# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001193125-25-298486
**Filing Date:** 2025-11
**Character Count:** 228256
**Document Hash:** c91401102e6f3613194aa42efa228b4f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-298486.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001193125-25-298486

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**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:** 251524059

**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 |  |

## Nport-Ex

![](img2be644711.jpg)

Columbia Variable Portfolio – U.S. Government Mortgage Fund

**Third Quarter Report**

September 30, 2025 (Unaudited)

Please remember that you may not buy (nor will you own) shares of the Fund directly. The Fund is available through variable annuity contracts and variable life insurance policies offered by the separate accounts of participating insurance companies as well as qualified pension and retirement plans. Please contact your financial advisor or insurance representative for more information.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Not FDIC or NCUA Insured** | **No Financial Institution Guarantee** | **May Lose Value** |

---

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Portfolio of Investments

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

(Percentages represent value of investments compared to net assets)

**Investments in securities**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| **Asset-Backed Securities - Non-Agency 2.7%** | **Asset-Backed Securities - Non-Agency 2.7%** | **Asset-Backed Securities - Non-Agency 2.7%** | **Asset-Backed Securities - Non-Agency 2.7%** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| ARES LII CLO Ltd.<sup>(a),(b)</sup>  | ARES LII CLO Ltd.<sup>(a),(b)</sup>  | ARES LII CLO Ltd.<sup>(a),(b)</sup>  | ARES LII CLO Ltd.<sup>(a),(b)</sup>  |
| Series 2019-52A Class A1 | Series 2019-52A Class A1 | Series 2019-52A Class A1 | Series 2019-52A Class A1 |
| &nbsp;&nbsp; 3-month Term SOFR + 0.880% <br>04/22/2031<br>| &nbsp;&nbsp; 5.212% | 7822672 | &nbsp;&nbsp; 7821530 |
| Basswood Park CLO Ltd.<sup>(a),(b)</sup>  | Basswood Park CLO Ltd.<sup>(a),(b)</sup>  | Basswood Park CLO Ltd.<sup>(a),(b)</sup>  | Basswood Park CLO Ltd.<sup>(a),(b)</sup>  |
| Series 2025-1A Class AR | Series 2025-1A Class AR | Series 2025-1A Class AR | Series 2025-1A Class AR |
| &nbsp;&nbsp; 3-month Term SOFR + 1.030% <br>Floor 1.030% <br>04/20/2034<br>| &nbsp;&nbsp; 5.053% | 7000000 | &nbsp;&nbsp; 7004956 |
| Carlyle Global Market Strategies CLO Ltd.<sup>(a),(b)</sup>  | Carlyle Global Market Strategies CLO Ltd.<sup>(a),(b)</sup>  | Carlyle Global Market Strategies CLO Ltd.<sup>(a),(b)</sup>  | Carlyle Global Market Strategies CLO Ltd.<sup>(a),(b)</sup>  |
| Series 2013-3A Class BR | Series 2013-3A Class BR | Series 2013-3A Class BR | Series 2013-3A Class BR |
| &nbsp;&nbsp; 3-month Term SOFR + 1.962% <br>Floor 1.700% <br>10/15/2030<br>| &nbsp;&nbsp; 6.279% | 2750000 | &nbsp;&nbsp; 2751370 |
| MPOWER Education Trust<sup>(a)</sup>  | MPOWER Education Trust<sup>(a)</sup>  | MPOWER Education Trust<sup>(a)</sup>  | MPOWER Education Trust<sup>(a)</sup>  |
| Series 2024-A Class A | Series 2024-A Class A | Series 2024-A Class A | Series 2024-A Class A |
| 07/22/2041 | &nbsp;&nbsp; 6.780% | 1473032 | &nbsp;&nbsp; 1514505 |
| Pagaya AI Debt Grantor Trust<sup>(a)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a)</sup>  |
| Series 2024-11 Class A | Series 2024-11 Class A | Series 2024-11 Class A | Series 2024-11 Class A |
| 07/15/2032 | &nbsp;&nbsp; 5.092% | 4672931 | &nbsp;&nbsp; 4696127 |
| Series 2024-11 Class B | Series 2024-11 Class B | Series 2024-11 Class B | Series 2024-11 Class B |
| 07/15/2032 | &nbsp;&nbsp; 5.637% | 2295652 | &nbsp;&nbsp; 2312037 |
| Series 2025-1 Class A2 | Series 2025-1 Class A2 | Series 2025-1 Class A2 | Series 2025-1 Class A2 |
| 07/15/2032 | &nbsp;&nbsp; 5.156% | 4393664 | &nbsp;&nbsp; 4429493 |
| Subordinated Series 2024-5 Class C | Subordinated Series 2024-5 Class C | Subordinated Series 2024-5 Class C | Subordinated Series 2024-5 Class C |
| 10/15/2031 | &nbsp;&nbsp; 7.270% | 1202796 | &nbsp;&nbsp; 1219978 |
| Subordinated Series 2024-6 Class B | Subordinated Series 2024-6 Class B | Subordinated Series 2024-6 Class B | Subordinated Series 2024-6 Class B |
| 11/15/2031 | &nbsp;&nbsp; 6.589% | 1569921 | &nbsp;&nbsp; 1593405 |
| Pagaya AI Debt Trust<sup>(a)</sup>  | Pagaya AI Debt Trust<sup>(a)</sup>  | Pagaya AI Debt Trust<sup>(a)</sup>  | Pagaya AI Debt Trust<sup>(a)</sup>  |
| Series 2022-5 Class A | Series 2022-5 Class A | Series 2022-5 Class A | Series 2022-5 Class A |
| 06/17/2030 | &nbsp;&nbsp; 8.096% | 31401 | &nbsp;&nbsp; 31447 |
| Sound Point IV-R CLO Ltd.<sup>(a),(b)</sup>  | Sound Point IV-R CLO Ltd.<sup>(a),(b)</sup>  | Sound Point IV-R CLO Ltd.<sup>(a),(b)</sup>  | Sound Point IV-R CLO Ltd.<sup>(a),(b)</sup>  |
| Series 2013-3RA Class B | Series 2013-3RA Class B | Series 2013-3RA Class B | Series 2013-3RA Class B |
| &nbsp;&nbsp; 3-month Term SOFR + 2.012% <br>Floor 1.750% <br>04/18/2031<br>| &nbsp;&nbsp; 6.341% | 5000000 | &nbsp;&nbsp; 5005230 |
| &nbsp;&nbsp; Total Asset-Backed Securities — Non-Agency <br>(Cost $38,239,007) | &nbsp;&nbsp; Total Asset-Backed Securities — Non-Agency <br>(Cost $38,239,007) | &nbsp;&nbsp; Total Asset-Backed Securities — Non-Agency <br>(Cost $38,239,007) | &nbsp;&nbsp; **38380078** |
| **Commercial Mortgage-Backed Securities - Agency 2.1%** | **Commercial Mortgage-Backed Securities - Agency 2.1%** | **Commercial Mortgage-Backed Securities - Agency 2.1%** | **Commercial Mortgage-Backed Securities - Agency 2.1%** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through <br> Certificates<sup>(c)</sup>  | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through <br> Certificates<sup>(c)</sup>  | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through <br> Certificates<sup>(c)</sup>  | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through <br> Certificates<sup>(c)</sup>  |
| Series K063 Class A2 | Series K063 Class A2 | Series K063 Class A2 | Series K063 Class A2 |
| 01/25/2027 | &nbsp;&nbsp; 3.430% | 4362000 | &nbsp;&nbsp; 4334233 |
| Federal National Mortgage Association<sup>(c)</sup>  | Federal National Mortgage Association<sup>(c)</sup>  | Federal National Mortgage Association<sup>(c)</sup>  | Federal National Mortgage Association<sup>(c)</sup>  |
| Series 2018-M7 Class A2 | Series 2018-M7 Class A2 | Series 2018-M7 Class A2 | Series 2018-M7 Class A2 |
| 03/25/2028 | &nbsp;&nbsp; 3.127% | 22072686 | &nbsp;&nbsp; 21653186 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Commercial Mortgage-Backed Securities - Agency (continued)** | **Commercial Mortgage-Backed Securities - Agency (continued)** | **Commercial Mortgage-Backed Securities - Agency (continued)** | **Commercial Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Government National Mortgage Association<sup>(c),(d)</sup>  | Government National Mortgage Association<sup>(c),(d)</sup>  | Government National Mortgage Association<sup>(c),(d)</sup>  | Government National Mortgage Association<sup>(c),(d)</sup>  |
| Series 2019-102 Class IB | Series 2019-102 Class IB | Series 2019-102 Class IB | Series 2019-102 Class IB |
| 03/16/2060 | &nbsp;&nbsp; 0.835% | 6397494 | &nbsp;&nbsp; 307426 |
| Series 2019-118 Class IO | Series 2019-118 Class IO | Series 2019-118 Class IO | Series 2019-118 Class IO |
| 06/16/2061 | &nbsp;&nbsp; 0.759% | 7713099 | &nbsp;&nbsp; 371818 |
| Series 2019-131 Class IO | Series 2019-131 Class IO | Series 2019-131 Class IO | Series 2019-131 Class IO |
| 07/16/2061 | &nbsp;&nbsp; 0.803% | 12327694 | &nbsp;&nbsp; 704621 |
| Series 2019-134 Class IO | Series 2019-134 Class IO | Series 2019-134 Class IO | Series 2019-134 Class IO |
| 08/16/2061 | &nbsp;&nbsp; 0.643% | 8130344 | &nbsp;&nbsp; 342617 |
| Series 2019-139 Class IO | Series 2019-139 Class IO | Series 2019-139 Class IO | Series 2019-139 Class IO |
| 11/16/2061 | &nbsp;&nbsp; 0.671% | 8793035 | &nbsp;&nbsp; 374673 |
| Series 2020-19 Class IO | Series 2020-19 Class IO | Series 2020-19 Class IO | Series 2020-19 Class IO |
| 12/16/2061 | &nbsp;&nbsp; 0.719% | 8491577 | &nbsp;&nbsp; 385798 |
| Series 2020-3 Class IO | Series 2020-3 Class IO | Series 2020-3 Class IO | Series 2020-3 Class IO |
| 02/16/2062 | &nbsp;&nbsp; 0.616% | 9406716 | &nbsp;&nbsp; 356018 |
| &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Agency <br>(Cost $34,901,473) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Agency <br>(Cost $34,901,473) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Agency <br>(Cost $34,901,473) | &nbsp;&nbsp; **28830390** |
| **Commercial Mortgage-Backed Securities - Non-Agency 3.1%** | **Commercial Mortgage-Backed Securities - Non-Agency 3.1%** | **Commercial Mortgage-Backed Securities - Non-Agency 3.1%** | **Commercial Mortgage-Backed Securities - Non-Agency 3.1%** |
| BHMS Commercial Mortgage Trust<sup>(a),(b)</sup>  | BHMS Commercial Mortgage Trust<sup>(a),(b)</sup>  | BHMS Commercial Mortgage Trust<sup>(a),(b)</sup>  | BHMS Commercial Mortgage Trust<sup>(a),(b)</sup>  |
| Series 2025-ATLS Class A | Series 2025-ATLS Class A | Series 2025-ATLS Class A | Series 2025-ATLS Class A |
| &nbsp;&nbsp; 1-month Term SOFR + 1.850% <br>Floor 1.850% <br>08/15/2042<br>| &nbsp;&nbsp; 6.200% | 3900000 | &nbsp;&nbsp; 3910992 |
| BX Commercial Mortgage Trust<sup>(a),(b)</sup>  | BX Commercial Mortgage Trust<sup>(a),(b)</sup>  | BX Commercial Mortgage Trust<sup>(a),(b)</sup>  | BX Commercial Mortgage Trust<sup>(a),(b)</sup>  |
| Series 2024-SLCT Class A | Series 2024-SLCT Class A | Series 2024-SLCT Class A | Series 2024-SLCT Class A |
| &nbsp;&nbsp; 1-month Term SOFR + 1.443% <br>Floor 1.443% <br>01/15/2042<br>| &nbsp;&nbsp; 5.474% | 7800000 | &nbsp;&nbsp; 7795134 |
| BX Mortgage Trust<sup>(a)</sup>  | BX Mortgage Trust<sup>(a)</sup>  | BX Mortgage Trust<sup>(a)</sup>  | BX Mortgage Trust<sup>(a)</sup>  |
| Series 2025-BIO3 Class A | Series 2025-BIO3 Class A | Series 2025-BIO3 Class A | Series 2025-BIO3 Class A |
| 02/10/2042 | &nbsp;&nbsp; 6.138% | 6000000 | &nbsp;&nbsp; 6182560 |
| Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  | Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  | Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  | Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  |
| Subordinated Series 2014-USA Class E | Subordinated Series 2014-USA Class E | Subordinated Series 2014-USA Class E | Subordinated Series 2014-USA Class E |
| 09/15/2037 | &nbsp;&nbsp; 4.373% | 1700000 | &nbsp;&nbsp; 1147075 |
| Hilton USA Trust<sup>(a)</sup>  | Hilton USA Trust<sup>(a)</sup>  | Hilton USA Trust<sup>(a)</sup>  | Hilton USA Trust<sup>(a)</sup>  |
| Subordinated Series 2016-SFP Class E | Subordinated Series 2016-SFP Class E | Subordinated Series 2016-SFP Class E | Subordinated Series 2016-SFP Class E |
| 11/05/2035 | &nbsp;&nbsp; 5.519% | 1000000 | &nbsp;&nbsp; 25032 |
| Hilton USA Trust<sup>(a),(e)</sup>  | Hilton USA Trust<sup>(a),(e)</sup>  | Hilton USA Trust<sup>(a),(e)</sup>  | Hilton USA Trust<sup>(a),(e)</sup>  |
| Subordinated Series 2016-SFP Class F | Subordinated Series 2016-SFP Class F | Subordinated Series 2016-SFP Class F | Subordinated Series 2016-SFP Class F |
| 11/05/2035 | &nbsp;&nbsp; 0.000% | 2000000 | &nbsp;&nbsp; 40216 |
| Home Partners of America Trust<sup>(a)</sup>  | Home Partners of America Trust<sup>(a)</sup>  | Home Partners of America Trust<sup>(a)</sup>  | Home Partners of America Trust<sup>(a)</sup>  |
| Subordinated Series 2021-2 Class B | Subordinated Series 2021-2 Class B | Subordinated Series 2021-2 Class B | Subordinated Series 2021-2 Class B |
| 12/17/2026 | &nbsp;&nbsp; 2.302% | 8635461 | &nbsp;&nbsp; 8398921 |
| Progress Residential Trust<sup>(a)</sup>  | Progress Residential Trust<sup>(a)</sup>  | Progress Residential Trust<sup>(a)</sup>  | Progress Residential Trust<sup>(a)</sup>  |
| Series 2022-SFR1 Class A | Series 2022-SFR1 Class A | Series 2022-SFR1 Class A | Series 2022-SFR1 Class A |
| 02/17/2041 | &nbsp;&nbsp; 2.709% | 4941502 | &nbsp;&nbsp; 4688167 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Commercial Mortgage-Backed Securities - Non-Agency (continued)** | **Commercial Mortgage-Backed Securities - Non-Agency (continued)** | **Commercial Mortgage-Backed Securities - Non-Agency (continued)** | **Commercial Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| SFO Commercial Mortgage Trust<sup>(a),(b)</sup>  | SFO Commercial Mortgage Trust<sup>(a),(b)</sup>  | SFO Commercial Mortgage Trust<sup>(a),(b)</sup>  | SFO Commercial Mortgage Trust<sup>(a),(b)</sup>  |
| Series 2021-555 Class A | Series 2021-555 Class A | Series 2021-555 Class A | Series 2021-555 Class A |
| &nbsp;&nbsp; 1-month Term SOFR + 1.264% <br>Floor 1.150% <br>05/15/2038<br>| &nbsp;&nbsp; 5.416% | 2350000 | &nbsp;&nbsp; 2333874 |
| STAR Trust<sup>(a),(b)</sup>  | STAR Trust<sup>(a),(b)</sup>  | STAR Trust<sup>(a),(b)</sup>  | STAR Trust<sup>(a),(b)</sup>  |
| Series 2025-SFR6 Class A | Series 2025-SFR6 Class A | Series 2025-SFR6 Class A | Series 2025-SFR6 Class A |
| &nbsp;&nbsp; 1-month Term SOFR + 1.650% <br>Floor 1.650% <br>08/17/2042<br>| &nbsp;&nbsp; 5.758% | 7000000 | &nbsp;&nbsp; 7021203 |
| Wells Fargo Commercial Mortgage Trust<sup>(a),(b)</sup>  | Wells Fargo Commercial Mortgage Trust<sup>(a),(b)</sup>  | Wells Fargo Commercial Mortgage Trust<sup>(a),(b)</sup>  | Wells Fargo Commercial Mortgage Trust<sup>(a),(b)</sup>  |
| Subordinated Series 2017-SMP Class D | Subordinated Series 2017-SMP Class D | Subordinated Series 2017-SMP Class D | Subordinated Series 2017-SMP Class D |
| &nbsp;&nbsp; 1-month Term SOFR + 1.822% <br>Floor 1.650% <br>12/15/2034<br>| &nbsp;&nbsp; 5.973% | 3000000 | &nbsp;&nbsp; 1231468 |
| &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Non-Agency <br>(Cost $48,254,342) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Non-Agency <br>(Cost $48,254,342) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Non-Agency <br>(Cost $48,254,342) | &nbsp;&nbsp; **42774642** |
| **Residential Mortgage-Backed Securities - Agency 112.8%** | **Residential Mortgage-Backed Securities - Agency 112.8%** | **Residential Mortgage-Backed Securities - Agency 112.8%** | **Residential Mortgage-Backed Securities - Agency 112.8%** |
| Fannie Mae REMICS | Fannie Mae REMICS | Fannie Mae REMICS | Fannie Mae REMICS |
| CMO Series 2018-7 Class CD | CMO Series 2018-7 Class CD | CMO Series 2018-7 Class CD | CMO Series 2018-7 Class CD |
| 02/25/2048 | &nbsp;&nbsp; 3.000% | 8045363 | &nbsp;&nbsp; 7357861 |
| Fannie Mae REMICS<sup>(b),(d)</sup>  | Fannie Mae REMICS<sup>(b),(d)</sup>  | Fannie Mae REMICS<sup>(b),(d)</sup>  | Fannie Mae REMICS<sup>(b),(d)</sup>  |
| CMO Series 2023-34 Class S | CMO Series 2023-34 Class S | CMO Series 2023-34 Class S | CMO Series 2023-34 Class S |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.086% <br>Cap 6.200% <br>10/25/2048<br>| &nbsp;&nbsp; 1.730% | 10579559 | &nbsp;&nbsp; 1410115 |
| CMO Series 2025-45 Class SC | CMO Series 2025-45 Class SC | CMO Series 2025-45 Class SC | CMO Series 2025-45 Class SC |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.800% <br>Cap 5.800% <br>06/25/2055<br>| &nbsp;&nbsp; 1.444% | 25753740 | &nbsp;&nbsp; 2113342 |
| Fannie Mae REMICS<sup>(b)</sup>  | Fannie Mae REMICS<sup>(b)</sup>  | Fannie Mae REMICS<sup>(b)</sup>  | Fannie Mae REMICS<sup>(b)</sup>  |
| CMO Series 2025-10 Class FB | CMO Series 2025-10 Class FB | CMO Series 2025-10 Class FB | CMO Series 2025-10 Class FB |
| &nbsp;&nbsp; 30-day Average SOFR + 0.850% <br>Floor 0.850%, Cap 6.000% <br>02/25/2055<br>| &nbsp;&nbsp; 5.206% | 7192790 | &nbsp;&nbsp; 7111903 |
| CMO Series 2025-12 Class LF | CMO Series 2025-12 Class LF | CMO Series 2025-12 Class LF | CMO Series 2025-12 Class LF |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>03/25/2055<br>| &nbsp;&nbsp; 8.082% | 17818271 | &nbsp;&nbsp; 18375934 |
| CMO Series 2025-16 Class MA | CMO Series 2025-16 Class MA | CMO Series 2025-16 Class MA | CMO Series 2025-16 Class MA |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>01/25/2055<br>| &nbsp;&nbsp; 8.082% | 6532649 | &nbsp;&nbsp; 6664928 |
| CMO Series 2025-6 Class LF | CMO Series 2025-6 Class LF | CMO Series 2025-6 Class LF | CMO Series 2025-6 Class LF |
| &nbsp;&nbsp; 30-day Average SOFR + 1.800% <br>Floor 1.800%, Cap 6.000% <br>02/25/2055<br>| &nbsp;&nbsp; 6.000% | 13547247 | &nbsp;&nbsp; 13656523 |

---

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| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2025-86 Class FH | CMO Series 2025-86 Class FH | CMO Series 2025-86 Class FH | CMO Series 2025-86 Class FH |
| &nbsp;&nbsp; 30-day Average SOFR + 0.850% <br>Floor 0.850%, Cap 6.000% <br>09/25/2055<br>| &nbsp;&nbsp; 5.237% | 15000000 | &nbsp;&nbsp; 14849918 |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; 08/01/2035- <br>03/01/2052<br>| &nbsp;&nbsp; 2.000% | 35646422 | &nbsp;&nbsp; 30268176 |
| &nbsp;&nbsp; 10/01/2041- <br>12/01/2052<br>| &nbsp;&nbsp; 4.000% | 46965429 | &nbsp;&nbsp; 44913951 |
| &nbsp;&nbsp; 07/01/2042- <br>12/01/2052<br>| &nbsp;&nbsp; 3.500% | 49172387 | &nbsp;&nbsp; 45698952 |
| &nbsp;&nbsp; 11/01/2042- <br>08/01/2052<br>| &nbsp;&nbsp; 3.000% | 62128146 | &nbsp;&nbsp; 55706263 |
| &nbsp;&nbsp; 09/01/2047- <br>11/01/2054<br>| &nbsp;&nbsp; 4.500% | 22943066 | &nbsp;&nbsp; 22398159 |
| &nbsp;&nbsp; 02/01/2051- <br>03/01/2052<br>| &nbsp;&nbsp; 2.500% | 34859556 | &nbsp;&nbsp; 29813903 |
| 06/01/2053 | &nbsp;&nbsp; 5.000% | 7239780 | &nbsp;&nbsp; 7214785 |
| &nbsp;&nbsp; 09/01/2054- <br>07/01/2055<br>| &nbsp;&nbsp; 6.000% | 44989920 | &nbsp;&nbsp; 46358022 |
| &nbsp;&nbsp; 10/01/2054- <br>12/01/2054<br>| &nbsp;&nbsp; 5.500% | 31790745 | &nbsp;&nbsp; 32403788 |
| Federal Home Loan Mortgage Corp.<sup>(b)</sup>  | Federal Home Loan Mortgage Corp.<sup>(b)</sup>  | Federal Home Loan Mortgage Corp.<sup>(b)</sup>  | Federal Home Loan Mortgage Corp.<sup>(b)</sup>  |
| &nbsp;&nbsp; 12-month Term SOFR + 1.624% <br>Cap 11.064% <br>01/01/2037<br>| &nbsp;&nbsp; 6.373% | 12456 | &nbsp;&nbsp; 12805 |
| &nbsp;&nbsp; 12-month Term SOFR + 1.910% <br>Cap 10.449% <br>09/01/2037<br>| &nbsp;&nbsp; 6.660% | 47834 | &nbsp;&nbsp; 49578 |
| Federal Home Loan Mortgage Corp.<sup>(b),(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(b),(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(b),(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(b),(d)</sup>  |
| CMO Series 264 Class S1 | CMO Series 264 Class S1 | CMO Series 264 Class S1 | CMO Series 264 Class S1 |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.836% <br>Cap 5.950% <br>07/15/2042<br>| &nbsp;&nbsp; 1.463% | 2642026 | &nbsp;&nbsp; 267224 |
| CMO Series 318 Class S1 | CMO Series 318 Class S1 | CMO Series 318 Class S1 | CMO Series 318 Class S1 |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.836% <br>Cap 5.950% <br>11/15/2043<br>| &nbsp;&nbsp; 1.463% | 5439987 | &nbsp;&nbsp; 610533 |
| CMO Series 4286 Class NS | CMO Series 4286 Class NS | CMO Series 4286 Class NS | CMO Series 4286 Class NS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.786% <br>Cap 5.900% <br>12/15/2043<br>| &nbsp;&nbsp; 1.413% | 1830130 | &nbsp;&nbsp; 229092 |
| CMO Series 4594 Class SA | CMO Series 4594 Class SA | CMO Series 4594 Class SA | CMO Series 4594 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.836% <br>Cap 5.950% <br>06/15/2046<br>| &nbsp;&nbsp; 1.463% | 4195455 | &nbsp;&nbsp; 518682 |

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Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

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Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

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| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 4965 Class KS | CMO Series 4965 Class KS | CMO Series 4965 Class KS | CMO Series 4965 Class KS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.736% <br>Cap 5.850% <br>04/25/2050<br>| &nbsp;&nbsp; 1.380% | 2669419 | &nbsp;&nbsp; 322778 |
| CMO Series 4987 Class KS | CMO Series 4987 Class KS | CMO Series 4987 Class KS | CMO Series 4987 Class KS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.194% <br>Cap 6.080% <br>06/25/2050<br>| &nbsp;&nbsp; 1.610% | 5490767 | &nbsp;&nbsp; 840825 |
| CMO Series 4993 Class MS | CMO Series 4993 Class MS | CMO Series 4993 Class MS | CMO Series 4993 Class MS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>07/25/2050<br>| &nbsp;&nbsp; 1.580% | 6915410 | &nbsp;&nbsp; 1082018 |
| CMO STRIPS Series 309 Class S4 | CMO STRIPS Series 309 Class S4 | CMO STRIPS Series 309 Class S4 | CMO STRIPS Series 309 Class S4 |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.856% <br>Cap 5.970% <br>08/15/2043<br>| &nbsp;&nbsp; 1.483% | 1498063 | &nbsp;&nbsp; 164924 |
| CMO STRIPS Series 326 Class S1 | CMO STRIPS Series 326 Class S1 | CMO STRIPS Series 326 Class S1 | CMO STRIPS Series 326 Class S1 |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.886% <br>Cap 6.000% <br>03/15/2044<br>| &nbsp;&nbsp; 1.513% | 616531 | &nbsp;&nbsp; 66496 |
| Federal Home Loan Mortgage Corp.<sup>(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(d)</sup>  |
| CMO Series 266 | CMO Series 266 | CMO Series 266 | CMO Series 266 |
| 07/15/2042 | &nbsp;&nbsp; 4.000% | 1551451 | &nbsp;&nbsp; 282114 |
| CMO Series 267 | CMO Series 267 | CMO Series 267 | CMO Series 267 |
| 08/15/2042 | &nbsp;&nbsp; 4.000% | 1258944 | &nbsp;&nbsp; 230590 |
| CMO Series 4139 Class CI | CMO Series 4139 Class CI | CMO Series 4139 Class CI | CMO Series 4139 Class CI |
| 05/15/2042 | &nbsp;&nbsp; 3.500% | 620357 | &nbsp;&nbsp; 38818 |
| CMO Series 4147 Class CI | CMO Series 4147 Class CI | CMO Series 4147 Class CI | CMO Series 4147 Class CI |
| 01/15/2041 | &nbsp;&nbsp; 3.500% | 193637 | &nbsp;&nbsp; 1318 |
| CMO Series 4177 Class IY | CMO Series 4177 Class IY | CMO Series 4177 Class IY | CMO Series 4177 Class IY |
| 03/15/2043 | &nbsp;&nbsp; 4.000% | 3040824 | &nbsp;&nbsp; 432205 |
| Federal Home Loan Mortgage Corp.<sup>(c),(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(c),(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(c),(d)</sup>  | Federal Home Loan Mortgage Corp.<sup>(c),(d)</sup>  |
| CMO Series 4068 Class GI | CMO Series 4068 Class GI | CMO Series 4068 Class GI | CMO Series 4068 Class GI |
| 09/15/2036 | &nbsp;&nbsp; 2.117% | 906194 | &nbsp;&nbsp; 97995 |
| Federal Home Loan Mortgage Corp. REMICS<sup>(b),(d)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(b),(d)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(b),(d)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(b),(d)</sup>  |
| CMO Series 4983 Class SY | CMO Series 4983 Class SY | CMO Series 4983 Class SY | CMO Series 4983 Class SY |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.986% <br>Cap 6.100% <br>05/25/2050<br>| &nbsp;&nbsp; 1.630% | 12386035 | &nbsp;&nbsp; 1801728 |
| CMO Series 5345 Class SE | CMO Series 5345 Class SE | CMO Series 5345 Class SE | CMO Series 5345 Class SE |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.886% <br>Cap 6.000% <br>01/15/2048<br>| &nbsp;&nbsp; 1.513% | 16762272 | &nbsp;&nbsp; 1869330 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Federal Home Loan Mortgage Corp. REMICS<sup>(d)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(d)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(d)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(d)</sup>  |
| CMO Series 5105 Class ID | CMO Series 5105 Class ID | CMO Series 5105 Class ID | CMO Series 5105 Class ID |
| 05/25/2051 | &nbsp;&nbsp; 3.000% | 8844483 | &nbsp;&nbsp; 1453609 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 03/01/2027- <br>01/01/2052<br>| &nbsp;&nbsp; 2.500% | 99836515 | &nbsp;&nbsp; 87041048 |
| &nbsp;&nbsp; 03/01/2027- <br>08/01/2052<br>| &nbsp;&nbsp; 3.500% | 52703508 | &nbsp;&nbsp; 49018766 |
| &nbsp;&nbsp; 05/01/2027- <br>03/01/2053<br>| &nbsp;&nbsp; 3.000% | 73111155 | &nbsp;&nbsp; 65412323 |
| &nbsp;&nbsp; 06/01/2036- <br>03/01/2052<br>| &nbsp;&nbsp; 2.000% | 104027714 | &nbsp;&nbsp; 85853125 |
| &nbsp;&nbsp; 05/01/2039- <br>05/01/2048<br>| &nbsp;&nbsp; 4.500% | 7994416 | &nbsp;&nbsp; 7919713 |
| &nbsp;&nbsp; 11/01/2043- <br>08/01/2052<br>| &nbsp;&nbsp; 4.000% | 33966988 | &nbsp;&nbsp; 32610969 |
| &nbsp;&nbsp; 06/01/2053- <br>11/01/2054<br>| &nbsp;&nbsp; 5.000% | 44916253 | &nbsp;&nbsp; 44875201 |
| &nbsp;&nbsp; 07/01/2054- <br>08/01/2055<br>| &nbsp;&nbsp; 6.000% | 38074310 | &nbsp;&nbsp; 39070616 |
| CMO Series 2017-72 Class B | CMO Series 2017-72 Class B | CMO Series 2017-72 Class B | CMO Series 2017-72 Class B |
| 09/25/2047 | &nbsp;&nbsp; 3.000% | 1874782 | &nbsp;&nbsp; 1755292 |
| Federal National Mortgage Association<sup>(b)</sup>  | Federal National Mortgage Association<sup>(b)</sup>  | Federal National Mortgage Association<sup>(b)</sup>  | Federal National Mortgage Association<sup>(b)</sup>  |
| &nbsp;&nbsp; 6-month Term SOFR + 1.383% <br>Floor 1.383%, Cap 9.383% <br>02/01/2033<br>| &nbsp;&nbsp; 6.008% | 6370 | &nbsp;&nbsp; 6425 |
| &nbsp;&nbsp; 12-month Term SOFR + 1.694% <br>Floor 1.694%, Cap 8.944% <br>12/01/2033<br>| &nbsp;&nbsp; 6.569% | 837 | &nbsp;&nbsp; 861 |
| &nbsp;&nbsp; 12-month Term SOFR + 1.584% <br>Floor 1.584%, Cap 9.151% <br>06/01/2034<br>| &nbsp;&nbsp; 6.334% | 9939 | &nbsp;&nbsp; 10059 |
| Federal National Mortgage Association<sup>(f)</sup>  | Federal National Mortgage Association<sup>(f)</sup>  | Federal National Mortgage Association<sup>(f)</sup>  | Federal National Mortgage Association<sup>(f)</sup>  |
| 12/01/2050 | &nbsp;&nbsp; 2.000% | 20906821 | &nbsp;&nbsp; 16991723 |
| Federal National Mortgage Association<sup>(c)</sup>  | Federal National Mortgage Association<sup>(c)</sup>  | Federal National Mortgage Association<sup>(c)</sup>  | Federal National Mortgage Association<sup>(c)</sup>  |
| CMO Series 2003-W11 Class A1 | CMO Series 2003-W11 Class A1 | CMO Series 2003-W11 Class A1 | CMO Series 2003-W11 Class A1 |
| 06/25/2033 | &nbsp;&nbsp; 7.425% | 489 | &nbsp;&nbsp; 496 |
| Federal National Mortgage Association<sup>(c),(d)</sup>  | Federal National Mortgage Association<sup>(c),(d)</sup>  | Federal National Mortgage Association<sup>(c),(d)</sup>  | Federal National Mortgage Association<sup>(c),(d)</sup>  |
| CMO Series 2006-5 Class N1 | CMO Series 2006-5 Class N1 | CMO Series 2006-5 Class N1 | CMO Series 2006-5 Class N1 |
| 08/25/2034 | &nbsp;&nbsp; 0.000% | 988073 | &nbsp;&nbsp; 10 |
| Federal National Mortgage Association<sup>(d)</sup>  | Federal National Mortgage Association<sup>(d)</sup>  | Federal National Mortgage Association<sup>(d)</sup>  | Federal National Mortgage Association<sup>(d)</sup>  |
| CMO Series 2012-129 Class IC | CMO Series 2012-129 Class IC | CMO Series 2012-129 Class IC | CMO Series 2012-129 Class IC |
| 01/25/2041 | &nbsp;&nbsp; 3.500% | 186101 | &nbsp;&nbsp; 2340 |
| CMO Series 2012-144 Class HI | CMO Series 2012-144 Class HI | CMO Series 2012-144 Class HI | CMO Series 2012-144 Class HI |
| 07/25/2042 | &nbsp;&nbsp; 3.500% | 567453 | &nbsp;&nbsp; 43490 |
| CMO Series 2012-40 Class IP | CMO Series 2012-40 Class IP | CMO Series 2012-40 Class IP | CMO Series 2012-40 Class IP |
| 09/25/2040 | &nbsp;&nbsp; 4.000% | 742677 | &nbsp;&nbsp; 21188 |
| CMO Series 2013-1 Class AI | CMO Series 2013-1 Class AI | CMO Series 2013-1 Class AI | CMO Series 2013-1 Class AI |
| 02/25/2043 | &nbsp;&nbsp; 3.500% | 742163 | &nbsp;&nbsp; 104132 |
| CMO Series 2013-10 Class AI | CMO Series 2013-10 Class AI | CMO Series 2013-10 Class AI | CMO Series 2013-10 Class AI |
| 11/25/2041 | &nbsp;&nbsp; 3.500% | 1210509 | &nbsp;&nbsp; 37903 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2020-55 Class MI | CMO Series 2020-55 Class MI | CMO Series 2020-55 Class MI | CMO Series 2020-55 Class MI |
| 08/25/2050 | &nbsp;&nbsp; 2.500% | 9465977 | &nbsp;&nbsp; 1571334 |
| CMO Series 2021-3 Class TI | CMO Series 2021-3 Class TI | CMO Series 2021-3 Class TI | CMO Series 2021-3 Class TI |
| 02/25/2051 | &nbsp;&nbsp; 2.500% | 34508469 | &nbsp;&nbsp; 5873238 |
| Federal National Mortgage Association<sup>(b),(d)</sup>  | Federal National Mortgage Association<sup>(b),(d)</sup>  | Federal National Mortgage Association<sup>(b),(d)</sup>  | Federal National Mortgage Association<sup>(b),(d)</sup>  |
| CMO Series 2012-99 Class SL | CMO Series 2012-99 Class SL | CMO Series 2012-99 Class SL | CMO Series 2012-99 Class SL |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.506% <br>Cap 6.620% <br>09/25/2042<br>| &nbsp;&nbsp; 2.150% | 2947783 | &nbsp;&nbsp; 442199 |
| CMO Series 2014-93 Class ES | CMO Series 2014-93 Class ES | CMO Series 2014-93 Class ES | CMO Series 2014-93 Class ES |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.036% <br>Cap 6.150% <br>01/25/2045<br>| &nbsp;&nbsp; 1.680% | 1879424 | &nbsp;&nbsp; 239487 |
| CMO Series 2016-37 Class SA | CMO Series 2016-37 Class SA | CMO Series 2016-37 Class SA | CMO Series 2016-37 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.736% <br>Cap 5.850% <br>06/25/2046<br>| &nbsp;&nbsp; 1.380% | 2504988 | &nbsp;&nbsp; 282385 |
| CMO Series 2016-42 Class SB | CMO Series 2016-42 Class SB | CMO Series 2016-42 Class SB | CMO Series 2016-42 Class SB |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.886% <br>Cap 6.000% <br>07/25/2046<br>| &nbsp;&nbsp; 1.530% | 6354746 | &nbsp;&nbsp; 812866 |
| CMO Series 2017-3 Class SA | CMO Series 2017-3 Class SA | CMO Series 2017-3 Class SA | CMO Series 2017-3 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.886% <br>Cap 6.000% <br>02/25/2047<br>| &nbsp;&nbsp; 1.530% | 4749916 | &nbsp;&nbsp; 585844 |
| CMO Series 2017-51 Class SC | CMO Series 2017-51 Class SC | CMO Series 2017-51 Class SC | CMO Series 2017-51 Class SC |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.036% <br>Cap 6.150% <br>07/25/2047<br>| &nbsp;&nbsp; 1.680% | 4798367 | &nbsp;&nbsp; 596675 |
| CMO Series 2017-72 Class S | CMO Series 2017-72 Class S | CMO Series 2017-72 Class S | CMO Series 2017-72 Class S |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 3.836% <br>Cap 2.750% <br>09/25/2047<br>| &nbsp;&nbsp; 0.000% | 11441727 | &nbsp;&nbsp; 463317 |
| CMO Series 2017-90 Class SP | CMO Series 2017-90 Class SP | CMO Series 2017-90 Class SP | CMO Series 2017-90 Class SP |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.036% <br>Cap 6.150% <br>11/25/2047<br>| &nbsp;&nbsp; 1.680% | 2517093 | &nbsp;&nbsp; 326927 |
| CMO Series 2019-33 Class SB | CMO Series 2019-33 Class SB | CMO Series 2019-33 Class SB | CMO Series 2019-33 Class SB |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>07/25/2049<br>| &nbsp;&nbsp; 1.580% | 7466714 | &nbsp;&nbsp; 902265 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2019-34 Class SM | CMO Series 2019-34 Class SM | CMO Series 2019-34 Class SM | CMO Series 2019-34 Class SM |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>07/25/2049<br>| &nbsp;&nbsp; 1.580% | 6406204 | &nbsp;&nbsp; 874102 |
| CMO Series 2020-40 Class LS | CMO Series 2020-40 Class LS | CMO Series 2020-40 Class LS | CMO Series 2020-40 Class LS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.966% <br>Cap 6.080% <br>06/25/2050<br>| &nbsp;&nbsp; 1.610% | 7975181 | &nbsp;&nbsp; 1259352 |
| Federal National Mortgage Association REMICS<sup>(b),(d)</sup>  | Federal National Mortgage Association REMICS<sup>(b),(d)</sup>  | Federal National Mortgage Association REMICS<sup>(b),(d)</sup>  | Federal National Mortgage Association REMICS<sup>(b),(d)</sup>  |
| CMO Series 2016-1 Class SJ | CMO Series 2016-1 Class SJ | CMO Series 2016-1 Class SJ | CMO Series 2016-1 Class SJ |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.036% <br>Cap 6.150% <br>02/25/2046<br>| &nbsp;&nbsp; 1.680% | 6408835 | &nbsp;&nbsp; 751028 |
| Federal National Mortgage Association REMICS<sup>(d)</sup>  | Federal National Mortgage Association REMICS<sup>(d)</sup>  | Federal National Mortgage Association REMICS<sup>(d)</sup>  | Federal National Mortgage Association REMICS<sup>(d)</sup>  |
| CMO Series 2021-13 Class IO | CMO Series 2021-13 Class IO | CMO Series 2021-13 Class IO | CMO Series 2021-13 Class IO |
| 03/25/2051 | &nbsp;&nbsp; 3.000% | 6069961 | &nbsp;&nbsp; 1026347 |
| CMO Series 2021-54 Class LI | CMO Series 2021-54 Class LI | CMO Series 2021-54 Class LI | CMO Series 2021-54 Class LI |
| 04/25/2049 | &nbsp;&nbsp; 2.500% | 9339635 | &nbsp;&nbsp; 1300551 |
| Freddie Mac REMICS | Freddie Mac REMICS | Freddie Mac REMICS | Freddie Mac REMICS |
| CMO Series 5104 Class LH | CMO Series 5104 Class LH | CMO Series 5104 Class LH | CMO Series 5104 Class LH |
| 06/25/2049 | &nbsp;&nbsp; 2.000% | 2556946 | &nbsp;&nbsp; 2149334 |
| Freddie Mac REMICS<sup>(d)</sup>  | Freddie Mac REMICS<sup>(d)</sup>  | Freddie Mac REMICS<sup>(d)</sup>  | Freddie Mac REMICS<sup>(d)</sup>  |
| CMO Series 5177 Class PI | CMO Series 5177 Class PI | CMO Series 5177 Class PI | CMO Series 5177 Class PI |
| 12/25/2051 | &nbsp;&nbsp; 2.500% | 10487524 | &nbsp;&nbsp; 1049489 |
| Freddie Mac REMICS<sup>(b),(d)</sup>  | Freddie Mac REMICS<sup>(b),(d)</sup>  | Freddie Mac REMICS<sup>(b),(d)</sup>  | Freddie Mac REMICS<sup>(b),(d)</sup>  |
| CMO Series 5371 Class S | CMO Series 5371 Class S | CMO Series 5371 Class S | CMO Series 5371 Class S |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>08/15/2048<br>| &nbsp;&nbsp; 1.563% | 11028933 | &nbsp;&nbsp; 1300499 |
| CMO Series 5544 Class SC | CMO Series 5544 Class SC | CMO Series 5544 Class SC | CMO Series 5544 Class SC |
| &nbsp;&nbsp; 30-day Average SOFR + 7.000% <br>Cap 7.000% <br>06/25/2055<br>| &nbsp;&nbsp; 2.644% | 14553918 | &nbsp;&nbsp; 2010801 |
| CMO Series 5547 Class SE | CMO Series 5547 Class SE | CMO Series 5547 Class SE | CMO Series 5547 Class SE |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.100% <br>Cap 5.100% <br>06/25/2055<br>| &nbsp;&nbsp; 0.744% | 21226983 | &nbsp;&nbsp; 1271356 |
| Freddie Mac REMICS<sup>(b)</sup>  | Freddie Mac REMICS<sup>(b)</sup>  | Freddie Mac REMICS<sup>(b)</sup>  | Freddie Mac REMICS<sup>(b)</sup>  |
| CMO Series 5513 Class MQ | CMO Series 5513 Class MQ | CMO Series 5513 Class MQ | CMO Series 5513 Class MQ |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>06/25/2054<br>| &nbsp;&nbsp; 8.082% | 8206677 | &nbsp;&nbsp; 8481172 |
| CMO Series 5513 Class MU | CMO Series 5513 Class MU | CMO Series 5513 Class MU | CMO Series 5513 Class MU |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>11/25/2054<br>| &nbsp;&nbsp; 8.082% | 16987068 | &nbsp;&nbsp; 17603160 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 5517 Class HT | CMO Series 5517 Class HT | CMO Series 5517 Class HT | CMO Series 5517 Class HT |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Floor 3.950%, Cap 8.250% <br>03/25/2055<br>| &nbsp;&nbsp; 8.082% | 7255002 | &nbsp;&nbsp; 7462358 |
| CMO Series 5518 Class FC | CMO Series 5518 Class FC | CMO Series 5518 Class FC | CMO Series 5518 Class FC |
| &nbsp;&nbsp; 30-day Average SOFR + 1.320% <br>Floor 1.320%, Cap 6.500% <br>03/25/2055<br>| &nbsp;&nbsp; 5.676% | 7922259 | &nbsp;&nbsp; 7946831 |
| CMO Series 5532 Class MB | CMO Series 5532 Class MB | CMO Series 5532 Class MB | CMO Series 5532 Class MB |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>04/25/2055<br>| &nbsp;&nbsp; 8.082% | 14717081 | &nbsp;&nbsp; 15134961 |
| CMO Series 5533 Class F | CMO Series 5533 Class F | CMO Series 5533 Class F | CMO Series 5533 Class F |
| &nbsp;&nbsp; 30-day Average SOFR + 3.450% <br>Floor 3.450%, Cap 7.950% <br>04/25/2055<br>| &nbsp;&nbsp; 7.806% | 12447694 | &nbsp;&nbsp; 12789168 |
| CMO Series 5534 Class FD | CMO Series 5534 Class FD | CMO Series 5534 Class FD | CMO Series 5534 Class FD |
| &nbsp;&nbsp; 30-day Average SOFR + 1.250% <br>Floor 1.250%, Cap 6.500% <br>05/25/2055<br>| &nbsp;&nbsp; 5.606% | 9399290 | &nbsp;&nbsp; 9405214 |
| CMO Series 5542 Class F | CMO Series 5542 Class F | CMO Series 5542 Class F | CMO Series 5542 Class F |
| &nbsp;&nbsp; 30-day Average SOFR + 4.300% <br>05/25/2055<br>| &nbsp;&nbsp; 8.232% | 8459361 | &nbsp;&nbsp; 8648872 |
| CMO Series 5548 Class F | CMO Series 5548 Class F | CMO Series 5548 Class F | CMO Series 5548 Class F |
| &nbsp;&nbsp; 30-day Average SOFR + 4.600% <br>Cap 8.700% <br>06/25/2055<br>| &nbsp;&nbsp; 7.932% | 12425928 | &nbsp;&nbsp; 12429791 |
| CMO Series 5563 Class FT | CMO Series 5563 Class FT | CMO Series 5563 Class FT | CMO Series 5563 Class FT |
| &nbsp;&nbsp; 30-day Average SOFR + 1.350% <br>Floor 1.350%, Cap 6.500% <br>08/25/2055<br>| &nbsp;&nbsp; 5.706% | 14930734 | &nbsp;&nbsp; 14974769 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| 08/20/2040 | &nbsp;&nbsp; 5.000% | 1364644 | &nbsp;&nbsp; 1395806 |
| 07/20/2041 | &nbsp;&nbsp; 4.500% | 1793823 | &nbsp;&nbsp; 1804448 |
| &nbsp;&nbsp; 04/20/2051- <br>05/20/2051<br>| &nbsp;&nbsp; 2.500% | 17813137 | &nbsp;&nbsp; 15122779 |
| 08/20/2052 | &nbsp;&nbsp; 4.000% | 7287639 | &nbsp;&nbsp; 6840783 |
| CMO Series 2024-30 Class TQ | CMO Series 2024-30 Class TQ | CMO Series 2024-30 Class TQ | CMO Series 2024-30 Class TQ |
| 02/20/2064 | &nbsp;&nbsp; 5.000% | 3103575 | &nbsp;&nbsp; 3124032 |
| CMO Series 2024-80 Class DT | CMO Series 2024-80 Class DT | CMO Series 2024-80 Class DT | CMO Series 2024-80 Class DT |
| 05/20/2064 | &nbsp;&nbsp; 3.000% | 5457990 | &nbsp;&nbsp; 4784005 |
| CMO Series 2024-80 Class PT | CMO Series 2024-80 Class PT | CMO Series 2024-80 Class PT | CMO Series 2024-80 Class PT |
| 05/20/2064 | &nbsp;&nbsp; 3.500% | 8750518 | &nbsp;&nbsp; 8048244 |
| Government National Mortgage Association<sup>(f)</sup>  | Government National Mortgage Association<sup>(f)</sup>  | Government National Mortgage Association<sup>(f)</sup>  | Government National Mortgage Association<sup>(f)</sup>  |
| 04/20/2048 | &nbsp;&nbsp; 4.500% | 3153362 | &nbsp;&nbsp; 3117697 |
| Government National Mortgage Association<sup>(d)</sup>  | Government National Mortgage Association<sup>(d)</sup>  | Government National Mortgage Association<sup>(d)</sup>  | Government National Mortgage Association<sup>(d)</sup>  |
| CMO Series 2012-121 Class PI | CMO Series 2012-121 Class PI | CMO Series 2012-121 Class PI | CMO Series 2012-121 Class PI |
| 09/16/2042 | &nbsp;&nbsp; 4.500% | 847554 | &nbsp;&nbsp; 115108 |
| CMO Series 2014-131 Class EI | CMO Series 2014-131 Class EI | CMO Series 2014-131 Class EI | CMO Series 2014-131 Class EI |
| 09/16/2039 | &nbsp;&nbsp; 4.000% | 1250824 | &nbsp;&nbsp; 70610 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2020-138 Class IN | CMO Series 2020-138 Class IN | CMO Series 2020-138 Class IN | CMO Series 2020-138 Class IN |
| 09/20/2050 | &nbsp;&nbsp; 2.500% | 5676576 | &nbsp;&nbsp; 968937 |
| CMO Series 2020-138 Class JI | CMO Series 2020-138 Class JI | CMO Series 2020-138 Class JI | CMO Series 2020-138 Class JI |
| 09/20/2050 | &nbsp;&nbsp; 2.500% | 14025282 | &nbsp;&nbsp; 2063712 |
| CMO Series 2020-191 Class UC | CMO Series 2020-191 Class UC | CMO Series 2020-191 Class UC | CMO Series 2020-191 Class UC |
| 12/20/2050 | &nbsp;&nbsp; 4.000% | 8932901 | &nbsp;&nbsp; 1992471 |
| CMO Series 2021-1 Class IB | CMO Series 2021-1 Class IB | CMO Series 2021-1 Class IB | CMO Series 2021-1 Class IB |
| 01/20/2051 | &nbsp;&nbsp; 2.500% | 9287911 | &nbsp;&nbsp; 1377891 |
| CMO Series 2021-1 Class QI | CMO Series 2021-1 Class QI | CMO Series 2021-1 Class QI | CMO Series 2021-1 Class QI |
| 01/20/2051 | &nbsp;&nbsp; 2.500% | 10743791 | &nbsp;&nbsp; 1576498 |
| CMO Series 2021-122 Class HI | CMO Series 2021-122 Class HI | CMO Series 2021-122 Class HI | CMO Series 2021-122 Class HI |
| 11/20/2050 | &nbsp;&nbsp; 2.500% | 7311823 | &nbsp;&nbsp; 1001535 |
| CMO Series 2021-142 Class IX | CMO Series 2021-142 Class IX | CMO Series 2021-142 Class IX | CMO Series 2021-142 Class IX |
| 08/20/2051 | &nbsp;&nbsp; 2.500% | 10400926 | &nbsp;&nbsp; 1430071 |
| CMO Series 2021-146 Class IK | CMO Series 2021-146 Class IK | CMO Series 2021-146 Class IK | CMO Series 2021-146 Class IK |
| 08/20/2051 | &nbsp;&nbsp; 3.500% | 8989152 | &nbsp;&nbsp; 1694126 |
| CMO Series 2021-158 Class VI | CMO Series 2021-158 Class VI | CMO Series 2021-158 Class VI | CMO Series 2021-158 Class VI |
| 09/20/2051 | &nbsp;&nbsp; 3.000% | 7509195 | &nbsp;&nbsp; 1198997 |
| CMO Series 2021-159 Class IP | CMO Series 2021-159 Class IP | CMO Series 2021-159 Class IP | CMO Series 2021-159 Class IP |
| 09/20/2051 | &nbsp;&nbsp; 3.000% | 5593973 | &nbsp;&nbsp; 875915 |
| CMO Series 2021-228 Class IJ | CMO Series 2021-228 Class IJ | CMO Series 2021-228 Class IJ | CMO Series 2021-228 Class IJ |
| 12/20/2051 | &nbsp;&nbsp; 2.500% | 10932542 | &nbsp;&nbsp; 1624965 |
| CMO Series 2021-27 Class IN | CMO Series 2021-27 Class IN | CMO Series 2021-27 Class IN | CMO Series 2021-27 Class IN |
| 02/20/2051 | &nbsp;&nbsp; 2.500% | 6231400 | &nbsp;&nbsp; 911991 |
| CMO Series 2021-67 Class GI | CMO Series 2021-67 Class GI | CMO Series 2021-67 Class GI | CMO Series 2021-67 Class GI |
| 04/20/2051 | &nbsp;&nbsp; 3.000% | 8775305 | &nbsp;&nbsp; 1482404 |
| CMO Series 2021-8 Class BI | CMO Series 2021-8 Class BI | CMO Series 2021-8 Class BI | CMO Series 2021-8 Class BI |
| 01/20/2051 | &nbsp;&nbsp; 2.500% | 10508215 | &nbsp;&nbsp; 1903369 |
| Government National Mortgage Association<sup>(b),(d)</sup>  | Government National Mortgage Association<sup>(b),(d)</sup>  | Government National Mortgage Association<sup>(b),(d)</sup>  | Government National Mortgage Association<sup>(b),(d)</sup>  |
| CMO Series 2014-131 Class BS | CMO Series 2014-131 Class BS | CMO Series 2014-131 Class BS | CMO Series 2014-131 Class BS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>09/16/2044<br>| &nbsp;&nbsp; 1.939% | 1658801 | &nbsp;&nbsp; 230013 |
| CMO Series 2017-170 Class QS | CMO Series 2017-170 Class QS | CMO Series 2017-170 Class QS | CMO Series 2017-170 Class QS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>11/20/2047<br>| &nbsp;&nbsp; 1.950% | 2523694 | &nbsp;&nbsp; 326459 |
| CMO Series 2018-1 Class SA | CMO Series 2018-1 Class SA | CMO Series 2018-1 Class SA | CMO Series 2018-1 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>01/20/2048<br>| &nbsp;&nbsp; 1.950% | 1772227 | &nbsp;&nbsp; 243088 |
| CMO Series 2018-105 Class SA | CMO Series 2018-105 Class SA | CMO Series 2018-105 Class SA | CMO Series 2018-105 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>08/20/2048<br>| &nbsp;&nbsp; 1.950% | 2226656 | &nbsp;&nbsp; 264274 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2018-139 Class KS | CMO Series 2018-139 Class KS | CMO Series 2018-139 Class KS | CMO Series 2018-139 Class KS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.036% <br>Cap 6.150% <br>10/20/2048<br>| &nbsp;&nbsp; 1.900% | 3698502 | &nbsp;&nbsp; 481194 |
| CMO Series 2018-155 Class LS | CMO Series 2018-155 Class LS | CMO Series 2018-155 Class LS | CMO Series 2018-155 Class LS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.036% <br>Cap 6.150% <br>11/20/2048<br>| &nbsp;&nbsp; 1.900% | 3126186 | &nbsp;&nbsp; 354573 |
| CMO Series 2018-21 Class WS | CMO Series 2018-21 Class WS | CMO Series 2018-21 Class WS | CMO Series 2018-21 Class WS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>02/20/2048<br>| &nbsp;&nbsp; 1.950% | 2847363 | &nbsp;&nbsp; 438627 |
| CMO Series 2018-36 Class SG | CMO Series 2018-36 Class SG | CMO Series 2018-36 Class SG | CMO Series 2018-36 Class SG |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>03/20/2048<br>| &nbsp;&nbsp; 1.950% | 14776036 | &nbsp;&nbsp; 2141826 |
| CMO Series 2018-40 Class SC | CMO Series 2018-40 Class SC | CMO Series 2018-40 Class SC | CMO Series 2018-40 Class SC |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>03/20/2048<br>| &nbsp;&nbsp; 1.950% | 1527330 | &nbsp;&nbsp; 196653 |
| CMO Series 2018-63 Class HS | CMO Series 2018-63 Class HS | CMO Series 2018-63 Class HS | CMO Series 2018-63 Class HS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>04/20/2048<br>| &nbsp;&nbsp; 1.950% | 2188692 | &nbsp;&nbsp; 283324 |
| CMO Series 2018-94 Class SA | CMO Series 2018-94 Class SA | CMO Series 2018-94 Class SA | CMO Series 2018-94 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>05/20/2048<br>| &nbsp;&nbsp; 1.950% | 2950004 | &nbsp;&nbsp; 443540 |
| CMO Series 2018-97 Class MS | CMO Series 2018-97 Class MS | CMO Series 2018-97 Class MS | CMO Series 2018-97 Class MS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>07/20/2048<br>| &nbsp;&nbsp; 1.950% | 2489604 | &nbsp;&nbsp; 298481 |
| CMO Series 2019-117 Class SA | CMO Series 2019-117 Class SA | CMO Series 2019-117 Class SA | CMO Series 2019-117 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>09/20/2049<br>| &nbsp;&nbsp; 1.850% | 6317024 | &nbsp;&nbsp; 813511 |
| CMO Series 2019-22 Class SM | CMO Series 2019-22 Class SM | CMO Series 2019-22 Class SM | CMO Series 2019-22 Class SM |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>02/20/2049<br>| &nbsp;&nbsp; 1.800% | 8534195 | &nbsp;&nbsp; 1067139 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2019-23 Class SQ | CMO Series 2019-23 Class SQ | CMO Series 2019-23 Class SQ | CMO Series 2019-23 Class SQ |
| &nbsp;&nbsp; 1-month Term SOFR + 6.164% <br>Cap 6.050% <br>02/20/2049<br>| &nbsp;&nbsp; 1.800% | 2868458 | &nbsp;&nbsp; 397308 |
| CMO Series 2019-43 Class SE | CMO Series 2019-43 Class SE | CMO Series 2019-43 Class SE | CMO Series 2019-43 Class SE |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>04/20/2049<br>| &nbsp;&nbsp; 1.850% | 4986392 | &nbsp;&nbsp; 550871 |
| CMO Series 2019-52 Class AS | CMO Series 2019-52 Class AS | CMO Series 2019-52 Class AS | CMO Series 2019-52 Class AS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>04/16/2049<br>| &nbsp;&nbsp; 1.789% | 6866212 | &nbsp;&nbsp; 1040058 |
| CMO Series 2019-92 Class SD | CMO Series 2019-92 Class SD | CMO Series 2019-92 Class SD | CMO Series 2019-92 Class SD |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>07/20/2049<br>| &nbsp;&nbsp; 1.850% | 12586401 | &nbsp;&nbsp; 1610902 |
| CMO Series 2019-97 Class GS | CMO Series 2019-97 Class GS | CMO Series 2019-97 Class GS | CMO Series 2019-97 Class GS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>08/20/2049<br>| &nbsp;&nbsp; 1.850% | 29279584 | &nbsp;&nbsp; 3742227 |
| CMO Series 2020-104 Class SA | CMO Series 2020-104 Class SA | CMO Series 2020-104 Class SA | CMO Series 2020-104 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>07/20/2050<br>| &nbsp;&nbsp; 1.950% | 5338551 | &nbsp;&nbsp; 692682 |
| CMO Series 2020-125 Class SD | CMO Series 2020-125 Class SD | CMO Series 2020-125 Class SD | CMO Series 2020-125 Class SD |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.136% <br>Cap 6.250% <br>08/20/2050<br>| &nbsp;&nbsp; 2.000% | 6644521 | &nbsp;&nbsp; 955629 |
| CMO Series 2020-133 Class SK | CMO Series 2020-133 Class SK | CMO Series 2020-133 Class SK | CMO Series 2020-133 Class SK |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>09/20/2050<br>| &nbsp;&nbsp; 2.050% | 12080020 | &nbsp;&nbsp; 1782076 |
| CMO Series 2020-77 Class GS | CMO Series 2020-77 Class GS | CMO Series 2020-77 Class GS | CMO Series 2020-77 Class GS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>05/20/2049<br>| &nbsp;&nbsp; 1.800% | 6526891 | &nbsp;&nbsp; 629676 |
| CMO Series 2020-79 Class S | CMO Series 2020-79 Class S | CMO Series 2020-79 Class S | CMO Series 2020-79 Class S |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>06/20/2050<br>| &nbsp;&nbsp; 1.850% | 5795184 | &nbsp;&nbsp; 775303 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2021-117 Class ES | CMO Series 2021-117 Class ES | CMO Series 2021-117 Class ES | CMO Series 2021-117 Class ES |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>07/20/2051<br>| &nbsp;&nbsp; 2.050% | 10679235 | &nbsp;&nbsp; 1521401 |
| CMO Series 2021-117B Class AS | CMO Series 2021-117B Class AS | CMO Series 2021-117B Class AS | CMO Series 2021-117B Class AS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>07/20/2051<br>| &nbsp;&nbsp; 2.050% | 14626817 | &nbsp;&nbsp; 2009213 |
| CMO Series 2021-161 Class SM | CMO Series 2021-161 Class SM | CMO Series 2021-161 Class SM | CMO Series 2021-161 Class SM |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>09/20/2051<br>| &nbsp;&nbsp; 2.050% | 11091704 | &nbsp;&nbsp; 1647762 |
| CMO Series 2021-193 Class ES | CMO Series 2021-193 Class ES | CMO Series 2021-193 Class ES | CMO Series 2021-193 Class ES |
| &nbsp;&nbsp; 30-day Average SOFR + 1.700% <br>11/20/2051<br>| &nbsp;&nbsp; 0.000% | 62533300 | &nbsp;&nbsp; 164950 |
| CMO Series 2021-46 Class SE | CMO Series 2021-46 Class SE | CMO Series 2021-46 Class SE | CMO Series 2021-46 Class SE |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>03/20/2051<br>| &nbsp;&nbsp; 2.050% | 10872722 | &nbsp;&nbsp; 1451517 |
| CMO Series 2022-126 Class SN | CMO Series 2022-126 Class SN | CMO Series 2022-126 Class SN | CMO Series 2022-126 Class SN |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.970% <br>Cap 5.970% <br>07/20/2052<br>| &nbsp;&nbsp; 1.581% | 11337736 | &nbsp;&nbsp; 1306868 |
| CMO Series 2022-128 Class SD | CMO Series 2022-128 Class SD | CMO Series 2022-128 Class SD | CMO Series 2022-128 Class SD |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.980% <br>Cap 5.980% <br>07/20/2052<br>| &nbsp;&nbsp; 1.591% | 10710352 | &nbsp;&nbsp; 1122646 |
| CMO Series 2022-135 Class SC | CMO Series 2022-135 Class SC | CMO Series 2022-135 Class SC | CMO Series 2022-135 Class SC |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.050% <br>Cap 6.050% <br>08/20/2052<br>| &nbsp;&nbsp; 1.661% | 10345619 | &nbsp;&nbsp; 1263262 |
| CMO Series 2022-152 Class SA | CMO Series 2022-152 Class SA | CMO Series 2022-152 Class SA | CMO Series 2022-152 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.050% <br>Cap 6.050% <br>09/20/2052<br>| &nbsp;&nbsp; 1.661% | 17598340 | &nbsp;&nbsp; 1854983 |
| CMO Series 2022-190 Class CS | CMO Series 2022-190 Class CS | CMO Series 2022-190 Class CS | CMO Series 2022-190 Class CS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.050% <br>Cap 6.050% <br>11/20/2049<br>| &nbsp;&nbsp; 1.800% | 12134277 | &nbsp;&nbsp; 1064953 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2023-100 Class KS | CMO Series 2023-100 Class KS | CMO Series 2023-100 Class KS | CMO Series 2023-100 Class KS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.850% <br>Cap 6.850% <br>07/20/2053<br>| &nbsp;&nbsp; 2.461% | 13989230 | &nbsp;&nbsp; 1388802 |
| CMO Series 2023-100 Class SC | CMO Series 2023-100 Class SC | CMO Series 2023-100 Class SC | CMO Series 2023-100 Class SC |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>09/20/2049<br>| &nbsp;&nbsp; 1.800% | 15656664 | &nbsp;&nbsp; 2010468 |
| CMO Series 2023-113 Class HS | CMO Series 2023-113 Class HS | CMO Series 2023-113 Class HS | CMO Series 2023-113 Class HS |
| &nbsp;&nbsp; 1-month Term SOFR + 5.936% <br>Cap 6.050% <br>09/20/2049<br>| &nbsp;&nbsp; 1.800% | 17468481 | &nbsp;&nbsp; 2083607 |
| CMO Series 2023-115 Class SG | CMO Series 2023-115 Class SG | CMO Series 2023-115 Class SG | CMO Series 2023-115 Class SG |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.700% <br>Cap 5.700% <br>08/20/2053<br>| &nbsp;&nbsp; 1.311% | 17393000 | &nbsp;&nbsp; 936898 |
| CMO Series 2023-140 Class LS | CMO Series 2023-140 Class LS | CMO Series 2023-140 Class LS | CMO Series 2023-140 Class LS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.450% <br>Cap 6.450% <br>09/20/2053<br>| &nbsp;&nbsp; 2.061% | 9763099 | &nbsp;&nbsp; 621172 |
| CMO Series 2023-141 Class SQ | CMO Series 2023-141 Class SQ | CMO Series 2023-141 Class SQ | CMO Series 2023-141 Class SQ |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>12/20/2049<br>| &nbsp;&nbsp; 1.800% | 11319451 | &nbsp;&nbsp; 1399049 |
| CMO Series 2023-17 Class NS | CMO Series 2023-17 Class NS | CMO Series 2023-17 Class NS | CMO Series 2023-17 Class NS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.150% <br>Cap 6.150% <br>02/20/2053<br>| &nbsp;&nbsp; 1.761% | 12832948 | &nbsp;&nbsp; 1460405 |
| CMO Series 2023-17 Class SY | CMO Series 2023-17 Class SY | CMO Series 2023-17 Class SY | CMO Series 2023-17 Class SY |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>05/20/2050<br>| &nbsp;&nbsp; 1.800% | 12747766 | &nbsp;&nbsp; 1420393 |
| CMO Series 2023-24 Class JS | CMO Series 2023-24 Class JS | CMO Series 2023-24 Class JS | CMO Series 2023-24 Class JS |
| &nbsp;&nbsp; 30-day Average SOFR + 5.500% <br>Cap 5.500% <br>01/20/2052<br>| &nbsp;&nbsp; 1.111% | 36889839 | &nbsp;&nbsp; 3807784 |
| CMO Series 2023-47 Class AS | CMO Series 2023-47 Class AS | CMO Series 2023-47 Class AS | CMO Series 2023-47 Class AS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.350% <br>Cap 6.350% <br>03/20/2053<br>| &nbsp;&nbsp; 1.961% | 8047295 | &nbsp;&nbsp; 640726 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2023-65 Class HS | CMO Series 2023-65 Class HS | CMO Series 2023-65 Class HS | CMO Series 2023-65 Class HS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.150% <br>Cap 6.150% <br>05/20/2053<br>| &nbsp;&nbsp; 1.761% | 16330850 | &nbsp;&nbsp; 1524286 |
| CMO Series 2023-81 Class SB | CMO Series 2023-81 Class SB | CMO Series 2023-81 Class SB | CMO Series 2023-81 Class SB |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.050% <br>Cap 6.050% <br>06/20/2053<br>| &nbsp;&nbsp; 1.661% | 7067149 | &nbsp;&nbsp; 485999 |
| CMO Series 2024-126 Class SG | CMO Series 2024-126 Class SG | CMO Series 2024-126 Class SG | CMO Series 2024-126 Class SG |
| &nbsp;&nbsp; 30-day Average SOFR + 6.650% <br>Cap 6.650% <br>08/20/2054<br>| &nbsp;&nbsp; 2.261% | 37519599 | &nbsp;&nbsp; 4660478 |
| CMO Series 2024-159 Class CS | CMO Series 2024-159 Class CS | CMO Series 2024-159 Class CS | CMO Series 2024-159 Class CS |
| &nbsp;&nbsp; 30-day Average SOFR + 5.500% <br>Cap 5.500% <br>10/20/2054<br>| &nbsp;&nbsp; 1.111% | 40798407 | &nbsp;&nbsp; 3040432 |
| CMO Series 2024-184 Class SX | CMO Series 2024-184 Class SX | CMO Series 2024-184 Class SX | CMO Series 2024-184 Class SX |
| &nbsp;&nbsp; 30-day Average SOFR + 5.250% <br>Cap 5.250% <br>11/20/2054<br>| &nbsp;&nbsp; 0.861% | 29512299 | &nbsp;&nbsp; 1928478 |
| CMO Series 2024-197 Class LS | CMO Series 2024-197 Class LS | CMO Series 2024-197 Class LS | CMO Series 2024-197 Class LS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.000% <br>Cap 6.000% <br>12/20/2054<br>| &nbsp;&nbsp; 1.611% | 21220032 | &nbsp;&nbsp; 2010882 |
| CMO Series 2024-197 Class SV | CMO Series 2024-197 Class SV | CMO Series 2024-197 Class SV | CMO Series 2024-197 Class SV |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.050% <br>Cap 6.050% <br>12/20/2054<br>| &nbsp;&nbsp; 1.661% | 25402830 | &nbsp;&nbsp; 2966159 |
| CMO Series 2024-64 Class DS | CMO Series 2024-64 Class DS | CMO Series 2024-64 Class DS | CMO Series 2024-64 Class DS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.400% <br>Cap 5.400% <br>04/20/2054<br>| &nbsp;&nbsp; 1.011% | 17716513 | &nbsp;&nbsp; 923324 |
| CMO Series 2024-79 Class SH | CMO Series 2024-79 Class SH | CMO Series 2024-79 Class SH | CMO Series 2024-79 Class SH |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 7.250% <br>Cap 7.250% <br>05/20/2054<br>| &nbsp;&nbsp; 2.861% | 8502752 | &nbsp;&nbsp; 1265766 |
| CMO Series 2024-95 Class SW | CMO Series 2024-95 Class SW | CMO Series 2024-95 Class SW | CMO Series 2024-95 Class SW |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.400% <br>Cap 5.400% <br>06/20/2054<br>| &nbsp;&nbsp; 1.011% | 9416665 | &nbsp;&nbsp; 638158 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Government National Mortgage Association<sup>(b)</sup>  | Government National Mortgage Association<sup>(b)</sup>  | Government National Mortgage Association<sup>(b)</sup>  | Government National Mortgage Association<sup>(b)</sup>  |
| CMO Series 2023-140 Class JS | CMO Series 2023-140 Class JS | CMO Series 2023-140 Class JS | CMO Series 2023-140 Class JS |
| &nbsp;&nbsp; -2.5 x 30-day Average SOFR + <br> 16.050% <br>Cap 16.050% <br>09/20/2053<br>| &nbsp;&nbsp; 5.129% | 1168129 | &nbsp;&nbsp; 1193120 |
| CMO Series 2025-39 Class M | CMO Series 2025-39 Class M | CMO Series 2025-39 Class M | CMO Series 2025-39 Class M |
| &nbsp;&nbsp; 30-day Average SOFR + 4.000% <br>Floor 4.000%, Cap 7.700% <br>03/20/2055<br>| &nbsp;&nbsp; 6.185% | 6184429 | &nbsp;&nbsp; 6365524 |
| Government National Mortgage Association TBA<sup>(g)</sup>  | Government National Mortgage Association TBA<sup>(g)</sup>  | Government National Mortgage Association TBA<sup>(g)</sup>  | Government National Mortgage Association TBA<sup>(g)</sup>  |
| 10/20/2055 | &nbsp;&nbsp; 3.000% | 17000000 | &nbsp;&nbsp; 15173795 |
| 10/20/2055 | &nbsp;&nbsp; 4.000% | 40000000 | &nbsp;&nbsp; 37603957 |
| 10/20/2055 | &nbsp;&nbsp; 4.500% | 75000000 | &nbsp;&nbsp; 72720125 |
| Uniform Mortgage-Backed Security TBA<sup>(g)</sup>  | Uniform Mortgage-Backed Security TBA<sup>(g)</sup>  | Uniform Mortgage-Backed Security TBA<sup>(g)</sup>  | Uniform Mortgage-Backed Security TBA<sup>(g)</sup>  |
| 10/14/2055 | &nbsp;&nbsp; 3.500% | 80000000 | &nbsp;&nbsp; 73081695 |
| 10/14/2055 | &nbsp;&nbsp; 4.000% | 75500000 | &nbsp;&nbsp; 71148366 |
| 10/14/2055 | &nbsp;&nbsp; 4.500% | 45500000 | &nbsp;&nbsp; 44128532 |
| 10/14/2055 | &nbsp;&nbsp; 5.000% | 87000000 | &nbsp;&nbsp; 86274173 |
| 10/14/2055 | &nbsp;&nbsp; 5.500% | 48000000 | &nbsp;&nbsp; 48395423 |
| 10/14/2055 | &nbsp;&nbsp; 6.000% | 22000000 | &nbsp;&nbsp; 22474929 |
| &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Agency <br>(Cost $1,631,036,170) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Agency <br>(Cost $1,631,036,170) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Agency <br>(Cost $1,631,036,170) | &nbsp;&nbsp; **1578896845** |
| **Residential Mortgage-Backed Securities - Non-Agency 7.6%** | **Residential Mortgage-Backed Securities - Non-Agency 7.6%** | **Residential Mortgage-Backed Securities - Non-Agency 7.6%** | **Residential Mortgage-Backed Securities - Non-Agency 7.6%** |
| Angel Oak Mortgage Trust<sup>(a),(h)</sup>  | Angel Oak Mortgage Trust<sup>(a),(h)</sup>  | Angel Oak Mortgage Trust<sup>(a),(h)</sup>  | Angel Oak Mortgage Trust<sup>(a),(h)</sup>  |
| CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 |
| 01/25/2070 | &nbsp;&nbsp; 5.690% | 6562429 | &nbsp;&nbsp; 6636195 |
| Arroyo Mortgage Trust<sup>(a),(c)</sup>  | Arroyo Mortgage Trust<sup>(a),(c)</sup>  | Arroyo Mortgage Trust<sup>(a),(c)</sup>  | Arroyo Mortgage Trust<sup>(a),(c)</sup>  |
| CMO Series 2019-3 Class M1 | CMO Series 2019-3 Class M1 | CMO Series 2019-3 Class M1 | CMO Series 2019-3 Class M1 |
| 10/25/2048 | &nbsp;&nbsp; 4.204% | 1740000 | &nbsp;&nbsp; 1530969 |
| CHNGE Mortgage Trust<sup>(a),(c)</sup>  | CHNGE Mortgage Trust<sup>(a),(c)</sup>  | CHNGE Mortgage Trust<sup>(a),(c)</sup>  | CHNGE Mortgage Trust<sup>(a),(c)</sup>  |
| CMO Series 2022-1 Class A1 | CMO Series 2022-1 Class A1 | CMO Series 2022-1 Class A1 | CMO Series 2022-1 Class A1 |
| 01/25/2067 | &nbsp;&nbsp; 3.007% | 2596538 | &nbsp;&nbsp; 2492549 |
| CMO Series 2022-2 Class A1 | CMO Series 2022-2 Class A1 | CMO Series 2022-2 Class A1 | CMO Series 2022-2 Class A1 |
| 03/25/2067 | &nbsp;&nbsp; 3.757% | 2746668 | &nbsp;&nbsp; 2704619 |
| CHNGE Mortgage Trust<sup>(a),(h)</sup>  | CHNGE Mortgage Trust<sup>(a),(h)</sup>  | CHNGE Mortgage Trust<sup>(a),(h)</sup>  | CHNGE Mortgage Trust<sup>(a),(h)</sup>  |
| CMO Series 2023-3 Class A1 | CMO Series 2023-3 Class A1 | CMO Series 2023-3 Class A1 | CMO Series 2023-3 Class A1 |
| 07/25/2058 | &nbsp;&nbsp; 7.100% | 1845436 | &nbsp;&nbsp; 1861116 |
| Citigroup Mortgage Loan Trust, Inc.<sup>(a),(c)</sup>  | Citigroup Mortgage Loan Trust, Inc.<sup>(a),(c)</sup>  | Citigroup Mortgage Loan Trust, Inc.<sup>(a),(c)</sup>  | Citigroup Mortgage Loan Trust, Inc.<sup>(a),(c)</sup>  |
| CMO Series 2014-A Class B2 | CMO Series 2014-A Class B2 | CMO Series 2014-A Class B2 | CMO Series 2014-A Class B2 |
| 01/25/2035 | &nbsp;&nbsp; 5.492% | 367650 | &nbsp;&nbsp; 366088 |
| Citigroup Mortgage Loan Trust, Inc.<sup>(a)</sup>  | Citigroup Mortgage Loan Trust, Inc.<sup>(a)</sup>  | Citigroup Mortgage Loan Trust, Inc.<sup>(a)</sup>  | Citigroup Mortgage Loan Trust, Inc.<sup>(a)</sup>  |
| CMO Series 2015-RP2 Class B2 | CMO Series 2015-RP2 Class B2 | CMO Series 2015-RP2 Class B2 | CMO Series 2015-RP2 Class B2 |
| 01/25/2053 | &nbsp;&nbsp; 4.250% | 1371024 | &nbsp;&nbsp; 1348790 |
| COLT Mortgage Loan Trust<sup>(a),(h)</sup>  | COLT Mortgage Loan Trust<sup>(a),(h)</sup>  | COLT Mortgage Loan Trust<sup>(a),(h)</sup>  | COLT Mortgage Loan Trust<sup>(a),(h)</sup>  |
| CMO Series 2024-7 Class A1 | CMO Series 2024-7 Class A1 | CMO Series 2024-7 Class A1 | CMO Series 2024-7 Class A1 |
| 12/26/2069 | &nbsp;&nbsp; 5.538% | 8747955 | &nbsp;&nbsp; 8833395 |
| Credit Suisse Mortgage Trust<sup>(a),(c)</sup>  | Credit Suisse Mortgage Trust<sup>(a),(c)</sup>  | Credit Suisse Mortgage Trust<sup>(a),(c)</sup>  | Credit Suisse Mortgage Trust<sup>(a),(c)</sup>  |
| CMO Series 2021-NQM1 Class A2 | CMO Series 2021-NQM1 Class A2 | CMO Series 2021-NQM1 Class A2 | CMO Series 2021-NQM1 Class A2 |
| 05/25/2065 | &nbsp;&nbsp; 0.994% | 696704 | &nbsp;&nbsp; 635244 |

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Cross Mortgage Trust<sup>(a),(c)</sup>  | Cross Mortgage Trust<sup>(a),(c)</sup>  | Cross Mortgage Trust<sup>(a),(c)</sup>  | Cross Mortgage Trust<sup>(a),(c)</sup>  |
| CMO Series 2025-H1 Class A1 | CMO Series 2025-H1 Class A1 | CMO Series 2025-H1 Class A1 | CMO Series 2025-H1 Class A1 |
| 02/25/2070 | &nbsp;&nbsp; 5.735% | 4909011 | &nbsp;&nbsp; 4967628 |
| Ellington Financial Mortgage Trust<sup>(a),(c)</sup>  | Ellington Financial Mortgage Trust<sup>(a),(c)</sup>  | Ellington Financial Mortgage Trust<sup>(a),(c)</sup>  | Ellington Financial Mortgage Trust<sup>(a),(c)</sup>  |
| CMO Series 2019-2 Class M1 | CMO Series 2019-2 Class M1 | CMO Series 2019-2 Class M1 | CMO Series 2019-2 Class M1 |
| 11/25/2059 | &nbsp;&nbsp; 3.469% | 1200000 | &nbsp;&nbsp; 1115591 |
| CMO Series 2025-NQM1 Class A1 | CMO Series 2025-NQM1 Class A1 | CMO Series 2025-NQM1 Class A1 | CMO Series 2025-NQM1 Class A1 |
| 01/25/2070 | &nbsp;&nbsp; 5.668% | 1836238 | &nbsp;&nbsp; 1853610 |
| FIGRE Trust<sup>(a),(c)</sup>  | FIGRE Trust<sup>(a),(c)</sup>  | FIGRE Trust<sup>(a),(c)</sup>  | FIGRE Trust<sup>(a),(c)</sup>  |
| CMO Series 2025-PF2 Class A | CMO Series 2025-PF2 Class A | CMO Series 2025-PF2 Class A | CMO Series 2025-PF2 Class A |
| 10/25/2055 | &nbsp;&nbsp; 5.017% | 3400000 | &nbsp;&nbsp; 3388541 |
| Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(b)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(b)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(b)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(b)</sup>  |
| CMO Series 2020-CS01 Class B1 | CMO Series 2020-CS01 Class B1 | CMO Series 2020-CS01 Class B1 | CMO Series 2020-CS01 Class B1 |
| &nbsp;&nbsp; 30-day Average SOFR + 0.114% <br>04/25/2033<br>| &nbsp;&nbsp; 4.454% | 3962251 | &nbsp;&nbsp; 3871628 |
| GCAT Trust<sup>(a),(c)</sup>  | GCAT Trust<sup>(a),(c)</sup>  | GCAT Trust<sup>(a),(c)</sup>  | GCAT Trust<sup>(a),(c)</sup>  |
| CMO Series 2021-CM1 Class A1 | CMO Series 2021-CM1 Class A1 | CMO Series 2021-CM1 Class A1 | CMO Series 2021-CM1 Class A1 |
| 04/25/2065 | &nbsp;&nbsp; 2.469% | 477723 | &nbsp;&nbsp; 457192 |
| CMO Series 2022-NQM2 Class A3 | CMO Series 2022-NQM2 Class A3 | CMO Series 2022-NQM2 Class A3 | CMO Series 2022-NQM2 Class A3 |
| 02/25/2067 | &nbsp;&nbsp; 4.210% | 2431275 | &nbsp;&nbsp; 2326677 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| CMO Series BM-2562 Class A | CMO Series BM-2562 Class A | CMO Series BM-2562 Class A | CMO Series BM-2562 Class A |
| 01/01/2055 | &nbsp;&nbsp; 3.500% | 9679516 | &nbsp;&nbsp; 8650967 |
| Legacy Mortgage Asset Trust<sup>(a),(h)</sup>  | Legacy Mortgage Asset Trust<sup>(a),(h)</sup>  | Legacy Mortgage Asset Trust<sup>(a),(h)</sup>  | Legacy Mortgage Asset Trust<sup>(a),(h)</sup>  |
| CMO Series 2021-GS1 Class A1 | CMO Series 2021-GS1 Class A1 | CMO Series 2021-GS1 Class A1 | CMO Series 2021-GS1 Class A1 |
| 10/25/2066 | &nbsp;&nbsp; 5.892% | 3066016 | &nbsp;&nbsp; 3067211 |
| Mello Mortgage Capital Acceptance<sup>(a),(h)</sup>  | Mello Mortgage Capital Acceptance<sup>(a),(h)</sup>  | Mello Mortgage Capital Acceptance<sup>(a),(h)</sup>  | Mello Mortgage Capital Acceptance<sup>(a),(h)</sup>  |
| CMO Series 2024-SD1 Class M1 | CMO Series 2024-SD1 Class M1 | CMO Series 2024-SD1 Class M1 | CMO Series 2024-SD1 Class M1 |
| 04/25/2054 | &nbsp;&nbsp; 4.000% | 1600000 | &nbsp;&nbsp; 1521588 |
| Morgan Stanley Residential Mortgage Loan Trust<sup>(a),(c)</sup>  | Morgan Stanley Residential Mortgage Loan Trust<sup>(a),(c)</sup>  | Morgan Stanley Residential Mortgage Loan Trust<sup>(a),(c)</sup>  | Morgan Stanley Residential Mortgage Loan Trust<sup>(a),(c)</sup>  |
| CMO Series 2025-DSC3 Class A1 | CMO Series 2025-DSC3 Class A1 | CMO Series 2025-DSC3 Class A1 | CMO Series 2025-DSC3 Class A1 |
| 09/25/2070 | &nbsp;&nbsp; 4.912% | 4750000 | &nbsp;&nbsp; 4740881 |
| New Residential Mortgage Loan Trust<sup>(a),(c),(d)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(c),(d)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(c),(d)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(c),(d)</sup>  |
| CMO Series 2014-1A Class AIO | CMO Series 2014-1A Class AIO | CMO Series 2014-1A Class AIO | CMO Series 2014-1A Class AIO |
| 01/25/2054 | &nbsp;&nbsp; 2.056% | 6247198 | &nbsp;&nbsp; 270447 |
| New Residential Mortgage Loan Trust<sup>(a),(h)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(h)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(h)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(h)</sup>  |
| CMO Series 2025-NQM1 Class A1 | CMO Series 2025-NQM1 Class A1 | CMO Series 2025-NQM1 Class A1 | CMO Series 2025-NQM1 Class A1 |
| 01/25/2065 | &nbsp;&nbsp; 5.643% | 5261018 | &nbsp;&nbsp; 5356604 |
| NYMT Loan Trust<sup>(a)</sup>  | NYMT Loan Trust<sup>(a)</sup>  | NYMT Loan Trust<sup>(a)</sup>  | NYMT Loan Trust<sup>(a)</sup>  |
| CMO Series 2025-R1 Class A | CMO Series 2025-R1 Class A | CMO Series 2025-R1 Class A | CMO Series 2025-R1 Class A |
| 02/25/2030 | &nbsp;&nbsp; 6.381% | 2462929 | &nbsp;&nbsp; 2467658 |
| OBX Series<sup>(a),(h)</sup>  | OBX Series<sup>(a),(h)</sup>  | OBX Series<sup>(a),(h)</sup>  | OBX Series<sup>(a),(h)</sup>  |
| CMO Series 2025-NQM2 Class A1 | CMO Series 2025-NQM2 Class A1 | CMO Series 2025-NQM2 Class A1 | CMO Series 2025-NQM2 Class A1 |
| 11/25/2064 | &nbsp;&nbsp; 5.597% | 8541299 | &nbsp;&nbsp; 8638085 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| PRPM Trust<sup>(a),(h)</sup>  | PRPM Trust<sup>(a),(h)</sup>  | PRPM Trust<sup>(a),(h)</sup>  | PRPM Trust<sup>(a),(h)</sup>  |
| CMO Series 2025-NQM4 Class A1 | CMO Series 2025-NQM4 Class A1 | CMO Series 2025-NQM4 Class A1 | CMO Series 2025-NQM4 Class A1 |
| 07/25/2070 | &nbsp;&nbsp; 4.980% | 3500000 | &nbsp;&nbsp; 3493583 |
| RCO X Mortgage LLC<sup>(a),(h)</sup>  | RCO X Mortgage LLC<sup>(a),(h)</sup>  | RCO X Mortgage LLC<sup>(a),(h)</sup>  | RCO X Mortgage LLC<sup>(a),(h)</sup>  |
| CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 |
| 01/25/2030 | &nbsp;&nbsp; 5.875% | 8387610 | &nbsp;&nbsp; 8464788 |
| SG Residential Mortgage Trust<sup>(a),(c)</sup>  | SG Residential Mortgage Trust<sup>(a),(c)</sup>  | SG Residential Mortgage Trust<sup>(a),(c)</sup>  | SG Residential Mortgage Trust<sup>(a),(c)</sup>  |
| CMO Series 2019-3 Class M1 | CMO Series 2019-3 Class M1 | CMO Series 2019-3 Class M1 | CMO Series 2019-3 Class M1 |
| 09/25/2059 | &nbsp;&nbsp; 3.526% | 2185986 | &nbsp;&nbsp; 2155595 |
| VCAT LLC<sup>(a),(h)</sup>  | VCAT LLC<sup>(a),(h)</sup>  | VCAT LLC<sup>(a),(h)</sup>  | VCAT LLC<sup>(a),(h)</sup>  |
| CMO Series 2025-NPL2 Class A1 | CMO Series 2025-NPL2 Class A1 | CMO Series 2025-NPL2 Class A1 | CMO Series 2025-NPL2 Class A1 |
| 09/25/2054 | &nbsp;&nbsp; 5.977% | 4584769 | &nbsp;&nbsp; 4636945 |
| Vista Point Securitization Trust<sup>(a),(h)</sup>  | Vista Point Securitization Trust<sup>(a),(h)</sup>  | Vista Point Securitization Trust<sup>(a),(h)</sup>  | Vista Point Securitization Trust<sup>(a),(h)</sup>  |
| CMO Series 2024-CES3 Class A2 | CMO Series 2024-CES3 Class A2 | CMO Series 2024-CES3 Class A2 | CMO Series 2024-CES3 Class A2 |
| 01/25/2055 | &nbsp;&nbsp; 5.995% | 5000000 | &nbsp;&nbsp; 5057579 |
| CMO Series 2025-CES2 Class A2 | CMO Series 2025-CES2 Class A2 | CMO Series 2025-CES2 Class A2 | CMO Series 2025-CES2 Class A2 |
| 08/25/2055 | &nbsp;&nbsp; 5.768% | 3150000 | &nbsp;&nbsp; 3166318 |
| &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Non-Agency <br>(Cost $105,305,648) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Non-Agency <br>(Cost $105,305,648) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Non-Agency <br>(Cost $105,305,648) | &nbsp;&nbsp; **106078081** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Call Option Contracts Purchased 0.0%** | **Call Option Contracts Purchased 0.0%** |
|  | **Value ($)** |
| (Cost $585,000) | &nbsp;&nbsp; **585000** |
| **Put Option Contracts Purchased 0.1%** | **Put Option Contracts Purchased 0.1%** |
| (Cost $3,821,850) | &nbsp;&nbsp; **2006295** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Money Market Funds 4.7%** | **Money Market Funds 4.7%** | **Money Market Funds 4.7%** |
|  | **Shares** | **Value ($)** |
| Columbia Short-Term Cash Fund, 4.265%<sup>(i),(j)</sup> <br>| &nbsp;&nbsp; 65473636 | &nbsp;&nbsp; 65453993 |
| &nbsp;&nbsp; Total Money Market Funds <br>(Cost $65,452,176) | &nbsp;&nbsp; Total Money Market Funds <br>(Cost $65,452,176) | &nbsp;&nbsp; **65453993** |
| **Total Investments in Securities** <br>**(Cost: $1,927,595,666)** | **Total Investments in Securities** <br>**(Cost: $1,927,595,666)** | &nbsp;&nbsp; **1863005324** |
| **Other Assets & Liabilities, Net** |  | &nbsp;&nbsp; **(462947314)**<br>|
| **Net Assets** | **Net Assets** | &nbsp;&nbsp; **1400058010** |

---

At September 30, 2025, securities and/or cash totaling $11,840,201 were pledged as collateral.

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

**Investments in derivatives** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** |
| **Description** | **Number of** <br>**contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration** <br>**date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading** <br>**currency**<br>| &nbsp;&nbsp;&nbsp; **Notional** <br>**amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**depreciation ($)**<br>|
| 3-Month SOFR | 717 | 12/2025 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 172003819 | &nbsp;&nbsp;&nbsp;&nbsp; 21628 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| U.S. Treasury 2-Year Note | 229 | 12/2025 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 47723242 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (12959)<br>|
| U.S. Treasury 5-Year Note | 369 | 12/2025 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 40293071 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (294773)<br>|
| Total |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 21628 | &nbsp;&nbsp;&nbsp;&nbsp; (307732)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** |
| **Description** | **Number of** <br>**contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration** <br>**date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading** <br>**currency**<br>| &nbsp;&nbsp;&nbsp; **Notional** <br>**amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**depreciation ($)**<br>|
| 3-Month SOFR | (713) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (172020163)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (70268)<br>|
| U.S. Long Bond | (131) | 12/2025 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (15273781)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (384044)<br>|
| U.S. Treasury 10-Year Note | (2504) | 12/2025 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (281700000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (826383)<br>|
| U.S. Treasury Ultra Bond | (27) | 12/2025 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (3241688)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (96874)<br>|
| Total |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1377569)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** |
| **Description** | **Counterparty** | &nbsp;&nbsp; **Trading** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Number of** <br>**contracts**<br>| **Exercise** <br>**price/Rate**<br>| **Expiration** <br>**date**<br>| **Cost ($)** | **Value ($)** |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Citi to receive <br> exercise rate and pay SOFR<br>| Citi | USD | &nbsp;&nbsp; 60000000 | &nbsp;&nbsp; 60000000 | 3.30 | &nbsp;&nbsp; 03/30/2026 | &nbsp;&nbsp; 585000 | &nbsp;&nbsp; 585000 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** |
| **Description** | **Counterparty** | &nbsp;&nbsp; **Trading** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Number of** <br>**contracts**<br>| **Exercise** <br>**price/Rate**<br>| **Expiration** <br>**date**<br>| **Cost ($)** | **Value ($)** |
| &nbsp;&nbsp;&nbsp; 10-Year OTC interest rate swap with <br> Morgan Stanley to receive SOFR <br> and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; 23000000 | &nbsp;&nbsp; 23000000 | 3.90 | &nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp; 424350 | &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Citi to receive SOFR and pay <br> exercise rate<br>| Citi | USD | &nbsp;&nbsp; 10000000 | &nbsp;&nbsp; 10000000 | 3.75 | &nbsp;&nbsp; 12/23/2025 | &nbsp;&nbsp; 80000 | &nbsp;&nbsp; 14197 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Goldman Sachs International to <br> receive SOFR and pay exercise <br> rate<br>| Goldman Sachs International | USD | &nbsp;&nbsp; 50000000 | &nbsp;&nbsp; 50000000 | 3.50 | &nbsp;&nbsp; 10/03/2025 | &nbsp;&nbsp; 587500 | &nbsp;&nbsp; 7715 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Morgan Stanley to receive SOFR <br> and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; 35000000 | &nbsp;&nbsp; 35000000 | 3.75 | &nbsp;&nbsp; 11/28/2025 | &nbsp;&nbsp; 336000 | &nbsp;&nbsp; 28546 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Morgan Stanley to receive SOFR <br> and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; 150000000 | &nbsp;&nbsp; 150000000 | 3.40 | &nbsp;&nbsp; 08/05/2026 | &nbsp;&nbsp; 2394000 | &nbsp;&nbsp; 1955835 |
| Total |  |  |  |  |  |  | &nbsp;&nbsp; 3821850 | &nbsp;&nbsp; 2006295 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** |
| **Reference** <br>**entity**<br>| **Counterparty** | **Maturity** <br>**date**<br>| **Receive** <br>**fixed** <br>**rate** <br>**(%)**<br>| **Payment** <br>**frequency**<br>| **Implied** <br>**credit** <br>**spread** <br>**(%)\***<br>| **Notional** <br>**currency**<br>| **Notional** <br>**amount** <br>| **Value** <br>**($)**<br>| **Periodic** <br>**payments** <br>**receivable** <br>**(payable)** <br>**($)**<br>| **Upfront** <br>**payments** <br>**($)**<br>| **Upfront** <br>**receipts** <br>**($)**<br>| **Unrealized** <br>**appreciation** <br>**($)**<br>| **Unrealized** <br>**depreciation** <br>**($)**<br>|
| &nbsp;&nbsp; CMBX North America <br> Index, Series 7 BBB-<br>| Morgan Stanley | 01/17/2047 | 3.000 | Monthly | 20.977 | USD | 1008660 | (123233)<br>| 505 |  | (47749)<br>|  | (74979)<br>|

---

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

------

Portfolio of Investments (continued)

Columbia Variable Portfolio – U.S. Government Mortgage Fund, September 30, 2025 (Unaudited)

\* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. <br>

**Notes to Portfolio of Investments** 

&nbsp;&nbsp;&nbsp;&nbsp;(a) Represents privately placed and other securities and instruments exempt from Securities
 and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only
 to qualified institutional buyers. At September 30, 2025, the total value of these securities amounted to $178,581,834, which represents 12.76% of total net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Variable rate security. The interest rate shown was the current rate as of September
 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Variable or floating rate security, the interest rate of which adjusts periodically
 based on changes in current interest rates and prepayments on the underlying pool
 of assets. The interest rate shown was the current rate as of September 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Represents interest only securities which have the right to receive the monthly interest
 payments on an underlying pool of mortgage loans.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Represents a security in default.

&nbsp;&nbsp;&nbsp;&nbsp;(f) This security or a portion of this security has been pledged as collateral in connection
 with investments sold short and/or derivative contracts.

&nbsp;&nbsp;&nbsp;&nbsp;(g) Represents a security purchased on a when-issued basis.

&nbsp;&nbsp;&nbsp;&nbsp;(h) Represents a variable rate security with a step coupon where the rate adjusts according
 to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the
 current rate as of September 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(i) The rate shown is the seven-day current annualized yield at September 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(j) Under the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company's outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the
 holdings and transactions in these affiliated companies during the period ended September 30, 2025 are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated issuers** | **Beginning** <br>**of period($)**<br>| **Purchases($)** | **Sales($)** | **Net change in** <br>**unrealized** <br>**appreciation** <br>**(depreciation)($)**<br>| **End of** <br>**period($)**<br>| **Realized gain** <br>**(loss)($)**<br>| **Dividends($)** | **End of** <br>**period shares**<br>|
| Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% | Columbia Short-Term Cash Fund, 4.265% |
|  | 271633555 | &nbsp;&nbsp; 335594266 | &nbsp;&nbsp; (541775645)<br>| &nbsp;&nbsp; 1817 | &nbsp;&nbsp; 65453993 | &nbsp;&nbsp; 8414 | &nbsp;&nbsp; 2323737 | &nbsp;&nbsp; 65473636 |

---

**Abbreviation Legend** 

---

| | |
|:---|:---|
| CMO | Collateralized Mortgage Obligation |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal Securities |
| TBA | To Be Announced |

---

**Currency Legend** 

USD US Dollar

Investments are valued using policies described in the Notes to Financial Statements included within the most recent financial statements and additional information.

Columbia Variable Portfolio – U.S. Government Mortgage Fund \| 2025

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You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.

3QT7027_12_D01_(11/25)

------

## 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:** 2025-09-30

**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:** $1907067924.35

**Total Liabilities:** $506925313.07

**Net Assets:** $1400142611.28

**Delayed Delivery Securities:** $506516254.97

**Cash Not Reported:** $8104.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 263355.003100000000 | **1-Year:** 5505.690900000000 | **5-Year:** 138.216700000000 | **10-Year:** 44789.738300000000 | **30-Year:** 523795.818300000000

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

- **3-Month:** 13342.079000000000 | **1-Year:** -48306.149700000000 | **5-Year:** 12879.632200000000 | **10-Year:** 14661.787800000000 | **30-Year:** 31646.166900000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055688 | -0.48%               | 1.79%                | 1.21%                |
| Class ID C000088777 | -0.47%               | 1.79%                | 1.21%                |
| Class ID C000088778 | -0.61%               | 1.79%                | 1.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2364372.17              | $-17733558.25                              |
| Month 2  | $6406383.25              | $19793327.54                               |
| Month 3  | $8854038.58              | $3304811.96                                |

**Designated Index Information**

- **Index Name:** BBG MBS Index

- **Index Identifier:** LEH_MBS

### Schedule of Portfolio Investments

| Name                                                        | Title                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3          | GNMA_20-3                      | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9406716 | PA      | $356017.87    | 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        |   6526891 | PA      | $629675.89    | 0.04%             | 2049-05-20      | Variable      | 1.80%                 | 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        |   5795184 | PA      | $775303.48    | 0.06%             | 2050-06-20      | Variable      | 1.85%                 | 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        |   5338551 | PA      | $692682.38    | 0.05%             | 2050-07-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-125        | GNMA_20-125                    | CUSIP: 38382HLX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6644521 | PA      | $955628.99    | 0.07%             | 2050-08-20      | Variable      | 2.00%                 | 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        |   5676576 | PA      | $968936.53    | 0.07%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138        | GNMA_20-138                    | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14025282 | PA      | $2063712.18   | 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        |  12080020 | PA      | $1782075.96   | 0.13%             | 2050-09-20      | Variable      | 2.05%                 | 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        |   9287911 | PA      | $1377891.25   | 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        |   8932901 | PA      | $1992471.08   | 0.14%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1          | GNMA_21-1                      | CUSIP: 38382MT74<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10743791 | PA      | $1576497.73   | 0.11%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-8          | GNMA_21-8                      | CUSIP: 38382MVH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10508215 | PA      | $1903368.70   | 0.14%             | 2051-01-20      | Fixed         | 2.50%                 | 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        |   6231400 | PA      | $911990.99    | 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        |  10872722 | PA      | $1451517.12   | 0.10%             | 2051-03-20      | Variable      | 2.05%                 | 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        |   8775305 | PA      | $1482403.49   | 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        |   7311823 | PA      | $1001534.71   | 0.07%             | 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        |  14626817 | PA      | $2009212.70   | 0.14%             | 2051-07-20      | Variable      | 2.05%                 | 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        |  10679235 | PA      | $1521401.16   | 0.11%             | 2051-07-20      | Variable      | 2.05%                 | 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        |  13989230 | PA      | $1388801.81   | 0.10%             | 2053-07-20      | Variable      | 2.46%                 | 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        |  15656664 | PA      | $2010467.51   | 0.14%             | 2049-09-20      | Variable      | 1.80%                 | 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        |   7067149 | PA      | $485998.64    | 0.03%             | 2053-06-20      | Variable      | 1.66%                 | 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        |  17393000 | PA      | $936898.28    | 0.07%             | 2053-08-20      | Variable      | 1.31%                 | 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        |  17468481 | PA      | $2083607.22   | 0.15%             | 2049-09-20      | Variable      | 1.80%                 | 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        |  11319451 | PA      | $1399049.07   | 0.10%             | 2049-12-20      | Variable      | 1.80%                 | 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        |   9763099 | PA      | $621172.29    | 0.04%             | 2053-09-20      | Variable      | 2.06%                 | 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        |   1168129 | PA      | $1193120.28   | 0.09%             | 2053-09-20      | Variable      | 5.13%                 | 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        |   3103575 | PA      | $3124032.28   | 0.22%             | 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        |  17716513 | PA      | $923324.42    | 0.07%             | 2054-04-20      | Variable      | 1.01%                 | 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        |   8750518 | PA      | $8048244.39   | 0.57%             | 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        |   5457990 | PA      | $4784004.61   | 0.34%             | 2064-05-20      | Fixed         | 3.00%                 | 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        |   9416665 | PA      | $638157.98    | 0.05%             | 2054-06-20      | Variable      | 1.01%                 | 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        |   8502752 | PA      | $1265766.37   | 0.09%             | 2054-05-20      | Variable      | 2.86%                 | 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        |  37519599 | PA      | $4660478.23   | 0.33%             | 2054-08-20      | Variable      | 2.26%                 | 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        |  29512299 | PA      | $1928478.20   | 0.14%             | 2054-11-20      | Variable      | 0.86%                 | 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        |  40798407 | PA      | $3040431.95   | 0.22%             | 2054-10-20      | Variable      | 1.11%                 | 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        |  21220032 | PA      | $2010882.36   | 0.14%             | 2054-12-20      | Variable      | 1.61%                 | 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        |  25402830 | PA      | $2966158.90   | 0.21%             | 2054-12-20      | Variable      | 1.66%                 | 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        |   6184429 | PA      | $6365523.95   | 0.45%             | 2055-03-20      | Variable      | 6.18%                 | 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        |   8635461 | PA      | $8398920.92   | 0.60%             | 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        |   3066016 | PA      | $3067211.46   | 0.22%             | 2066-10-25      | Variable      | 5.89%                 | 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      | $1521588.16   | 0.11%             | 2054-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST MSRM_25-DSC3 | MSRM_25-DSC3                   | CUSIP: 61779JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4750000 | PA      | $4740880.95   | 0.34%             | 2070-09-25      | Variable      | 4.91%                 | 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        |   1473032 | PA      | $1514505.40   | 0.11%             | 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        |   6247198 | PA      | $270446.83    | 0.02%             | 2054-01-25      | Variable      | 2.06%                 | 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        |   5261018 | PA      | $5356603.93   | 0.38%             | 2065-01-25      | Variable      | 5.64%                 | 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        |   8541299 | PA      | $8638085.16   | 0.62%             | 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        |   2462929 | PA      | $2467658.20   | 0.18%             | 2030-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_25-NQM4                               | PRPM_25-NQM4                   | CUSIP: 69392VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3493583.45   | 0.25%             | 2070-07-25      | Variable      | 4.98%                 | 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        |   4672931 | PA      | $4696127.24   | 0.34%             | 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        |   2295652 | PA      | $2312036.74   | 0.17%             | 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        |   1202796 | PA      | $1219977.89   | 0.09%             | 2031-10-15      | Fixed         | 7.27%                 | 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        |   4393664 | PA      | $4429493.23   | 0.32%             | 2032-07-15      | Fixed         | 5.16%                 | 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        |     31401 | PA      | $31447.02     | 0.00%             | 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        |   1569921 | PA      | $1593404.78   | 0.11%             | 2031-11-15      | Fixed         | 6.59%                 | 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        |   4941502 | PA      | $4688166.79   | 0.33%             | 2041-02-17      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS  30YR TBA(REG A)          | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  80000000 | PA      | $73081695.20  | 5.22%             | 2055-10-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS  30YR TBA(REG A)          | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  75500000 | PA      | $71148365.73  | 5.08%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS  30YR TBA(REG A)          | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  45500000 | PA      | $44128532.18  | 3.15%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS  30YR TBA(REG A)          | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  87000000 | PA      | $86274172.92  | 6.16%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS  30YR TBA(REG A)          | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  48000000 | PA      | $48395422.56  | 3.46%             | 2025-10-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS                                                        | UMBS  30YR TBA(REG A)          | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  22000000 | PA      | $22474928.74  | 1.61%             | 2055-10-14      | Fixed         | 6.00%                 | 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        |   6562429 | PA      | $6636194.54   | 0.47%             | 2070-01-25      | Variable      | 5.69%                 | 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        |   7822672 | PA      | $7821529.91   | 0.56%             | 2031-04-22      | Variable      | 5.21%                 | 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      | $1530968.75   | 0.11%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| BASSWOOD PARK CLO LTD BARK_21-1                             | BARK_25-1A                     | CUSIP: 070252AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7000000 | PA      | $7004956.00   | 0.50%             | 2034-04-20      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BHMS MORTGAGE TRUST BHMS_25-ATLS                            | BHMS_25-ATLS                   | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3910992.15   | 0.28%             | 2042-08-15      | Variable      | 6.20%                 | 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      | $6182560.20   | 0.44%             | 2042-02-10      | Fixed         | 6.14%                 | 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      | $7795133.58   | 0.56%             | 2042-01-15      | Variable      | 5.47%                 | 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        |   2746668 | PA      | $2704619.41   | 0.19%             | 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        |    696704 | PA      | $635243.49    | 0.05%             | 2065-05-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| CSMC_14-USA                                                 | CSMC_14-USA                    | CUSIP: 12649AAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1147075.00   | 0.08%             | 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      | 6.28%                 | 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        |   1845436 | PA      | $1861115.63   | 0.13%             | 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        |   2596538 | PA      | $2492549.17   | 0.18%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| CMLTI_14-A                                                  | CMLTI_14-A                     | CUSIP: 17322GAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    367650 | PA      | $366088.17    | 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        |   1371024 | PA      | $1348790.48   | 0.10%             | 2053-01-25      | Fixed         | 4.25%                 | 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        |   8747955 | PA      | $8833395.46   | 0.63%             | 2069-12-26      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                               | COLUMBIA SHORT TERM CASH FUND  | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  65473636 | NS      | $65453993.43  | 4.67%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR TBA(REG C)          | CUSIP: 21H0306A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $15173794.89  | 1.08%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR TBA(REG C)          | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40000000 | PA      | $37603956.80  | 2.69%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR TBA(REG C)          | CUSIP: 21H0426A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  75000000 | PA      | $72720125.25  | 5.19%             | 2055-10-20      | 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        |   4909011 | PA      | $4967627.62   | 0.35%             | 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        |   1836238 | PA      | $1853609.59   | 0.13%             | 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        |     47834 | PA      | $49577.58     | 0.00%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FGOLD 30YR GIANT               | CUSIP: 3128M82S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2300713 | PA      | $2245564.10   | 0.16%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FGOLD 30YR GIANT               | CUSIP: 3128M9LT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6842728 | PA      | $6466505.31   | 0.46%             | 2042-12-01      | Fixed         | 3.50%                 | 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        |     12456 | PA      | $12804.68     | 0.00%             | 2037-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP FHSTR_264                                  | FHLMC_264                      | CUSIP: 31325TL98<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2642026 | PA      | $267223.96    | 0.02%             | 2042-07-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_266                                       | FHLMC_266                      | CUSIP: 31325TMP1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1551451 | PA      | $282113.74    | 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        |   1258945 | PA      | $230590.04    | 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        |   1498063 | PA      | $164924.28    | 0.01%             | 2043-08-15      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_318                                       | FHLMC_318                      | CUSIP: 31325UVQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5439987 | PA      | $610532.50    | 0.04%             | 2043-11-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_326                                       | FHLMC_326                      | CUSIP: 31325VB86<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    616531 | PA      | $66496.40     | 0.00%             | 2044-03-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS MIRROR         | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4667116 | PA      | $4491376.15   | 0.32%             | 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        |  11279990 | PA      | $10429978.08  | 0.74%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10972486 | PA      | $9371366.11   | 0.67%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA_20-55                                                  | FNMA_20-55                     | CUSIP: 3136BBRM6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9465977 | PA      | $1571334.20   | 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        |  34508469 | PA      | $5873237.83   | 0.42%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                      | FHLMC_4993                     | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6915410 | PA      | $1082018.25   | 0.08%             | 2050-07-25      | Variable      | 1.58%                 | 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        |   2556946 | PA      | $2149334.31   | 0.15%             | 2049-06-25      | Fixed         | 2.00%                 | 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        |   3962251 | PA      | $3871627.95   | 0.28%             | 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        |   8844483 | PA      | $1453609.28   | 0.10%             | 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        |  10487524 | PA      | $1049488.66   | 0.07%             | 2051-12-25      | Fixed         | 2.50%                 | 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        |  16762272 | PA      | $1869330.20   | 0.13%             | 2048-01-15      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHLMC_5371                               | FHLMC_5371                     | CUSIP: 3137HBDP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11028933 | PA      | $1300498.69   | 0.09%             | 2048-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_5518                                      | FHLMC_5518                     | CUSIP: 3137HK4A9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7922259 | PA      | $7946830.72   | 0.57%             | 2055-03-25      | Variable      | 5.68%                 | 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        |   8206677 | PA      | $8481171.95   | 0.61%             | 2054-06-25      | Variable      | 8.08%                 | 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        |  16987068 | PA      | $17603160.34  | 1.26%             | 2054-11-25      | Variable      | 8.08%                 | 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        |   7255002 | PA      | $7462358.30   | 0.53%             | 2055-03-25      | Variable      | 8.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_25-5532                                   | FHLMC_5532                     | CUSIP: 3137HKPN8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14717081 | PA      | $15134960.86  | 1.08%             | 2055-04-25      | Variable      | 8.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC_5533                     | CUSIP: 3137HKQ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  12447694 | PA      | $12789167.64  | 0.91%             | 2055-04-25      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC_5542                     | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   8459361 | PA      | $8648872.44   | 0.62%             | 2055-05-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| FHLMC_5534                                                  | FHLMC_5534                     | CUSIP: 3137HLEG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9399290 | PA      | $9405214.08   | 0.67%             | 2055-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC_5548                                                  | FHLMC_5548                     | CUSIP: 3137HLJQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12425928 | PA      | $12429791.28  | 0.89%             | 2055-06-25      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC_5544                     | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |  14553918 | PA      | $2010801.37   | 0.14%             | 2055-06-25      | Variable      | 2.64%                 | 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        |  21226983 | PA      | $1271356.21   | 0.09%             | 2055-06-25      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_25-5563        | FHLMC_5563                     | CUSIP: 3137HMER7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14930734 | PA      | $14974768.82  | 1.07%             | 2055-08-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR                      | CUSIP: 3138APD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    262676 | PA      | $259068.45    | 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        |    123911 | PA      | $122181.23    | 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        |    388723 | PA      | $383102.25    | 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        |   1257186 | PA      | $1186107.58   | 0.08%             | 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        |    947337 | PA      | $931195.96    | 0.07%             | 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        |    289757 | PA      | $287609.24    | 0.02%             | 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        |    353481 | PA      | $349671.86    | 0.02%             | 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        |   5527835 | PA      | $5255265.33   | 0.38%             | 2042-12-01      | 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        |   5104456 | PA      | $4585788.87   | 0.33%             | 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        |  20906821 | PA      | $16991723.13  | 1.21%             | 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        |  14783390 | PA      | $12580320.93  | 0.90%             | 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        |   6979601 | PA      | $5709659.93   | 0.41%             | 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        |   5068185 | PA      | $4714651.56   | 0.34%             | 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        |  15023860 | PA      | $12741527.99  | 0.91%             | 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        |  13790560 | PA      | $11205494.36  | 0.80%             | 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        |   9674953 | PA      | $8855589.44   | 0.63%             | 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        |   1142286 | PA      | $1128106.78   | 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        |   7105597 | PA      | $6828522.25   | 0.49%             | 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        |   4299091 | PA      | $3995385.10   | 0.29%             | 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        |   5963693 | PA      | $5341171.28   | 0.38%             | 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        |  10778813 | PA      | $9670199.55   | 0.69%             | 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        |  12828991 | PA      | $10462195.48  | 0.75%             | 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        |   9838411 | PA      | $8658087.53   | 0.62%             | 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        |   9208476 | PA      | $9206816.21   | 0.66%             | 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        |  13439740 | PA      | $13800934.88  | 0.99%             | 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        |  14086347 | PA      | $14102120.30  | 1.01%             | 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        |  12019764 | PA      | $9832800.24   | 0.70%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XAVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15295048 | PA      | $12534088.50  | 0.90%             | 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        |   9215524 | PA      | $7861507.23   | 0.56%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR UMBS SUPER           | CUSIP: 3140XBPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3056239 | PA      | $2827951.57   | 0.20%             | 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        |  16005597 | PA      | $13641190.09  | 0.97%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7347963 | PA      | $6267110.99   | 0.45%             | 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        |   8330283 | PA      | $7900690.05   | 0.56%             | 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        |  15386142 | PA      | $14676010.10  | 1.05%             | 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        |  11169365 | PA      | $9122982.52   | 0.65%             | 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        |   2687107 | PA      | $2705459.39   | 0.19%             | 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        |  20881397 | PA      | $18666954.48  | 1.33%             | 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        |  18934323 | PA      | $18860806.30  | 1.35%             | 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        |  23819961 | PA      | $19443300.44  | 1.39%             | 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        |   1223157 | PA      | $1232515.94   | 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        |    468263 | PA      | $462553.77    | 0.03%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 31417G2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3534136 | PA      | $3340019.19   | 0.24%             | 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        |   1910327 | PA      | $1773814.59   | 0.13%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 31427PWW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12907097 | PA      | $13258402.59  | 0.95%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS                | CUSIP: 3142GSWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15565391 | PA      | $15987202.71  | 1.14%             | 2054-09-01      | Fixed         | 6.00%                 | 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        |   8989152 | PA      | $1694126.19   | 0.12%             | 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        |   7509195 | PA      | $1198996.86   | 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        |   5593973 | PA      | $875914.90    | 0.06%             | 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        |  10400926 | PA      | $1430071.21   | 0.10%             | 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        |  11091704 | PA      | $1647762.40   | 0.12%             | 2051-09-20      | Variable      | 2.05%                 | 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        |  10932542 | PA      | $1624964.90   | 0.12%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193        | GNMA_21-193                    | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  62533300 | PA      | $164950.34    | 0.01%             | 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        |  12134277 | PA      | $1064952.72   | 0.08%             | 2049-11-20      | Variable      | 1.80%                 | 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        |  10710352 | PA      | $1122646.27   | 0.08%             | 2052-07-20      | Variable      | 1.59%                 | 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        |  11337736 | PA      | $1306867.98   | 0.09%             | 2052-07-20      | Variable      | 1.58%                 | 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        |  10345619 | PA      | $1263262.12   | 0.09%             | 2052-08-20      | Variable      | 1.66%                 | 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        |  12832948 | PA      | $1460404.89   | 0.10%             | 2053-02-20      | Variable      | 1.76%                 | 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        |  12747766 | PA      | $1420393.07   | 0.10%             | 2050-05-20      | Variable      | 1.80%                 | 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        |  36889839 | PA      | $3807783.93   | 0.27%             | 2052-01-20      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47         | GNMA_23-47                     | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8047295 | PA      | $640726.42    | 0.05%             | 2053-03-20      | Variable      | 1.96%                 | 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        |  17598340 | PA      | $1854982.96   | 0.13%             | 2052-09-20      | Variable      | 1.66%                 | 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        |  16330850 | PA      | $1524285.62   | 0.11%             | 2053-05-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_19-34                                       | FNMA_19-34                     | CUSIP: 3136B5LE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6406204 | PA      | $874102.26    | 0.06%             | 2049-07-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-40                                       | FNMA_20-40                     | CUSIP: 3136BAPQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7975181 | PA      | $1259351.98   | 0.09%             | 2050-06-25      | Variable      | 1.61%                 | 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        |   8387610 | PA      | $8464787.52   | 0.60%             | 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        |   2185986 | PA      | $2155595.38   | 0.15%             | 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      | $2333873.83   | 0.17%             | 2038-05-15      | Variable      | 5.42%                 | 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      | $5005230.00   | 0.36%             | 2031-04-18      | Variable      | 6.34%                 | 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      | $1115591.28   | 0.08%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| STAR TRUST STAR_25-SFR6                                     | STAR_25-SFR6                   | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7021203.00   | 0.50%             | 2042-08-17      | Variable      | 5.76%                 | 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        |   4584769 | PA      | $4636944.92   | 0.33%             | 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      | $5057578.50   | 0.36%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES2               | VSTA_25-CES2                   | CUSIP: 92842UAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3150000 | PA      | $3166317.95   | 0.23%             | 2055-08-25      | Variable      | 5.77%                 | 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      | $1231468.20   | 0.09%             | 2034-12-15      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | CDS: (CMBX.NA.7.BBB-)          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |  -1008660 | OU      | $-123232.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  23000000 | OU      | $2.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                 | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |  50000000 | OU      | $7715.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE TRUST FIGRE_25-PF2                                    | FIGRE_25-PF2                   | CUSIP: 316918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3400000 | PA      | $3388540.64   | 0.24%             | 2055-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GCAT LLC GCAT_21-CM1                                        | GCAT_21-CM1                    | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    477723 | PA      | $457191.92    | 0.03%             | 2065-04-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |  35000000 | OU      | $28546.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                        | OTC (GENERIC) 0 YEAR           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |  10000000 | OU      | $14197.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_22-NQM2                                     | GCAT_22-NQM2                   | CUSIP: 36169KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2431275 | PA      | $2326677.17   | 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        |   3153362 | PA      | $3117697.00   | 0.22%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                              | OTC (GENERIC) 1 YEAR           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        | 150000000 | OU      | $1955835.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | US 5YR NOTE DEC 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       369 | NC      | $-294772.82   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR                     | CUSIP: 3617UVEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10623921 | PA      | $9019372.07   | 0.64%             | 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        |   7189216 | PA      | $6103406.54   | 0.44%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | THREE-MONTH SOFR FUTURE MAR 26 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -713 | NC      | $-70267.93    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2                  | GNMA2 30YR                     | CUSIP: 36202FJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1364644 | PA      | $1395805.96   | 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        |   7287639 | PA      | $6840782.60   | 0.49%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE                                                  | GNMA 30YR                      | CUSIP: 3622ADRD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   9679516 | PA      | $8650967.18   | 0.62%             | 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        |   1793823 | PA      | $1804448.09   | 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        |    847554 | PA      | $115108.27    | 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        |   1250824 | PA      | $70610.12     | 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        |   1658801 | PA      | $230013.37    | 0.02%             | 2044-09-16      | Variable      | 1.94%                 | 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        |   2847363 | PA      | $438627.48    | 0.03%             | 2048-02-20      | Variable      | 1.95%                 | 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        |   2523694 | PA      | $326458.53    | 0.02%             | 2047-11-20      | Variable      | 1.95%                 | 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        |   8491577 | PA      | $385797.82    | 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        |   6397493 | PA      | $307426.43    | 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        |   7713099 | PA      | $371817.66    | 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        |  12327694 | PA      | $704621.41    | 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        |   8130344 | PA      | $342616.76    | 0.02%             | 2061-08-16      | Variable      | 0.64%                 | 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        |   8793035 | PA      | $374672.97    | 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        |   1772227 | PA      | $243087.91    | 0.02%             | 2048-01-20      | Variable      | 1.95%                 | 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        |   1527330 | PA      | $196652.77    | 0.01%             | 2048-03-20      | Variable      | 1.95%                 | 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        |  14776036 | PA      | $2141826.34   | 0.15%             | 2048-03-20      | Variable      | 1.95%                 | 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        |   2188692 | PA      | $283323.51    | 0.02%             | 2048-04-20      | Variable      | 1.95%                 | 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        |   2489604 | PA      | $298481.07    | 0.02%             | 2048-07-20      | Variable      | 1.95%                 | 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        |   2950004 | PA      | $443540.25    | 0.03%             | 2048-05-20      | Variable      | 1.95%                 | 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        |   2226656 | PA      | $264274.44    | 0.02%             | 2048-08-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA_18-155                                                 | GNMA_18-155                    | CUSIP: 38381A2N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3126186 | PA      | $354573.23    | 0.03%             | 2048-11-20      | Variable      | 1.90%                 | 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        |   3698502 | PA      | $481194.30    | 0.03%             | 2048-10-20      | Variable      | 1.90%                 | 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        |   8534195 | PA      | $1067138.76   | 0.08%             | 2049-02-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-23         | GNMA_19-23                     | CUSIP: 38381RWR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2868458 | PA      | $397308.07    | 0.03%             | 2049-02-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA_19-43                                                  | GNMA_19-43                     | CUSIP: 38381T2U8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4986392 | PA      | $550870.68    | 0.04%             | 2049-04-20      | Variable      | 1.85%                 | 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        |   6866212 | PA      | $1040058.03   | 0.07%             | 2049-04-16      | Variable      | 1.79%                 | 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        |  12586402 | PA      | $1610902.06   | 0.12%             | 2049-07-20      | Variable      | 1.85%                 | 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        |  29279584 | PA      | $3742226.61   | 0.27%             | 2049-08-20      | Variable      | 1.85%                 | 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        |   6317024 | PA      | $813511.44    | 0.06%             | 2049-09-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DUJT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15758818 | PA      | $16060339.70  | 1.15%             | 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        |  10665661 | PA      | $10407691.14  | 0.74%             | 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        |  16031927 | PA      | $16343447.68  | 1.17%             | 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        |   9315764 | PA      | $8003655.64   | 0.57%             | 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        |  11343350 | PA      | $10139777.47  | 0.72%             | 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        |   9043839 | PA      | $8795341.91   | 0.63%             | 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        |   8042702 | PA      | $7601292.28   | 0.54%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FHLMC GOLD 30YR                | CUSIP: 3132GRSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3278761 | PA      | $3192697.55   | 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        |   1119721 | PA      | $1090670.98   | 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        |   3649844 | PA      | $3449179.14   | 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        |   4912232 | PA      | $4565679.36   | 0.33%             | 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        |   2957520 | PA      | $2794929.18   | 0.20%             | 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        |   3298741 | PA      | $3104982.04   | 0.22%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FHLMC GOLD 30YR                | CUSIP: 3132M8QG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2282059 | PA      | $2201900.61   | 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        |    959325 | PA      | $916341.57    | 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        |   1737713 | PA      | $1674883.44   | 0.12%             | 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        |   2084175 | PA      | $1949025.94   | 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        |   2058882 | PA      | $2035794.98   | 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        |   1174684 | PA      | $1159330.57   | 0.08%             | 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        |   4310662 | PA      | $4057432.51   | 0.29%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5628973 | PA      | $5559090.33   | 0.40%             | 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        |   1967691 | PA      | $1890243.73   | 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        |    973840 | PA      | $957352.32    | 0.07%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140JB5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13859370 | PA      | $12770084.89  | 0.91%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 15YR UMBS SUPER           | CUSIP: 3140X5AK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4622746 | PA      | $4544325.92   | 0.32%             | 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        |  16066072 | PA      | $14280640.18  | 1.02%             | 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        |  10350392 | PA      | $9257886.41   | 0.66%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS SUPER           | CUSIP: 3140X8QL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5962672 | PA      | $5133610.62   | 0.37%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC GOLD                                            | FHLMC GOLD 30YR GIANT          | CUSIP: 31335ATX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3025457 | PA      | $2946068.51   | 0.21%             | 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        |  10011619 | PA      | $8941918.73   | 0.64%             | 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        |   8039325 | PA      | $6503398.04   | 0.46%             | 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        |   4821032 | PA      | $4282867.60   | 0.31%             | 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        |   5350681 | PA      | $5055825.40   | 0.36%             | 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        |  13622675 | PA      | $12082897.52  | 0.86%             | 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        |  16327107 | PA      | $13334800.12  | 0.95%             | 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        |   7910415 | PA      | $6757743.81   | 0.48%             | 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        |    742677 | PA      | $21188.35     | 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        |   2947783 | PA      | $442199.23    | 0.03%             | 2042-09-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_12-129                                      | FNMA_12-129                    | CUSIP: 3136AADU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    186101 | PA      | $2340.40      | 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        |    567453 | PA      | $43489.96     | 0.00%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_13-1                                        | FNMA_13-1                      | CUSIP: 3136ABYL1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    742163 | PA      | $104132.34    | 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        |   1210509 | PA      | $37903.22     | 0.00%             | 2041-11-25      | 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        |   1879424 | PA      | $239487.12    | 0.02%             | 2045-01-25      | Variable      | 1.68%                 | 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        |   6408835 | PA      | $751028.27    | 0.05%             | 2046-02-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-42                                       | FNMA_16-42                     | CUSIP: 3136AS2T2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   6354746 | PA      | $812866.06    | 0.06%             | 2046-07-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_16-37                                       | FNMA_16-37                     | CUSIP: 3136ASPK6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2504988 | PA      | $282384.53    | 0.02%             | 2046-06-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-3                                        | FNMA_17-3                      | CUSIP: 3136AU5X5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4749916 | PA      | $585843.69    | 0.04%             | 2047-02-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-51                                       | FNMA_17-51                     | CUSIP: 3136AWY84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4798367 | PA      | $596675.45    | 0.04%             | 2047-07-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_17-72                                       | FNMA_17-72                     | CUSIP: 3136AXU52<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11441727 | PA      | $463316.70    | 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        |   1874782 | PA      | $1755291.74   | 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        |   2517093 | PA      | $326927.30    | 0.02%             | 2047-11-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-7                                        | FNMA_18-7                      | CUSIP: 3136B0YQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8045363 | PA      | $7357860.71   | 0.53%             | 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        |  22072686 | PA      | $21653185.61  | 1.55%             | 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        |   7466714 | PA      | $902264.97    | 0.06%             | 2049-07-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | THREE-MONTH SOFR FUTURE SEP 25 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       717 | NC      | $21628.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | US 2YR NOTE DEC 25             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       229 | NC      | $-12958.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DMES0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14110887 | PA      | $12752653.48  | 0.91%             | 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        |   6660891 | PA      | $5681136.97   | 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        |   3306351 | PA      | $2940468.01   | 0.21%             | 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        |  13297919 | PA      | $12162482.99  | 0.87%             | 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        |   7239780 | PA      | $7214784.83   | 0.52%             | 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        |  12730799 | PA      | $11714415.12  | 0.84%             | 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        |  14201181 | PA      | $13497330.17  | 0.96%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | US 10YR NOTE DEC 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |     -2504 | NC      | $-826382.60   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan                                                    | US LONG BOND DEC 25            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |      -131 | NC      | $-384044.45   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                      | FHLMC 30YR UMBS SUPER          | CUSIP: 3132DUAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16517432 | PA      | $17112415.68  | 1.22%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 40YR                      | CUSIP: 3138EM6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6918999 | PA      | $6029251.72   | 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        |     86844 | PA      | $85673.18     | 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        |   5900844 | PA      | $5432249.07   | 0.39%             | 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        |    789111 | PA      | $755587.71    | 0.05%             | 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        |    870229 | PA      | $854384.84    | 0.06%             | 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        |   2204817 | PA      | $2142530.73   | 0.15%             | 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        |   4343932 | PA      | $4084250.83   | 0.29%             | 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        |   5479297 | PA      | $5318845.13   | 0.38%             | 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        |   1823444 | PA      | $1754817.47   | 0.13%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan                                                    | US ULTRA T-BOND DEC 25         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              | CORP              | US        |       -27 | NC      | $-96874.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 6M SOFR ARM               | CUSIP: 31391MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6370 | PA      | $6425.15      | 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        |       489 | PA      | $495.83       | 0.00%             | 2033-06-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_06-5                                        | FNMA_06-5                      | CUSIP: 31394VL81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    988073 | PA      | $9.88         | 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        |      9939 | PA      | $10059.47     | 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        |       837 | PA      | $861.07       | 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        |  10672053 | PA      | $11000357.75  | 0.79%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR UMBS                 | CUSIP: 3140BHHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13962517 | PA      | $14269322.68  | 1.02%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMA 30YR                      | CUSIP: 3140F5QZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2502562 | PA      | $2332572.32   | 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        |   2296156 | PA      | $2131869.53   | 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        |   2357719 | PA      | $2189236.75   | 0.16%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |   6069961 | PA      | $1026347.20   | 0.07%             | 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        |   9339635 | PA      | $1300550.74   | 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        |  10579559 | PA      | $1410114.49   | 0.10%             | 2048-10-25      | Variable      | 1.73%                 | 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        |  13547247 | PA      | $13656523.31  | 0.98%             | 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        |   6532649 | PA      | $6664928.09   | 0.48%             | 2055-01-25      | Variable      | 8.08%                 | 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        |   7192790 | PA      | $7111902.79   | 0.51%             | 2055-02-25      | Variable      | 5.21%                 | 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        |  17818271 | PA      | $18375934.47  | 1.31%             | 2055-03-25      | Variable      | 8.08%                 | 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        |  25753740 | PA      | $2113341.61   | 0.15%             | 2055-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_25-86            | FNMA_25-86                     | CUSIP: 3136BXPP3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15000000 | PA      | $14849917.50  | 1.06%             | 2055-09-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4068                                      | FHLMC_4068                     | CUSIP: 3137ARN93<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    906194 | PA      | $97994.83     | 0.01%             | 2036-09-15      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4139                                      | FHLMC_4139                     | CUSIP: 3137AWXC4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    620357 | PA      | $38818.25     | 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        |    193637 | PA      | $1318.44      | 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        |   3040824 | PA      | $432205.03    | 0.03%             | 2043-03-15      | Fixed         | 4.00%                 | 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        |   1830130 | PA      | $229092.38    | 0.02%             | 2043-12-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4594                                      | FHLMC_4594                     | CUSIP: 3137BQMD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4195455 | PA      | $518681.96    | 0.04%             | 2046-06-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PAS                            | FHLMC_K063                     | CUSIP: 3137BVZ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4362000 | PA      | $4334232.82   | 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        |   2669419 | PA      | $322777.59    | 0.02%             | 2050-04-25      | Variable      | 1.38%                 | 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        |  12386035 | PA      | $1801728.34   | 0.13%             | 2050-05-25      | Variable      | 1.63%                 | 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        |   5490767 | PA      | $840824.73    | 0.06%             | 2050-06-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-22

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer