# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001413032-25-000095
**Filing Date:** 2025-8
**Character Count:** 138967
**Document Hash:** 5e71fa8bc54ba9e8330cbded88016d7c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001413032-25-000095.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0001413032-25-000095

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 251244756

**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:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $1881983609.34

**Total Liabilities:** $508935644.94

**Net Assets:** $1373047964.40

**Delayed Delivery Securities:** $507375318.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 316511.196800000000 | **1-Year:** 6189.568500000000 | **5-Year:** 160.715700000000 | **10-Year:** 48197.299000000000 | **30-Year:** 514886.813500000000

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

- **3-Month:** -19437.929200000000 | **1-Year:** -16190.097300000000 | **5-Year:** 22546.452200000000 | **10-Year:** 9460.183900000000 | **30-Year:** 33720.211700000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055688 | 0.77%                | -1.42%               | 2.00%                |
| Class ID C000088777 | 0.77%                | -1.31%               | 1.88%                |
| Class ID C000088778 | 0.77%                | -1.43%               | 2.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5516919.79             | $13407256.96                               |
| Month 2  | $-1217879.23             | $-26906369.37                              |
| Month 3  | $-551364.04              | $27720166.34                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FREDDIE MAC GOLD                                            | FHLMC GOLD 30YR                | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2308341 | PA      | $2197928.36   | 0.16%             | 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        |    969079 | PA      | $913851.97    | 0.07%             | 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        |   1828532 | PA      | $1737109.82   | 0.13%             | 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        |   2130778 | PA      | $1965631.84   | 0.14%             | 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        |   2074518 | PA      | $2023351.84   | 0.15%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FHLMC GOLD 30YR                | CUSIP: 3132Y0TM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1309617 | PA      | $1274480.78   | 0.09%             | 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        |   4382632 | PA      | $4076453.61   | 0.30%             | 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        |   3202351 | PA      | $3092793.73   | 0.23%             | 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        |  10299603 | PA      | $9046672.65   | 0.66%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS                | CUSIP: 3133B66L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8219327 | PA      | $6517228.89   | 0.47%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS                | CUSIP: 3133BAFC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4952537 | PA      | $4334085.47   | 0.32%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS                | CUSIP: 3133BE5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5379510 | PA      | $5015413.64   | 0.37%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS                | CUSIP: 3133KM4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13883164 | PA      | $12133450.51  | 0.88%             | 2051-11-01      | 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        |  16707572 | PA      | $13393832.62  | 0.98%             | 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        |   8043711 | PA      | $6738873.96   | 0.49%             | 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        |    900198 | PA      | $29734.00     | 0.00%             | 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        |   3018540 | PA      | $446119.44    | 0.03%             | 2042-09-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                                      | FNMA_12-129                    | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    262886 | PA      | $4310.43      | 0.00%             | 2041-01-25      | 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        |    603625 | PA      | $48026.90     | 0.00%             | 2042-07-25      | Fixed         | 3.50%                 | 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        |   8834736 | PA      | $379508.44    | 0.03%             | 2061-11-16      | Variable      | 0.67%                 | 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        |   1818365 | PA      | $235414.57    | 0.02%             | 2048-01-20      | Variable      | 1.77%                 | 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        |   1569546 | PA      | $190714.79    | 0.01%             | 2048-03-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_18-36         | GNMA_18-36                     | CUSIP: 38380VU33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15140586 | PA      | $2093628.17   | 0.15%             | 2048-03-20      | Variable      | 1.77%                 | 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        |   2247071 | PA      | $274212.09    | 0.02%             | 2048-04-20      | Variable      | 1.77%                 | 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        |   2579391 | PA      | $289297.77    | 0.02%             | 2048-07-20      | Variable      | 1.77%                 | 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        |   3028283 | PA      | $431412.82    | 0.03%             | 2048-05-20      | Variable      | 1.77%                 | 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        |   2270432 | PA      | $256304.49    | 0.02%             | 2048-08-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                 | GNMA_18-155                    | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3201112 | PA      | $368583.43    | 0.03%             | 2048-11-20      | Variable      | 1.72%                 | 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        |   3796494 | PA      | $465639.56    | 0.03%             | 2048-10-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-22         | GNMA_19-22                     | CUSIP: 38381RDN6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8884074 | PA      | $1090737.76   | 0.08%             | 2049-02-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-95         | GNMA_24-95                     | CUSIP: 38384P6F2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9579466 | PA      | $743491.12    | 0.05%             | 2054-06-20      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79         | GNMA_24-79                     | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8623760 | PA      | $1307498.27   | 0.10%             | 2054-05-20      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-126        | GNMA_24-126                    | CUSIP: 38384UXN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  37986193 | PA      | $4837044.07   | 0.35%             | 2054-08-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-184        | GNMA_24-184                    | CUSIP: 38384XH97<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  29810224 | PA      | $2202409.17   | 0.16%             | 2054-11-20      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | THREE-MONTH SOFR FUTURE MAR 26 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -713 | NC      | $-239605.43   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | THREE-MONTH SOFR FUTURE SEP 25 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       717 | NC      | $79884.55     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | US 2YR NOTE SEP 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       262 | NC      | $218546.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | US 10YR NOTE SEP 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     -2747 | NC      | $-7173859.17  | -0.52%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | US LONG BOND SEP 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -135 | NC      | $-709356.28   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | US ULTRA T-BOND SEP 25         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       -27 | NC      | $-166886.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193        | GNMA_21-193                    | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  64223360 | PA      | $247792.99    | 0.02%             | 2051-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-190        | GNMA_22-190                    | CUSIP: 38383LAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12562901 | PA      | $1074929.56   | 0.08%             | 2049-11-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-128        | GNMA_22-128                    | CUSIP: 38383T7W7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10918503 | PA      | $1141217.22   | 0.08%             | 2052-07-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-126        | GNMA_22-126                    | CUSIP: 38383TX32<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11752506 | PA      | $1328547.96   | 0.10%             | 2052-07-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5345           | FHLMC_5345                     | CUSIP: 3137HAQZ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17207674 | PA      | $1885625.50   | 0.14%             | 2048-01-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_5371                               | FHLMC_5371                     | CUSIP: 3137HBDP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11307697 | PA      | $1310069.09   | 0.10%             | 2048-08-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513           | FHLMC_5513                     | CUSIP: 3137HKF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8505127 | PA      | $8778132.70   | 0.64%             | 2054-06-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5513           | FHLMC_5513                     | CUSIP: 3137HKF33<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17603935 | PA      | $18032522.02  | 1.31%             | 2054-11-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5517           | FHLMC_5517                     | CUSIP: 3137HKNH3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7560359 | PA      | $7675500.98   | 0.56%             | 2055-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_25-5532                                   | FHLMC_5532                     | CUSIP: 3137HKPN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15267058 | PA      | $15499143.48  | 1.13%             | 2055-04-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC_5533                     | CUSIP: 3137HKQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  12805458 | PA      | $13012783.71  | 0.95%             | 2055-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21000000 | PA      | $16619139.60  | 1.21%             | 2021-07-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  39000000 | PA      | $32329854.57  | 2.35%             | 2055-07-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC_5542                     | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   8771817 | PA      | $8881672.86   | 0.65%             | 2055-05-25      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| FHLMC_5548                                                  | FHLMC_5548                     | CUSIP: 3137HLJQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12910692 | PA      | $12692155.12  | 0.92%             | 2055-06-25      | Variable      | 8.08%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27000000 | PA      | $23358794.58  | 1.70%             | 2055-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 123256536 | PA      | $110956196.83 | 8.08%             | 2055-07-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC_5544                     | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  14909474 | PA      | $2041285.94   | 0.15%             | 2055-06-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5547           | FHLMC_5547                     | CUSIP: 3137HLW24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  21629404 | PA      | $1251403.75   | 0.09%             | 2055-06-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  95500000 | PA      | $88788911.31  | 6.47%             | 2055-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  45500000 | PA      | $43517177.34  | 3.17%             | 2055-07-14      | 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        |  11175861 | PA      | $9361658.34   | 0.68%             | 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        |   7285743 | PA      | $6103021.64   | 0.44%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  48000000 | PA      | $47035207.68  | 3.43%             | 2055-07-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS 30YR TBA(REG A)           | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  27000000 | PA      | $26993822.94  | 1.97%             | 2055-07-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR                     | CUSIP: 36202FJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1403441 | PA      | $1416414.46   | 0.10%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR PLATINUM            | CUSIP: 3622ACH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7457604 | PA      | $6922768.30   | 0.50%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT_25-1                          | AOMT_25-1                      | CUSIP: 034934AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6979926 | PA      | $7024936.63   | 0.51%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_24-SLCT                     | BX_24-SLCT                     | CUSIP: 12433JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7800000 | PA      | $7758543.00   | 0.57%             | 2042-01-15      | Variable      | 5.64%                 | 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        |   2916243 | PA      | $405461.82    | 0.03%             | 2049-02-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                  | GNMA_19-43                     | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5155180 | PA      | $571579.03    | 0.04%             | 2049-04-20      | Variable      | 1.67%                 | 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        |   2874558 | PA      | $2780911.47   | 0.20%             | 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        |    738736 | PA      | $672680.13    | 0.05%             | 2065-05-25      | Variable      | 0.99%                 | 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        |   7005479 | PA      | $1068053.24   | 0.08%             | 2049-04-16      | Variable      | 1.62%                 | 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        |  12972444 | PA      | $1692379.85   | 0.12%             | 2049-07-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                 | CSMC_14-USA                    | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700000 | PA      | $2386500.00   | 0.17%             | 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      | $2751369.50   | 0.20%             | 2030-10-15      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR_19-97          | GNMA_19-97                     | CUSIP: 38381YHN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  30272500 | PA      | $3799437.85   | 0.28%             | 2049-08-20      | Variable      | 1.67%                 | 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        |   6526287 | PA      | $942553.15    | 0.07%             | 2049-09-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                             | CHNGE_23-3                     | CUSIP: 17030AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2139811 | PA      | $2158876.00   | 0.16%             | 2058-07-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                  | CHNGE_22-1                     | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2627424 | PA      | $2482597.60   | 0.18%             | 2067-01-25      | Variable      | 3.01%                 | 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        |   9457393 | PA      | $363303.86    | 0.03%             | 2062-02-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-77         | GNMA_20-77                     | CUSIP: 38382FAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6679434 | PA      | $750969.46    | 0.05%             | 2049-05-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| CMLTI_14-A                                                  | CMLTI_14-A                     | CUSIP: 17322GAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    407621 | PA      | $404537.95    | 0.03%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                            | CMLTI_15-RP2                   | CUSIP: 17323TAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1435553 | PA      | $1404442.03   | 0.10%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-79         | GNMA_20-79                     | CUSIP: 38382FB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5922310 | PA      | $775338.82    | 0.06%             | 2050-06-20      | Variable      | 1.67%                 | 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        |   5477197 | PA      | $733626.70    | 0.05%             | 2050-07-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_24-7                          | COLT_24-7                      | CUSIP: 19688YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9314503 | PA      | $9346523.47   | 0.68%             | 2069-12-26      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                               | COLUMBIA SHORT TERM CASH FUND  | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  55649346 | NS      | $55638215.93  | 4.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125        | GNMA_20-125                    | CUSIP: 38382HLX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6821804 | PA      | $967052.18    | 0.07%             | 2050-08-20      | Variable      | 1.82%                 | 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        |   5774180 | PA      | $989357.78    | 0.07%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR TBA(REG C)          | CUSIP: 21H030674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $15034107.93  | 1.09%             | 2055-07-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR TBA(REG C)          | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40000000 | PA      | $37184811.60  | 2.71%             | 2055-07-21      | Fixed         | 4.00%                 | 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        |  14335487 | PA      | $2031843.12   | 0.15%             | 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        |  12350714 | PA      | $1840964.04   | 0.13%             | 2050-09-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR TBA(REG C)          | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  75000000 | PA      | $71779348.50  | 5.23%             | 2055-07-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST CROSS_25-H1                            | CROSS_25-H1                    | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5200125 | PA      | $5236199.12   | 0.38%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_25-NQM1             | EFMT_25-NQM1                   | CUSIP: 26846CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4686104 | PA      | $4710713.21   | 0.34%             | 2070-01-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FH 5/1 CONS 12M SOFR NF ARM    | CUSIP: 3128LUVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     48389 | PA      | $49999.58     | 0.00%             | 2037-09-01      | Variable      | 7.35%                 | 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        |   9492336 | PA      | $1417931.93   | 0.10%             | 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        |   9191002 | PA      | $1870094.96   | 0.14%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FGOLD 30YR GIANT               | CUSIP: 3128M7N77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    848547 | PA      | $861358.73    | 0.06%             | 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        |   2399497 | PA      | $2320871.77   | 0.17%             | 2041-10-01      | 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        |  11002579 | PA      | $1604862.52   | 0.12%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FGOLD 30YR GIANT               | CUSIP: 3128M9LT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7207365 | PA      | $6769590.21   | 0.49%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                       | FNMA_16-42                     | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6601636 | PA      | $728799.49    | 0.05%             | 2046-07-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                       | FNMA_16-37                     | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2571228 | PA      | $299602.85    | 0.02%             | 2046-06-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                        | FNMA_17-3                      | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4858757 | PA      | $587367.42    | 0.04%             | 2047-02-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4286           | FHLMC_4286                     | CUSIP: 3137B6UF6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1882331 | PA      | $236187.68    | 0.02%             | 2043-12-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                                      | FHLMC_4594                     | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4326347 | PA      | $526351.16    | 0.04%             | 2046-06-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PAS                            | FHLMC_K063                     | CUSIP: 3137BVZ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4362000 | PA      | $4310160.25   | 0.31%             | 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        |   2731480 | PA      | $312247.77    | 0.02%             | 2050-04-25      | Variable      | 1.43%                 | 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        |  12777392 | PA      | $1745842.74   | 0.13%             | 2050-05-25      | Variable      | 1.68%                 | 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        |   5594717 | PA      | $838899.22    | 0.06%             | 2050-06-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                      | FHLMC_4993                     | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7032856 | PA      | $1084528.98   | 0.08%             | 2050-07-25      | Variable      | 1.63%                 | 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        |   2630602 | PA      | $2200463.45   | 0.16%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                               | STACR _19-CS02                 | CUSIP: 3137G0VY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8151621 | PA      | $8104214.04   | 0.59%             | 2032-02-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                 | STACR_20-CS01                  | CUSIP: 3137G0WL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4316813 | PA      | $4203642.96   | 0.31%             | 2033-04-25      | Variable      | 4.45%                 | 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        |   8984321 | PA      | $1489135.06   | 0.11%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5177           | FHLMC_5177                     | CUSIP: 3137H4PH7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10896556 | PA      | $1126829.25   | 0.08%             | 2051-12-25      | 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        |  10594919 | PA      | $1928133.21   | 0.14%             | 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        |  16769962 | PA      | $2772758.94   | 0.20%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-27         | GNMA_21-27                     | CUSIP: 38382NEY9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6333692 | PA      | $942279.24    | 0.07%             | 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        |  11216820 | PA      | $1568847.26   | 0.11%             | 2051-03-20      | Variable      | 1.87%                 | 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        |   9046110 | PA      | $1570301.58   | 0.11%             | 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        |   7489578 | PA      | $1033880.86   | 0.08%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117        | GNMA_21-117B                   | CUSIP: 38382WDY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15038492 | PA      | $2034098.97   | 0.15%             | 2051-07-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117        | GNMA_21-117                    | CUSIP: 38382WEG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10996735 | PA      | $1606121.59   | 0.12%             | 2051-07-20      | Variable      | 1.87%                 | 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        |   9188028 | PA      | $1750448.87   | 0.13%             | 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        |   7640938 | PA      | $1222627.21   | 0.09%             | 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        |   5763384 | PA      | $905242.58    | 0.07%             | 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        |  10640609 | PA      | $1478310.45   | 0.11%             | 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        |  11381552 | PA      | $1660915.53   | 0.12%             | 2051-09-20      | Variable      | 1.87%                 | 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        |   9526666 | PA      | $1625600.79   | 0.12%             | 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        |  11191431 | PA      | $1697507.23   | 0.12%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-135        | GNMA_22-135                    | CUSIP: 38383URE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10611038 | PA      | $1271835.78   | 0.09%             | 2052-08-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17         | GNMA_23-17                     | CUSIP: 38383VC89<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13370644 | PA      | $1494506.41   | 0.11%             | 2053-02-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-17         | GNMA_23-17                     | CUSIP: 38383VJ74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13116723 | PA      | $1508914.97   | 0.11%             | 2050-05-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-24         | GNMA_23-24                     | CUSIP: 38383WCS3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  38095230 | PA      | $3848482.94   | 0.28%             | 2052-01-20      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FH 5/1 CONS 12M SOFR NF ARM    | CUSIP: 3128QS3F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14616 | PA      | $15005.14     | 0.00%             | 2037-01-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_264                                  | FHLMC_264                      | CUSIP: 31325TL98<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2715817 | PA      | $269881.79    | 0.02%             | 2042-07-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_266                                       | FHLMC_266                      | CUSIP: 31325TMP1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1587616 | PA      | $288999.37    | 0.02%             | 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        |   1290324 | PA      | $237760.37    | 0.02%             | 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        |   1522275 | PA      | $167074.22    | 0.01%             | 2043-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                       | FHLMC_318                      | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5551773 | PA      | $620802.02    | 0.05%             | 2043-11-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                       | FHLMC_326                      | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    636881 | PA      | $68443.27     | 0.00%             | 2044-03-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS MIRROR         | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4827211 | PA      | $4570079.54   | 0.33%             | 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        |  11781906 | PA      | $10831139.14  | 0.79%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNMA_16-1                                 | FNMA_16-1                      | CUSIP: 3136AQC57<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6595451 | PA      | $750014.24    | 0.05%             | 2046-02-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                       | FNMA_17-51                     | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4973658 | PA      | $603276.86    | 0.04%             | 2047-07-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                       | FNMA_17-72                     | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11696644 | PA      | $477168.11    | 0.03%             | 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        |   1930522 | PA      | $1785509.58   | 0.13%             | 2047-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-90                                       | FNMA_17-90                     | CUSIP: 3136AYQT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2597103 | PA      | $330217.96    | 0.02%             | 2047-11-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-7                                        | FNMA_18-7                      | CUSIP: 3136B0YQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8231487 | PA      | $7454714.12   | 0.54%             | 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        |  22148261 | PA      | $21589028.06  | 1.57%             | 2028-03-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-33                                       | FNMA_19-33                     | CUSIP: 3136B45D6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7707055 | PA      | $923042.32    | 0.07%             | 2049-07-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-34                                       | FNMA_19-34                     | CUSIP: 3136B5LE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6556373 | PA      | $849918.37    | 0.06%             | 2049-07-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                       | FNMA_20-40                     | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8116865 | PA      | $1260450.87   | 0.09%             | 2050-06-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                                  | FNMA_20-55                     | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9709115 | PA      | $1529593.42   | 0.11%             | 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        |  35081255 | PA      | $5962904.78   | 0.43%             | 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        |   6198556 | PA      | $1047528.65   | 0.08%             | 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        |   9420880 | PA      | $1259069.58   | 0.09%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_23-34            | FNMA_23-34                     | CUSIP: 3136BQER6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10822970 | PA      | $1436887.85   | 0.10%             | 2048-10-25      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-6             | FNMA_25-6                      | CUSIP: 3136BU3V0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14016132 | PA      | $14087504.80  | 1.03%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-16            | FNMA_25-16                     | CUSIP: 3136BU5N6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6820849 | PA      | $6922994.43   | 0.50%             | 2055-01-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-10            | FNMA_25-10                     | CUSIP: 3136BUS68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7471324 | PA      | $7350466.11   | 0.54%             | 2055-02-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-12            | FNMA_25-12                     | CUSIP: 3136BVHZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  18246414 | PA      | $18560604.12  | 1.35%             | 2055-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-45            | FNMA_25-45                     | CUSIP: 3136BWEY8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  26187831 | PA      | $1849217.04   | 0.13%             | 2055-06-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                                      | FHLMC_4068                     | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    961734 | PA      | $99680.39     | 0.01%             | 2036-09-15      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                                      | FHLMC_4139                     | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    669560 | PA      | $44029.85     | 0.00%             | 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        |    266497 | PA      | $2625.53      | 0.00%             | 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        |   3152563 | PA      | $453878.65    | 0.03%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR                      | CUSIP: 3138APD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    299436 | PA      | $294186.51    | 0.02%             | 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        |    139474 | PA      | $136976.87    | 0.01%             | 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        |    444358 | PA      | $436206.24    | 0.03%             | 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        |   1353036 | PA      | $1268144.84   | 0.09%             | 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        |   1135119 | PA      | $1111358.67   | 0.08%             | 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        |    353363 | PA      | $349638.95    | 0.03%             | 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        |    434543 | PA      | $428564.92    | 0.03%             | 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        |   5710002 | PA      | $5363102.08   | 0.39%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 40YR                      | CUSIP: 3138EM6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6974617 | PA      | $5914135.40   | 0.43%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR                      | CUSIP: 3138M4K84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    116492 | PA      | $114424.75    | 0.01%             | 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        |   5998341 | PA      | $5433755.54   | 0.40%             | 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        |    809313 | PA      | $762345.88    | 0.06%             | 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        |    999016 | PA      | $976474.40    | 0.07%             | 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        |   2238147 | PA      | $2155410.67   | 0.16%             | 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        |   4399144 | PA      | $4091691.82   | 0.30%             | 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        |   5546879 | PA      | $5333816.20   | 0.39%             | 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        |   1848297 | PA      | $1753307.68   | 0.13%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 6M SOFR ARM               | CUSIP: 31391MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6539 | PA      | $6585.67      | 0.00%             | 2033-02-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_03-W11                                      | FNMA_03-W11                    | CUSIP: 31393C6U2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       500 | PA      | $506.09       | 0.00%             | 2033-06-25      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                        | FNMA_06-5                      | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1046932 | PA      | $10.47        | 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        |     10159 | PA      | $10252.19     | 0.00%             | 2034-06-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 10/1 HYBRID ARM           | CUSIP: 31403N7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       855 | PA      | $880.35       | 0.00%             | 2033-12-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140AGZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11417724 | PA      | $11694111.61  | 0.85%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140F5QZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2532176 | PA      | $2312658.95   | 0.17%             | 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        |   2316870 | PA      | $2109437.35   | 0.15%             | 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        |   2399170 | PA      | $2196056.30   | 0.16%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5857741 | PA      | $5696117.83   | 0.41%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140HLSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1981903 | PA      | $1875303.13   | 0.14%             | 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        |   1087905 | PA      | $1065751.55   | 0.08%             | 2032-04-01      | 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        |   6113652 | PA      | $5161430.38   | 0.38%             | 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        |  15637861 | PA      | $12579341.88  | 0.92%             | 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        |   9457674 | PA      | $7928358.22   | 0.58%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO APID_17-28A                                      | APID_17-28A                    | CUSIP: 03767CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   4125000 | PA      | $4130894.63   | 0.30%             | 2031-01-20      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| ARES CLO LTD ARES_19-52                                     | ARES_19-52A                    | CUSIP: 04009AAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   9537218 | PA      | $9524828.90   | 0.69%             | 2031-04-22      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-3                             | ARRW_19-3                      | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1740000 | PA      | $1493426.86   | 0.11%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_25-BIO3                     | BX_25-BIO3                     | CUSIP: 123911AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6163623.00   | 0.45%             | 2042-02-10      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR UMBS SUPER           | CUSIP: 3140XBPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3174126 | PA      | $2920062.82   | 0.21%             | 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        |  16579076 | PA      | $13892042.38  | 1.01%             | 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        |   7558843 | PA      | $6341390.82   | 0.46%             | 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        |   8743743 | PA      | $8224504.95   | 0.60%             | 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        |  15942176 | PA      | $14977867.92  | 1.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XN2F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11385134 | PA      | $9136116.88   | 0.67%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XNEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2797689 | PA      | $2773967.48   | 0.20%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XRSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21546691 | PA      | $18921791.84  | 1.38%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XRWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19013252 | PA      | $18702625.46  | 1.36%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XRYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24293117 | PA      | $19481516.31  | 1.42%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 31416CEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1273970 | PA      | $1271072.95   | 0.09%             | 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        |    599711 | PA      | $589972.87    | 0.04%             | 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        |   1977751 | PA      | $2007840.74   | 0.15%             | 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        |   3713683 | PA      | $3479540.14   | 0.25%             | 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        |   1966220 | PA      | $1798439.36   | 0.13%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS                | CUSIP: 3142GSWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16443771 | PA      | $16784869.13  | 1.22%             | 2054-09-01      | Fixed         | 6.00%                 | 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      | $1083660.72   | 0.08%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM1                                        | GCAT_21-CM1                    | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    516869 | PA      | $492723.59    | 0.04%             | 2065-04-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_22-NQM2                                     | GCAT_22-NQM2                   | CUSIP: 36169KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2489326 | PA      | $2364090.26   | 0.17%             | 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        |   3246339 | PA      | $3169059.39   | 0.23%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE                                                  | GNMA 30YR                      | CUSIP: 3622ADRD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  11023692 | PA      | $9805092.42   | 0.71%             | 2055-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR PLATINUM            | CUSIP: 36241L6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1845027 | PA      | $1830703.56   | 0.13%             | 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        |    925229 | PA      | $124746.73    | 0.01%             | 2042-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASS                            | GNMA_14-131                    | CUSIP: 38379E4C3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1372927 | PA      | $81925.18     | 0.01%             | 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        |   1698414 | PA      | $222056.92    | 0.02%             | 2044-09-16      | Variable      | 1.77%                 | 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        |   2944055 | PA      | $427112.87    | 0.03%             | 2048-02-20      | Variable      | 1.77%                 | 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        |   2589616 | PA      | $317283.61    | 0.02%             | 2047-11-20      | Variable      | 1.77%                 | 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        |   8532896 | PA      | $391846.79    | 0.03%             | 2061-12-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102        | GNMA_19-102                    | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6429975 | PA      | $312404.19    | 0.02%             | 2060-03-16      | Variable      | 0.83%                 | 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        |   7746225 | PA      | $374064.41    | 0.03%             | 2061-06-16      | Variable      | 0.76%                 | 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        |  12391087 | PA      | $709632.59    | 0.05%             | 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        |   8177453 | PA      | $347033.13    | 0.03%             | 2061-08-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC OBX_25-NQM2                        | OBX_25-NQM2                    | CUSIP: 67120VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9255985 | PA      | $9306658.23   | 0.68%             | 2064-11-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_25-R1                          | NYMT_25-R1                     | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3915406 | PA      | $3915331.46   | 0.29%             | 2030-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-11                   | PAID_24-11                     | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5992598 | PA      | $6001356.82   | 0.44%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-11                   | PAID_24-11                     | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3099644 | PA      | $3109121.71   | 0.23%             | 2032-07-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-5                    | PAID_24-5                      | CUSIP: 69544LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1417068 | PA      | $1432304.78   | 0.10%             | 2031-10-15      | Fixed         | 7.27%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_25-1                    | PAID_25-1                      | CUSIP: 69544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3999971 | PA      | $4000009.02   | 0.29%             | 2026-02-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_25-1                    | PAID_25-1                      | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6529442 | PA      | $6544101.72   | 0.48%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-3                    | PAID_22-3                      | CUSIP: 69547MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30953 | PA      | $30986.81     | 0.00%             | 2030-03-15      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| RCO MORTGAGE LLC RCO_25-1                                   | RCO_25-1                       | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8984964 | PA      | $9047357.46   | 0.66%             | 2030-01-25      | Variable      | 5.88%                 | 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      | $2162461.40   | 0.16%             | 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        |   2350000 | PA      | $2329437.50   | 0.17%             | 2038-05-15      | Variable      | 5.58%                 | 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      | $5005350.00   | 0.36%             | 2031-04-18      | Variable      | 6.28%                 | 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        |      2087 | PA      | $2087.45      | 0.00%             | 2026-10-16      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_22-3                             | THRM_22-3A                     | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118762 | PA      | $119009.14    | 0.01%             | 2029-04-15      | Fixed         | 7.60%                 | 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        |     15080 | PA      | $15056.44     | 0.00%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION VCAT_25-NPL2                      | VCAT_25-NPL2                   | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4925051 | PA      | $4965283.46   | 0.36%             | 2054-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3               | VSTA_24-CES3                   | CUSIP: 92841WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $5038763.00   | 0.37%             | 2055-01-25      | Variable      | 6.00%                 | 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      | $1203303.30   | 0.09%             | 2034-12-15      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | CDS: (CMBX.NA.7.BBB-)          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -1042040 | OU      | $-135233.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                 | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  14000000 | OU      | $21529.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  23000000 | OU      | $183540.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                 | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  50000000 | OU      | $334895.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  35000000 | OU      | $169708.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                        | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  10000000 | OU      | $56004.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | US 5YR NOTE SEP 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -623 | NC      | $-969753.70   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47         | GNMA_23-47                     | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8433500 | PA      | $732078.43    | 0.05%             | 2053-03-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-152        | GNMA_22-152                    | CUSIP: 38383YEB4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  18120408 | PA      | $1938216.77   | 0.14%             | 2052-09-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-65         | GNMA_23-65                     | CUSIP: 38384AGV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17049794 | PA      | $1631012.23   | 0.12%             | 2053-05-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100        | GNMA_23-100                    | CUSIP: 38384B4H1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14445512 | PA      | $1619954.34   | 0.12%             | 2053-07-20      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-100        | GNMA_23-100                    | CUSIP: 38384B4K4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  16126774 | PA      | $2022884.51   | 0.15%             | 2049-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-81         | GNMA_23-81                     | CUSIP: 38384BAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7366382 | PA      | $590724.89    | 0.04%             | 2053-06-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115        | GNMA_23-115                    | CUSIP: 38384CG29<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  18303878 | PA      | $1200675.80   | 0.09%             | 2053-08-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113        | GNMA_23-113                    | CUSIP: 38384CZJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17993632 | PA      | $2137283.66   | 0.16%             | 2049-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141        | GNMA_23-141                    | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11703786 | PA      | $1279859.33   | 0.09%             | 2049-12-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140        | GNMA_23-140                    | CUSIP: 38384EUC7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11312217 | PA      | $837677.60    | 0.06%             | 2053-09-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-140        | GNMA_23-140                    | CUSIP: 38384EUV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1240309 | PA      | $1251213.12   | 0.09%             | 2053-09-20      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-30         | GNMA_24-30                     | CUSIP: 38384JTX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3794550 | PA      | $3823957.78   | 0.28%             | 2064-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64         | GNMA_24-64                     | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  18493942 | PA      | $1064453.97   | 0.08%             | 2054-04-20      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80         | GNMA_24-80                     | CUSIP: 38384NMS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9458781 | PA      | $8531871.03   | 0.62%             | 2064-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-80         | GNMA_24-80                     | CUSIP: 38384NMT9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6065583 | PA      | $5325073.89   | 0.39%             | 2064-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-159        | GNMA_24-159                    | CUSIP: 38384YAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  41999377 | PA      | $3081536.27   | 0.22%             | 2054-10-20      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197        | GNMA_24-197                    | CUSIP: 38385BDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  21353767 | PA      | $2404417.10   | 0.18%             | 2054-12-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-197        | GNMA_24-197                    | CUSIP: 38385BEL0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  25546421 | PA      | $3079173.98   | 0.22%             | 2054-12-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39         | GNMA_25-39                     | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6240866 | PA      | $6325955.40   | 0.46%             | 2055-03-20      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                 | HILT_16-SFP                    | CUSIP: 43289VAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $25031.90     | 0.00%             | 2035-11-05      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| HILT_16-SFP                                                 | HILT_16-SFP                    | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $40216.40     | 0.00%             | 2035-11-05      | Variable      | 0.00%                 | 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        |   8639243 | PA      | $8316721.73   | 0.61%             | 2026-12-17      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1                     | LMAT_21-GS1                    | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3189970 | PA      | $3210884.04   | 0.23%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | 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      | $8006848.00   | 0.58%             | 2030-10-21      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1              | MELLO_24-SD1                   | CUSIP: 58550DAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1505961.60   | 0.11%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST MSRM_25-NQM1 | MSRM_25-NQM1                   | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6207254 | PA      | $6252168.71   | 0.46%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MPOWER EDUCATION TRUST MPOWR_24-1                           | MPOWR_24-A                     | CUSIP: 62476DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1670571 | PA      | $1709150.20   | 0.12%             | 2041-07-22      | Fixed         | 6.78%                 | No            |                  2 | On Loan: No      |
| NRZT_14-1A                                                  | NRZT_14-1A                     | CUSIP: 64828AAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6523256 | PA      | $292367.77    | 0.02%             | 2054-01-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_25-NQM1            | NRZT_25-NQM1                   | CUSIP: 64832DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10326685 | PA      | $10432846.14  | 0.76%             | 2065-01-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11240049 | PA      | $9438883.12   | 0.69%             | 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        |  14464307 | PA      | $12831252.36  | 0.93%             | 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        |   6768782 | PA      | $5678125.35   | 0.41%             | 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        |   3386314 | PA      | $2964298.82   | 0.22%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DP3S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13576274 | PA      | $12237068.46  | 0.89%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DQWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7391891 | PA      | $7265697.67   | 0.53%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DTL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12924483 | PA      | $11705243.43  | 0.85%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14594490 | PA      | $13667191.09  | 1.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DUAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17006634 | PA      | $17394844.78  | 1.27%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DUJT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16344163 | PA      | $16418180.43  | 1.20%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DUT56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10808929 | PA      | $10388524.57  | 0.76%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DUV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16101727 | PA      | $16180970.91  | 1.18%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9528498 | PA      | $8035408.15   | 0.59%             | 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        |  11637133 | PA      | $10242983.62  | 0.75%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132E0M41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9324894 | PA      | $8926732.29   | 0.65%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132E0NY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8238285 | PA      | $7682534.16   | 0.56%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FHLMC GOLD 30YR                | CUSIP: 3132GFYE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    662410 | PA      | $660899.33    | 0.05%             | 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        |   3318895 | PA      | $3203940.52   | 0.23%             | 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        |   1132270 | PA      | $1093046.61   | 0.08%             | 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        |   3735550 | PA      | $3480979.13   | 0.25%             | 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        |   5082713 | PA      | $4631183.52   | 0.34%             | 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        |   3093796 | PA      | $2905902.34   | 0.21%             | 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        |   3736161 | PA      | $3483279.80   | 0.25%             | 2044-12-01      | 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        |    762007 | PA      | $107593.94    | 0.01%             | 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        |   1403243 | PA      | $49047.42     | 0.00%             | 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        |     34991 | PA      | $33.10        | 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        |   1905390 | PA      | $237734.20    | 0.02%             | 2045-01-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140JB5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14075950 | PA      | $12783004.26  | 0.93%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140KGWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5285941 | PA      | $4691494.97   | 0.34%             | 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        |  21370815 | PA      | $16973685.05  | 1.24%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140L0PD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15070334 | PA      | $12623808.82  | 0.92%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140L3K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7244131 | PA      | $5822285.34   | 0.42%             | 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        |   5410022 | PA      | $5003719.81   | 0.36%             | 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        |  15242008 | PA      | $12708992.53  | 0.93%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14197959 | PA      | $11333117.34  | 0.83%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140MP6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9885153 | PA      | $8916408.40   | 0.65%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140Q7HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1182130 | PA      | $1151158.29   | 0.08%             | 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        |   7252631 | PA      | $6865569.19   | 0.50%             | 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        |   4479791 | PA      | $4104176.35   | 0.30%             | 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        |   6123246 | PA      | $5397433.94   | 0.39%             | 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        |  11004481 | PA      | $9748553.63   | 0.71%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140QNQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13154965 | PA      | $10539564.81  | 0.77%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140QNTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9986222 | PA      | $8652128.18   | 0.63%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140QSFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9591367 | PA      | $9477428.10   | 0.69%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140QVE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14290694 | PA      | $14582213.44  | 1.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140QVKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14317990 | PA      | $14142563.15  | 1.03%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140W0EA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12252461 | PA      | $9847619.70   | 0.72%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR UMBS SUPER           | CUSIP: 3140X5AK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4893877 | PA      | $4792395.42   | 0.35%             | 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        |  16427821 | PA      | $14389522.13  | 1.05%             | 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        |  10595073 | PA      | $9347199.50   | 0.68%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                    | PAID_22-5                      | CUSIP: 69548HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241805 | PA      | $242711.21    | 0.02%             | 2030-06-17      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-6                    | PAID_24-6                      | CUSIP: 69548KAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1833194 | PA      | $1858478.95   | 0.14%             | 2031-11-15      | Fixed         | 6.59%                 | 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      | $5254000.50   | 0.38%             | 2029-10-15      | Variable      | 6.27%                 | 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        |   4948450 | PA      | $4650150.84   | 0.34%             | 2041-02-17      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-18

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer