPSPT_21-ST2                  | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    728626 | PA      | $681196.49    | 0.08%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL1                                          | VCAT_21-NPL1                  | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2976222 | PA      | $2805749.90   | 0.32%             | 2050-12-26      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP          | WFCM_17-SMP                   | CUSIP: 95001CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2715823.20   | 0.31%             | 2034-12-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.7.BBB-)         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -2500000 | OU      | $-535156.25   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -2500000 | OU      | $-432422.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | CDS: (CMBX.NA.10.BBB-)        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |  -5000000 | OU      | $-864844.00   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |  70000000 | OU      | $168959.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                             | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        | -36300000 | OU      | $-91853.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                       | OTC (GENERIC) 1 YEAR          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  41020000 | OU      | $1434854.99   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                   | US 5YR NOTE MAR 23            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       260 | NC      | $3529.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US 2YR NOTE MAR 23            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |         5 | NC      | $1289.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US 10YR NOTE MAR 23           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -758 | NC      | $706107.25    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US LONG BOND MAR 23           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-213.90      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                   | US ULTRA T-BOND MAR 23        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |        91 | NC      | $-283405.03   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)         | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $45415136.00  | 5.13%             | 2053-01-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)         | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  31000000 | PA      | $29067458.14  | 3.28%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)         | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33000000 | PA      | $31754457.57  | 3.59%             | 2053-01-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                       | UMBS  30YR TBA(REG A)         | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  54000000 | PA      | $53201956.14  | 6.01%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERMT_93-3                                                | AMERMT_93-3                   | CUSIP: 0275879A4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        10 | PA      | $5.98         | 0.00%             | 2023-07-27      | Variable      | 8.19%                 | No            |                  3 | On Loan: No      |
| APIDOS CLO APID_17-28A                                     | APID_17-28A                   | CUSIP: 03767CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4125000 | PA      | $3897700.13   | 0.44%             | 2031-01-20      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_18-DSNY | BAMLL_18-DSNY                 | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3924346.40   | 0.44%             | 2034-09-15      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_22-1                                | BMIR_22-1                     | CUSIP: 078774AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   4550000 | PA      | $4520258.93   | 0.51%             | 2032-01-26      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT BMIR_18-3                                 | BMIR_18-3A                    | CUSIP: 07877TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    709319 | PA      | $708751.78    | 0.08%             | 2028-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME                 | BHR_18-PRME                   | CUSIP: 10482TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3351739.30   | 0.38%             | 2035-06-15      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_22-2                            | CHNGE_22-2                    | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3923333 | PA      | $3688781.50   | 0.42%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-NQM1                  | CSMC_21-NQM1                  | CUSIP: 126407AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1240044 | PA      | $1040794.77   | 0.12%             | 2065-05-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                | CSMC_14-USA                   | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $2328069.66   | 0.26%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| CGMS_13-3A                                                 | CGMS_13-3A                    | CUSIP: 14310GAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2750000 | PA      | $2547116.00   | 0.29%             | 2030-10-15      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                           | CGMS_13-4A                    | CUSIP: 14310KAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   6500000 | PA      | $6210386.00   | 0.70%             | 2031-01-15      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                 | CHNGE_22-1                    | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3702526 | PA      | $3377943.68   | 0.38%             | 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        |    922904 | PA      | $888196.06    | 0.10%             | 2035-01-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                           | CMLTI_15-RP2                  | CUSIP: 17323TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2122693 | PA      | $1997074.08   | 0.23%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                              | COLUMBIA SHORT TERM CASH FUND | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  36695701 | NS      | $36684692.05  | 4.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01             | CAS_22-R01                    | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5500000 | PA      | $5228131.70   | 0.59%             | 2041-12-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR TBA(REG C)         | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $15133089.92  | 1.71%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR TBA(REG C)         | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40000000 | PA      | $37843897.60  | 4.27%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR TBA(REG C)         | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40000000 | PA      | $38796501.60  | 4.38%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR TBA(REG C)         | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19000000 | PA      | $19106240.40  | 2.16%             | 2053-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRESB MULTIFAMILY MORTGAGE PASS-THROUGH FRESB_18-SB45      | FRESB_18-SB45                 | CUSIP: 30308AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3803046 | PA      | $3611918.94   | 0.41%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 5/1 HYBRID ARM          | CUSIP: 3128LUVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     54686 | PA      | $55043.11     | 0.01%             | 2037-09-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FGOLD 30YR GIANT              | CUSIP: 3128M7N77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1308532 | PA      | $1335154.04   | 0.15%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FGOLD 30YR GIANT              | CUSIP: 3128M82S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3134243 | PA      | $3013793.94   | 0.34%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FGOLD 30YR GIANT              | CUSIP: 3128M9LT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9694318 | PA      | $9090719.95   | 1.03%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FGOLD 15YR                    | CUSIP: 3128PL3H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1497 | PA      | $1506.78      | 0.00%             | 2023-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 5/1 HYBRID ARM          | CUSIP: 3128QS3F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36497 | PA      | $36555.25     | 0.00%             | 2037-01-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_264                                 | FHLMC_264                     | CUSIP: 31325TL98<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3500068 | PA      | $324052.76    | 0.04%             | 2042-07-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_266                                      | FHLMC_266                     | CUSIP: 31325TMP1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2135642 | PA      | $356200.75    | 0.04%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_267                                      | FHLMC_267                     | CUSIP: 31325TN47<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1654868 | PA      | $275400.24    | 0.03%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPO                           | FHLMC_309                     | CUSIP: 31325USF4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2063239 | PA      | $194614.01    | 0.02%             | 2043-08-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                      | FHLMC_318                     | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7388504 | PA      | $736183.85    | 0.08%             | 2043-11-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                      | FHLMC_326                     | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    848257 | PA      | $81491.97     | 0.01%             | 2044-03-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS MIRROR        | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6322459 | PA      | $6058265.91   | 0.68%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 15YR UMBS SUPER         | CUSIP: 3132D6NT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16794500 | PA      | $14980773.68  | 1.69%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13595667 | PA      | $11542125.27  | 1.30%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DMES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17719328 | PA      | $15847916.26  | 1.79%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8406014 | PA      | $7156753.72   | 0.81%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3948198 | PA      | $3482598.70   | 0.39%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11779491 | PA      | $10116201.61  | 1.14%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS SUPER         | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14601300 | PA      | $12980380.26  | 1.47%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132GFYE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    970987 | PA      | $963653.60    | 0.11%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132GRSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3859976 | PA      | $3711029.44   | 0.42%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132GVBR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1499651 | PA      | $1440844.73   | 0.16%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR  LTV >125     | CUSIP: 3132H3F73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5412735 | PA      | $5060120.12   | 0.57%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132HPRZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6991696 | PA      | $6365300.67   | 0.72%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132J6PZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4469453 | PA      | $4188321.21   | 0.47%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR CASH ISSUANCE | CUSIP: 3132L6SJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4519011 | PA      | $4217035.50   | 0.48%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2657729 | PA      | $2548535.74   | 0.29%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132M9BR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1133770 | PA      | $1087190.30   | 0.12%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132QWH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2403368 | PA      | $2304633.04   | 0.26%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132WMK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2528063 | PA      | $2346798.72   | 0.26%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132XTA81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2905020 | PA      | $2855206.92   | 0.32%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PAS                           | FHLMC_K063                    | CUSIP: 3137BVZ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4362000 | PA      | $4186721.75   | 0.47%             | 2027-01-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_4965                              | FHLMC_4965                    | CUSIP: 3137FRWS6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3238716 | PA      | $307013.09    | 0.03%             | 2050-04-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4983          | FHLMC_4983                    | CUSIP: 3137FTHL4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8847306 | PA      | $969097.61    | 0.11%             | 2050-05-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987          | FHLMC_4987                    | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6680933 | PA      | $918267.46    | 0.10%             | 2050-06-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                     | FHLMC_4993                    | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8056538 | PA      | $1145669.48   | 0.13%             | 2050-07-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5104          | FHLMC_5104                    | CUSIP: 3137FYZH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3306526 | PA      | $2777486.79   | 0.31%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105          | FHLMC_5105                    | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10400654 | PA      | $1977578.30   | 0.22%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138APD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    773908 | PA      | $744611.96    | 0.08%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138APD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    517155 | PA      | $496904.97    | 0.06%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138APDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1211587 | PA      | $1165680.99   | 0.13%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138APDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1707537 | PA      | $1597267.11   | 0.18%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138APEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2893751 | PA      | $2754549.38   | 0.31%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138EBRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1425964 | PA      | $1390359.04   | 0.16%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138EJB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1811776 | PA      | $1742778.97   | 0.20%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138EKRC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7924197 | PA      | $7418148.42   | 0.84%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138M4K84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    336859 | PA      | $324108.05    | 0.04%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138MFSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8080848 | PA      | $7352898.42   | 0.83%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138MGWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1301918 | PA      | $1217135.82   | 0.14%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3138W2WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2412851 | PA      | $2288615.75   | 0.26%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138WACJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3225722 | PA      | $3108248.14   | 0.35%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138WDN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5189162 | PA      | $4834405.17   | 0.55%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138XUSP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6576065 | PA      | $6298925.21   | 0.71%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3138YY6Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2175568 | PA      | $2083863.76   | 0.24%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 6M LIBOR ARM             | CUSIP: 31391MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9111 | PA      | $8903.84      | 0.00%             | 2033-02-01      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_03-W11                                     | FNMA_03-W11                   | CUSIP: 31393C6U2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       601 | PA      | $602.60       | 0.00%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                       | FNMA_06-5                     | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1838668 | PA      | $18.39        | 0.00%             | 2034-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 1YR CMT ARM              | CUSIP: 31402DB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13492 | PA      | $13257.95     | 0.00%             | 2034-06-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 10/1 HYBRID ARM          | CUSIP: 31403N7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1035 | PA      | $1030.29      | 0.00%             | 2033-12-01      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140F5QZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3639957 | PA      | $3380155.27   | 0.38%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140GWP80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2932348 | PA      | $2718478.32   | 0.31%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140H1WH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3081033 | PA      | $2854087.80   | 0.32%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140HLSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2652138 | PA      | $2528798.64   | 0.29%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 3140JAEQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2396485 | PA      | $2301691.98   | 0.26%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 3140KGWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6888286 | PA      | $6194076.06   | 0.70%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25207669 | PA      | $20594927.71  | 2.33%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 3140L3K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8604042 | PA      | $7023785.59   | 0.79%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR UMBS                | CUSIP: 3140LPPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7854858 | PA      | $7006967.67   | 0.79%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 3140LTFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17919705 | PA      | $15212642.01  | 1.72%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 20YR UMBS                | CUSIP: 3140LYQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9898611 | PA      | $8607229.36   | 0.97%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140Q7HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1526524 | PA      | $1498799.04   | 0.17%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140Q8KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9425354 | PA      | $8998744.09   | 1.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 3140Q8V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5460997 | PA      | $5068839.11   | 0.57%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 3140QB4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7707531 | PA      | $6841650.53   | 0.77%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13682480 | PA      | $12184957.75  | 1.38%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140X4DQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8014893 | PA      | $7426188.54   | 0.84%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR UMBS SUPER          | CUSIP: 3140X5AK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7640529 | PA      | $7348250.43   | 0.83%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140X7W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20478428 | PA      | $18100342.66  | 2.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140X8LC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13288161 | PA      | $11871761.90  | 1.34%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140X8QL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7770647 | PA      | $6698054.29   | 0.76%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140XAVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18932949 | PA      | $15556700.55  | 1.76%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140XAZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12451479 | PA      | $10778698.05  | 1.22%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR UMBS SUPER          | CUSIP: 3140XBPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4626670 | PA      | $4126741.38   | 0.47%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140XCTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20504910 | PA      | $17430759.25  | 1.97%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9290790 | PA      | $7910960.92   | 0.89%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR UMBS SUPER          | CUSIP: 3140XGYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12141466 | PA      | $11135952.79  | 1.26%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS SUPER          | CUSIP: 3140XHWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19639362 | PA      | $18582928.07  | 2.10%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA  15YR                    | CUSIP: 31410KXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48173 | PA      | $47978.94     | 0.01%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA  15YR                    | CUSIP: 31412TJF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22984 | PA      | $22866.06     | 0.00%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1816255 | PA      | $1797934.54   | 0.20%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 31417BFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2499893 | PA      | $2395989.31   | 0.27%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 31417FBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3299894 | PA      | $3375036.59   | 0.38%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 31417G2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4957306 | PA      | $4643178.25   | 0.52%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR                     | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2462704 | PA      | $2277389.89   | 0.26%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 30YR UMBS                | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14687780 | PA      | $11990201.22  | 1.35%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_19-2               | EFMT_19-2                     | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $987762.72    | 0.11%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_22-DNA2                | STACR_22-DNA2                 | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3402579.60   | 0.38%             | 2042-02-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM1                                       | GCAT_21-CM1                   | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    997741 | PA      | $935593.47    | 0.11%             | 2065-04-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_22-NQM2                                    | GCAT_22-NQM2                  | CUSIP: 36169KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3302379 | PA      | $2911301.85   | 0.33%             | 2067-02-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR                    | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4275792 | PA      | $4208063.49   | 0.48%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR                    | CUSIP: 3617UVEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14310034 | PA      | $11976457.26  | 1.35%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR                    | CUSIP: 3617VEBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9167689 | PA      | $7671969.70   | 0.87%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR                    | CUSIP: 36202FJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1805115 | PA      | $1835870.67   | 0.21%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                 | GNMA2 30YR PLATINUM           | CUSIP: 36241L6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2411917 | PA      | $2407199.15   | 0.27%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-121       | GNMA_12-121                   | CUSIP: 38375G5P2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1730008 | PA      | $267791.16    | 0.03%             | 2042-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_12-129       | GNMA_12-129                   | CUSIP: 38378GHQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    437663 | PA      | $5161.84      | 0.00%             | 2037-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                           | GNMA_14-131                   | CUSIP: 38379E4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2303204 | PA      | $215234.23    | 0.02%             | 2039-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                           | GNMA_14-131                   | CUSIP: 38379EZ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2038543 | PA      | $247540.11    | 0.03%             | 2044-09-16      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-21        | GNMA_18-21                    | CUSIP: 38380K4X0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3838992 | PA      | $426986.92    | 0.05%             | 2048-02-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_17-170       | GNMA_17-170                   | CUSIP: 38380KTP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3428634 | PA      | $317440.74    | 0.04%             | 2047-11-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19        | GNMA_20-19                    | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9521950 | PA      | $509488.14    | 0.06%             | 2061-12-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102       | GNMA_19-102                   | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6738756 | PA      | $391169.94    | 0.04%             | 2060-03-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-109       | GNMA_19-109                   | CUSIP: 38380NMG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12241124 | PA      | $695970.32    | 0.08%             | 2060-04-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-118       | GNMA_19-118                   | CUSIP: 38380NMV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9725865 | PA      | $480183.45    | 0.05%             | 2061-06-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131       | GNMA_19-131                   | CUSIP: 38380NPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12994538 | PA      | $724750.84    | 0.08%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-134       | GNMA_19-134                   | CUSIP: 38380NSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8720544 | PA      | $391820.15    | 0.04%             | 2061-08-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-139       | GNMA_19-139                   | CUSIP: 38380NTH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10198464 | PA      | $465618.02    | 0.05%             | 2061-11-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-1         | GNMA_18-1                     | CUSIP: 38380UA94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2371006 | PA      | $225977.07    | 0.03%             | 2048-01-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-40        | GNMA_18-40                    | CUSIP: 38380V6B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2096633 | PA      | $181981.01    | 0.02%             | 2048-03-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-63        | GNMA_18-63                    | CUSIP: 38380WWB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2924256 | PA      | $259930.36    | 0.03%             | 2048-04-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-97        | GNMA_18-97                    | CUSIP: 38380XJ99<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3359929 | PA      | $286194.74    | 0.03%             | 2048-07-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-94        | GNMA_18-94                    | CUSIP: 38380XSN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3915323 | PA      | $435879.63    | 0.05%             | 2048-05-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-105       | GNMA_18-105                   | CUSIP: 38380YRN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3032607 | PA      | $247826.73    | 0.03%             | 2048-08-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                | GNMA_18-155                   | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4296683 | PA      | $417560.72    | 0.05%             | 2048-11-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-147       | GNMA_18-147                   | CUSIP: 38381AHF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6295385 | PA      | $582925.55    | 0.07%             | 2048-10-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-139       | GNMA_18-139                   | CUSIP: 38381ANK8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5053707 | PA      | $443714.42    | 0.05%             | 2048-10-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23        | GNMA_19-23                    | CUSIP: 38381RWR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3474551 | PA      | $450109.63    | 0.05%             | 2049-02-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                 | GNMA_19-43                    | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6940519 | PA      | $676713.12    | 0.08%             | 2049-04-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-52        | GNMA_19-52                    | CUSIP: 38381VBU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8229551 | PA      | $1396920.17   | 0.16%             | 2049-04-16      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92        | GNMA_19-92                    | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17180964 | PA      | $1882018.31   | 0.21%             | 2049-07-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-117       | GNMA_19-117                   | CUSIP: 38381YRF3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8863141 | PA      | $940447.51    | 0.11%             | 2049-09-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3         | GNMA_20-3                     | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9988723 | PA      | $477299.14    | 0.05%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104       | GNMA_20-104                   | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7301779 | PA      | $809318.24    | 0.09%             | 2050-07-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104       | GNMA_20-104                   | CUSIP: 38382HGX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10297638 | PA      | $1533145.30   | 0.17%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125       | GNMA_20-125                   | CUSIP: 38382HLX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8749319 | PA      | $975187.75    | 0.11%             | 2050-08-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138       | GNMA_20-138                   | CUSIP: 38382J3D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6630103 | PA      | $977667.07    | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138       | GNMA_20-138                   | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17772290 | PA      | $2368598.42   | 0.27%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133       | GNMA_20-133                   | CUSIP: 38382JK39<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15549809 | PA      | $1875434.48   | 0.21%             | 2050-09-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-142       | GNMA_20-142                   | CUSIP: 38382JPZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4122966 | PA      | $583597.60    | 0.07%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-144       | GNMA_20-144                   | CUSIP: 38382JTZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7725982 | PA      | $964384.14    | 0.11%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175       | GNMA_20-175                   | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12701017 | PA      | $1780715.66   | 0.20%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1         | GNMA_21-1                     | CUSIP: 38382MJ91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11671271 | PA      | $1538117.09   | 0.17%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191       | GNMA_20-191                   | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11514649 | PA      | $1821755.60   | 0.21%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1         | GNMA_21-1                     | CUSIP: 38382MT74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13440054 | PA      | $1835853.56   | 0.21%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8         | GNMA_21-8                     | CUSIP: 38382MVH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11916202 | PA      | $1862583.41   | 0.21%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8         | GNMA_21-8                     | CUSIP: 38382MZP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  21510086 | PA      | $3365212.02   | 0.38%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR               | CUSIP: 3132Y0TM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2055272 | PA      | $2015828.54   | 0.23%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR GIANT         | CUSIP: 31335AH43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5373245 | PA      | $5004127.83   | 0.57%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                           | FHLMC GOLD 30YR GIANT         | CUSIP: 31335ATX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4330630 | PA      | $4163608.74   | 0.47%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS               | CUSIP: 3133A13X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13505957 | PA      | $11975074.70  | 1.35%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS               | CUSIP: 3133B2HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14757618 | PA      | $12991593.85  | 1.47%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS               | CUSIP: 3133KMEM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20099531 | PA      | $16504757.57  | 1.86%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                     | FHLMC 30YR UMBS               | CUSIP: 3133KNWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9508287 | PA      | $8106209.49   | 0.92%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-40                                      | FNMA_12-40                    | CUSIP: 3136A5BC9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2654042 | PA      | $180242.12    | 0.02%             | 2040-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-99                                      | FNMA_12-99                    | CUSIP: 3136A8WP1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4502811 | PA      | $664988.23    | 0.08%             | 2042-09-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                                     | FNMA_12-129                   | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    968438 | PA      | $47175.34     | 0.01%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-134                                     | FNMA_12-134                   | CUSIP: 3136AAPZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    419319 | PA      | $7168.25      | 0.00%             | 2040-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-133                                     | FNMA_12-133                   | CUSIP: 3136AAXT7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    227394 | PA      | $4711.45      | 0.00%             | 2031-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-144                                     | FNMA_12-144                   | CUSIP: 3136ABJV6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1104775 | PA      | $118158.52    | 0.01%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-6                                       | FNMA_13-6                     | CUSIP: 3136ABP72<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     12077 | PA      | $1.01         | 0.00%             | 2040-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-1                                       | FNMA_13-1                     | CUSIP: 3136ABYL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1012727 | PA      | $141336.14    | 0.02%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-10                                      | FNMA_13-10                    | CUSIP: 3136ACBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3823147 | PA      | $258994.89    | 0.03%             | 2041-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-16                                      | FNMA_13-16                    | CUSIP: 3136ACRR4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    854024 | PA      | $28791.89     | 0.00%             | 2040-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_14-93                                      | FNMA_14-93                    | CUSIP: 3136AMDR7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2495253 | PA      | $282037.47    | 0.03%             | 2045-01-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                      | FNMA_16-42                    | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8853910 | PA      | $1037618.87   | 0.12%             | 2046-07-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                      | FNMA_16-37                    | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3474144 | PA      | $401726.71    | 0.05%             | 2046-06-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                       | FNMA_17-3                     | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5966768 | PA      | $643240.87    | 0.07%             | 2047-02-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-T1                                      | FNMA_17-T1                    | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3975775 | PA      | $3720900.10   | 0.42%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                      | FNMA_17-51                    | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6749637 | PA      | $754527.70    | 0.09%             | 2047-07-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                      | FNMA_17-72                    | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14711452 | PA      | $570591.03    | 0.06%             | 2047-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                      | FNMA_17-72                    | CUSIP: 3136AXV44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2628705 | PA      | $2372193.52   | 0.27%             | 2047-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_17-M15                                | FNMA_17-M15                   | CUSIP: 3136AY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5997465 | PA      | $5684029.46   | 0.64%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                      | FNMA_17-90                    | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3532387 | PA      | $381462.09    | 0.04%             | 2047-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-7                                       | FNMA_18-7                     | CUSIP: 3136B0YQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10965665 | PA      | $9879925.65   | 1.12%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_18-M7                                  | FNMA_18-M7                    | CUSIP: 3136B1K86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23064452 | PA      | $21546711.92  | 2.43%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                      | FNMA_19-33                    | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10386554 | PA      | $1105804.45   | 0.12%             | 2049-07-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-34                                      | FNMA_19-34                    | CUSIP: 3136B5LE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8816841 | PA      | $1197555.35   | 0.14%             | 2049-07-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                      | FNMA_20-40                    | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9403719 | PA      | $1347369.54   | 0.15%             | 2050-06-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                                 | FNMA_20-55                    | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11153997 | PA      | $1760567.03   | 0.20%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_21-3                                       | FNMA_21-3                     | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  22084639 | PA      | $3605527.10   | 0.41%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-13           | FNMA_21-13                    | CUSIP: 3136BFNK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7235514 | PA      | $1329116.80   | 0.15%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-54           | FNMA_21-54                    | CUSIP: 3136BGJP7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11302441 | PA      | $1525741.37   | 0.17%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                      | FNMA 15YR                     | CUSIP: 31371NZ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11385 | PA      | $11331.35     | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                                     | FHLMC_4068                    | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1714327 | PA      | $89286.60     | 0.01%             | 2036-09-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4122                                     | FHLMC_4122                    | CUSIP: 3137AUZB8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     77404 | PA      | $495.94       | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4148                                     | FHLMC_4148                    | CUSIP: 3137AWQZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      7299 | PA      | $5.36         | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                                     | FHLMC_4139                    | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1178625 | PA      | $113325.49    | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4147                                     | FHLMC_4147                    | CUSIP: 3137AXDF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1352833 | PA      | $66004.71     | 0.01%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4177                                     | FHLMC_4177                    | CUSIP: 3137B16F4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4157500 | PA      | $683571.62    | 0.08%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR_4286                                                   | FHLMC_4286                    | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2405564 | PA      | $296279.41    | 0.03%             | 2043-12-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                                     | FHLMC_4594                    | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5636349 | PA      | $634968.57    | 0.07%             | 2046-06-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4633                                     | FHLMC_4633                    | CUSIP: 3137BT4M0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3935806 | PA      | $3476104.61   | 0.39%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-25

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer