# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-25-052542
**Filing Date:** 2025-8
**Character Count:** 118244
**Document Hash:** 96875f148f9e57dc991ecae5886f4204
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-052542.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0001145549-25-052542

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 251244738

**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 - Commodity Strategy Fund (Series ID: S000040393)

| Class ID   | Class Name                                                    | Ticker Symbol   |
|:---|:---|:---|
| C000125454 | Columbia Variable Portfolio - Commodity Strategy Fund Class 1 |  |
| C000125455 | Columbia Variable Portfolio - Commodity Strategy Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Columbia Variable Portfolio - Commodity Strategy Fund

- **b. EDGAR series identifier (if any):** S000040393

- **c. LEI of Series:** 549300Z29G7RR3VNK255

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $89560907.00

**Total Liabilities:** $877365.78

**Net Assets:** $88683541.22

**Amount of Assets Invested in Other Investment Companies:** $10818245.20

**Cash Not Reported:** $5260862.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 175.198800000000 | **1-Year:** 10613.995500000000 | **5-Year:** 706.081500000000 | **10-Year:** 98.493900000000 | **30-Year:** 440.521200000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 289.772400000000 | **5-Year:** 1842.219300000000 | **10-Year:** 257.033400000000 | **30-Year:** 5024.575700000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000125454 | -5.70%               | 0.25%                | 2.51%                |
| Class ID C000125455 | -5.58%               | -0.26%               | 2.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-930964.20              | $-28647.86                                 |
| Month 2  | $-41974.46               | $-100575.43                                |
| Month 3  | $1112241.45              | $76105.41                                  |

**Designated Index Information**

- **Index Name:** Bloomberg Commodity Index Total Return

- **Index Identifier:** DJUBSCOM

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CD COMMERCIAL MORTGAGE TRUST CD_17-CD6                           | CD_17-CD6                          | CUSIP: 125039AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226324 | PA      | $223266.27    | 0.25%             | 2050-11-13      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| CD COMMERCIAL MORTGAGE TRUST CD_                                 | CD_17-CD4                          | CUSIP: 12515DAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219799 | PA      | $217848.08    | 0.25%             | 2050-05-10      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST                                  | CFCRE_17-C8                        | CUSIP: 12532CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139135 | PA      | $137930.51    | 0.16%             | 2050-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP                                                      | CIGNA CORP                         | CUSIP: 125523CB4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147869.34    | 0.17%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                         | CSX CORPORATION                    | CUSIP: 126408HD8<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    175000 | PA      | $174320.04    | 0.20%             | 2025-11-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                  | CVS HEALTH CORP                    | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238986.00    | 0.27%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CAMPBELLS CO                                                     | CAMPBELL SOUP COMPANY              | CUSIP: 134429BL2<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251039.45    | 0.28%             | 2026-03-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMER                                 | CANADIAN IMPERIAL BANK OF COMMERCE | CUSIP: 13607PVP6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    225000 | PA      | $226645.85    | 0.26%             | 2028-01-13      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-4                               | CARMX_22-4                         | CUSIP: 14318UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44086 | PA      | $44212.11     | 0.05%             | 2027-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST CMXS_24-A                        | CMXS_24-A                          | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103511 | PA      | $103774.44    | 0.12%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                              | CARRIER GLOBAL CORP                | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    246000 | PA      | $239434.99    | 0.27%             | 2027-02-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_24-N1                       | CRVNA_24-N1                        | CUSIP: 14687QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38786 | PA      | $38806.24     | 0.04%             | 2027-04-12      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_24-N3                       | CRVNA_24-N3                        | CUSIP: 14687WAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308234 | PA      | $308376.62    | 0.35%             | 2027-12-10      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_24-P3                       | CRVNA_24-P3                        | CUSIP: 146919AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258142 | PA      | $258095.23    | 0.29%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINANCIAL SERVICES CORP                              | CATERPILLAR FINANCIAL SERVICES COR | CUSIP: 14913UAW0<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224865.70    | 0.25%             | 2027-01-07      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                           | CENTERPOINT ENERGY INC             | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    235000 | PA      | $228542.06    | 0.26%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING                                 | CHARTER COMM OPT/CAP               | CUSIP: 161175CM4<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    225000 | PA      | $229360.03    | 0.26%             | 2026-11-10      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                    | CITIGROUP INC                      | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    450000 | PA      | $437278.13    | 0.49%             | 2027-06-09      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_24-A                                     | CNH_24-A                           | CUSIP: 18978FAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110243 | PA      | $110362.90    | 0.12%             | 2027-07-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (NEW YORK BRANCH)                       | COOPERATIEVE RABOBANK UA/NY        | CUSIP: 21688ABG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $285767.85    | 0.32%             | 2026-08-28      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK COMMERCIAL MORTGAG                                 | DBJPM_16-C3                        | CUSIP: 23312VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $269425.81    | 0.30%             | 2049-08-10      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                               | DTE ENERGY COMPANY                 | CUSIP: 233331AY3<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    230000 | PA      | $225896.66    | 0.25%             | 2026-10-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DAILYPAY SECURITIZATION TRUST DLPY_25-1                          | DLPY_25-1A                         | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100708.02    | 0.11%             | 2028-06-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                          | JOHN DEERE CAPITAL CORP            | CUSIP: 24422EXK0<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    225000 | PA      | $225994.07    | 0.25%             | 2026-03-06      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST DEFT_23-3                           | DEFT_23-3                          | CUSIP: 24702EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457980 | PA      | $460503.79    | 0.52%             | 2029-04-23      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                               | DIAGEO CAPITAL PLC                 | CUSIP: 25243YBK4<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $202506.09    | 0.23%             | 2026-10-05      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                              | DOMINION ENERGY INC                | CUSIP: 25746UDJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    235000 | PA      | $229382.66    | 0.26%             | 2026-04-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                 | DUKE ENERGY CORP                   | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    225000 | PA      | $220438.22    | 0.25%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                             | ERAC USA FINANCE LLC               | CUSIP: 26884TAV4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    285000 | PA      | $288159.47    | 0.32%             | 2028-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                     | ENBRIDGE INC                       | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    205000 | PA      | $208837.65    | 0.24%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                               | ENERGY TRANSFER LP                 | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    230000 | PA      | $229977.67    | 0.26%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST ENT_23-1                              | ENT_23-1A                          | CUSIP: 293601AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12084 | PA      | $12090.88     | 0.01%             | 2027-08-16      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                | ENTERPRISE PRODUCTS OPERATING LLC  | CUSIP: 29379VCC5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    225000 | PA      | $225587.37    | 0.25%             | 2026-01-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                | EVERSOURCE ENERGY                  | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195272.95    | 0.22%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-2A                   | EART_21-2                          | CUSIP: 30165XAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291557 | PA      | $286824.79    | 0.32%             | 2027-04-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                          | FHLB                               | CUSIP: 3130AK5E2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    250000 | PA      | $248240.32    | 0.28%             | 2025-09-04      | Fixed         | 0.38%                 | 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        |    703579 | PA      | $709326.20    | 0.80%             | 2054-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                       | VERIZON COMMUNICATIONS INC         | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    235000 | PA      | $234920.84    | 0.26%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST VWALT_24-A                           | VWALT_24-A                         | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $907618.32    | 1.02%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_24-1                   | VALET_24-1                         | CUSIP: 92868RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391807 | PA      | $392325.90    | 0.44%             | 2027-11-22      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                             | WEC ENERGY GROUP INC               | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200079.62    | 0.23%             | 2025-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE                                  | WFCM_15-C30                        | CUSIP: 94989NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47973 | PA      | $47876.77     | 0.05%             | 2058-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE NOV 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        17 | NC      | $-28013.36    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) JAN 26           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        19 | NC      | $40654.36     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) MAR 26           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        17 | NC      | $27690.66     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) MAR 26           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        20 | NC      | $-24876.14    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) SEP 25           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        19 | NC      | $44807.39     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) SEP 25           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         2 | NC      | $-10535.32    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | BRENT CRUDE (ICE) NOV 25           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        18 | NC      | $-120939.36   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COTTON NO.2 MAR 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        24 | NC      | $2628.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COTTON NO.2 MAR 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $-1874.47     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COTTON NO.2 DEC 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $682.34       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CATTLE FEEDER AUG 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         3 | NC      | $4854.06      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GOLD 100 OZ FEB 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        19 | NC      | $-64123.09    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| CNH EQUIPMENT TRUST CNH_24-C                                     | CNH_24-C                           | CUSIP: 18978GAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370772 | PA      | $370550.48    | 0.42%             | 2028-02-18      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND      | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  31474164 | NS      | $31467869.41  | 35.48%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORPORATION                                              | COMCAST CORPORATION                | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    240000 | PA      | $233449.44    | 0.26%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_22-R05              | CAS_22-R05                         | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     69883 | PA      | $70192.25     | 0.08%             | 2042-04-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | GOLD 100 OZ AUG 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $436733.43    | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GOLD 100 OZ DEC 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        19 | NC      | $874749.69    | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COPPER MAR 26                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $111779.33    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COPPER SEP 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         2 | NC      | $40826.66     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COPPER DEC 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $227871.68    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NY HARBOR ULSD (HEAT OIL) JAN 26   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $35487.02     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL JAN 26                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        15 | NC      | $48882.90     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL MAR 26                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         7 | NC      | $2191.21      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL MAR 26                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $-790.23      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL SEP 25                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        30 | NC      | $24196.17     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL NOV 25                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         5 | NC      | $812.55       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB JAN 26               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $32284.60     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB MAR 26               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         5 | NC      | $-2915.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB SEP 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $1896.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB SEP 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         2 | NC      | $-1135.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST HART_25-B                         | HART_25-B                          | CUSIP: 44935XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50137.71     | 0.06%             | 2028-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                              | JPMORGAN CHASE & CO                | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    475000 | PA      | $484715.87    | 0.55%             | 2028-04-22      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST JPMCC_17-JP | JPMCC_17-JP5                       | CUSIP: 46647TAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163759 | PA      | $162001.24    | 0.18%             | 2050-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST JPMMT_24-HE3                            | JPMMT_24-HE3                       | CUSIP: 46658JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    301393 | PA      | $300780.23    | 0.34%             | 2055-02-25      | Variable      | 5.53%                 | 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        |     99991 | PA      | $100215.95    | 0.11%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST PAID_24-7                           | PAID_24-7                          | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216911 | PA      | $219140.76    | 0.25%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST PAID_24-7                           | PAIDGT_24-7                        | CUSIP: 69545AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231785 | PA      | $234564.20    | 0.26%             | 2031-12-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-3                         | PAID_24-3                          | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241648 | PA      | $243088.46    | 0.27%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-1                         | PAID_24-1                          | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99847 | PA      | $100741.78    | 0.11%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTERPRISES PTE LTD                            | PFIZER INVESTMENT ENTERPRISES PTE  | CUSIP: 716973AB8<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    200000 | PA      | $200189.02    | 0.23%             | 2026-05-19      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PIONEER NAT RES CO                                               | PIONEER NATURAL RESOURCES COMPANY  | CUSIP: 723787AV9<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200941.33    | 0.23%             | 2026-03-29      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPELINE LP                                  | PLAINS ALL AMERICAN PIPELINE LP    | CUSIP: 72650RBL5<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    225000 | PA      | $225327.94    | 0.25%             | 2026-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL7                                                     | PRET_24-NPL7                       | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    210455 | PA      | $213637.48    | 0.24%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS PRET_25-NPL4                    | PRET_25-NPL4                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98263 | PA      | $99200.62     | 0.11%             | 2055-04-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                             | PRET_21-RN2                        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    108734 | PA      | $108456.65    | 0.12%             | 2051-07-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL4                                                     | PRET_24-NPL4                       | CUSIP: 74143RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     88194 | PA      | $88218.29     | 0.10%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_24-NPL9                                            | PRET_24-NPL9                       | CUSIP: 74143TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    294183 | PA      | $298567.34    | 0.34%             | 2054-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING I                                          | PRICOA GLOBAL FUNDING I            | CUSIP: 74153WCT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $228303.75    | 0.26%             | 2026-08-28      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                 | PRINCIPAL LIFE GLOBAL FUNDING II   | CUSIP: 74256LES4<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $240763.41    | 0.27%             | 2026-11-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PROSPER MARKETPLACE ISSUANCE TRUST SERIES PMIT_24-1              | PMIT_24-1A                         | CUSIP: 74363CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17768 | PA      | $17792.42     | 0.02%             | 2029-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-8                                       | PRPM_24-8                          | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    296515 | PA      | $298002.07    | 0.34%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                     | PUBLIC SERVICE ENTERPRISE GROUP    | CUSIP: 744573AP1<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    218000 | PA      | $216826.31    | 0.24%             | 2025-08-15      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                                             | QUEBEC (PROVINCE OF)               | CUSIP: 748148SC8<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    235000 | PA      | $234459.51    | 0.26%             | 2025-07-23      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| RCO MORTGAGE LLC RCO_25-3                                        | RCO_25-3                           | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    117132 | PA      | $116081.39    | 0.13%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                         | RAYTHEON TECHNOLOGIES CORPORATION  | CUSIP: 75513ECH2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    225000 | PA      | $222334.24    | 0.25%             | 2027-03-15      | Fixed         | 3.50%                 | 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        |    269549 | PA      | $271420.74    | 0.31%             | 2030-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| REACH FINANCIAL LLC REACH_24-2                                   | REACH_24-2A                        | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279170 | PA      | $279908.05    | 0.32%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST UB                                 | UBSCM_17-C3                        | CUSIP: 90276GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566199 | PA      | $559156.71    | 0.63%             | 2050-08-15      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| US BANK NATIONAL ASSOCIATION                                     | US BANK NATIONAL ASSOCIATION       | CUSIP: 90331HPT4<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    250000 | PA      | $250599.01    | 0.28%             | 2028-05-15      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                        | UNION PACIFIC CORPORATION          | CUSIP: 907818FJ2<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    175000 | PA      | $169899.56    | 0.19%             | 2027-02-05      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                           | TREASURY BILL                      | CUSIP: 912797PG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    475000 | PA      | $473329.16    | 0.53%             | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS FEB 26                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         9 | NC      | $-1497.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS AUG 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $-23956.54    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS OCT 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $36081.78     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS OCT 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-1518.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS DEC 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $67725.25     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME LEAD JAN 26                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         6 | NC      | $17007.92     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME LEAD MAR 26                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         3 | NC      | $3922.71      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME LEAD SEP 25                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        10 | NC      | $13234.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME LEAD NOV 25                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         3 | NC      | $1720.71      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME NICKEL JAN 26                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         8 | NC      | $5196.72      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME NICKEL MAR 26                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         4 | NC      | $-4440.12     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME NICKEL SEP 25                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $735.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME NICKEL NOV 25                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         4 | NC      | $-14501.40    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME ZINC JAN 26                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        10 | NC      | $30285.70     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME ZINC MAR 26                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         5 | NC      | $10685.35     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME ZINC SEP 25                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         9 | NC      | $313.88       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME ZINC NOV 25                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         5 | NC      | $-14128.65    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NATURAL GAS JAN 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        64 | NC      | $-90465.21    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NATURAL GAS MAR 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        38 | NC      | $-59211.31    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NATURAL GAS SEP 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        45 | NC      | $74728.86     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NATURAL GAS SEP 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         3 | NC      | $-3069.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NATURAL GAS NOV 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        39 | NC      | $-74918.01    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FNMA BENCHMARK NOTE                | CUSIP: 3135G06G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    225000 | PA      | $222004.74    | 0.25%             | 2025-11-07      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_21-2                          | FORDR_21-2                         | CUSIP: 345285AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $240652.83    | 0.27%             | 2034-05-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST FORDL_24-A                          | FORDL_24-A                         | CUSIP: 345290AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450870.93    | 0.51%             | 2027-05-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_24-C                          | FORDO_24-C                         | CUSIP: 34532UAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168656 | PA      | $168513.82    | 0.19%             | 2027-08-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORPORATION                                 | OCCIDENTAL PETROLEUM CORPORATION   | CUSIP: 674599EH4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    230000 | PA      | $232181.98    | 0.26%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                            | ONTARIO (PROVINCE OF)              | CUSIP: 683234AS7<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    240000 | PA      | $235169.18    | 0.27%             | 2026-01-21      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                               | ORACLE CORPORATION                 | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    225000 | PA      | $220913.64    | 0.25%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC (THE)                           | PNC FINANCIAL SERVICES GROUP INC   | CUSIP: 693475BY0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    250000 | PA      | $251882.40    | 0.28%             | 2027-07-23      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| PRET_24-NPL6                                                     | PRET_24-NPL6                       | CUSIP: 69381QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    223111 | PA      | $222291.69    | 0.25%             | 2054-10-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES LLC PEAC_24-2A                        | PEAC_24-2A                         | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219192 | PA      | $219227.91    | 0.25%             | 2027-04-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_23-1                   | GFORT_23-1                         | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504632.80    | 0.57%             | 2028-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TRUST GFORT_24-1                   | GFORT_24-1A                        | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $634104.06    | 0.72%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSM                                 | GSMS_15-GC34                       | CUSIP: 36250VAC6<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |     67020 | PA      | $66861.62     | 0.08%             | 2048-10-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                   | GE HEALTHCARE TECHNOLOGIES INC     | CUSIP: 36267VAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $247301.74    | 0.28%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                            | GEORGIA POWER COMPANY              | CUSIP: 373334KZ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224530.94    | 0.25%             | 2026-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                              | GILEAD SCIENCES INC                | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198900.51    | 0.22%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST GCAR_24-2                             | GCAR_24-2A                         | CUSIP: 37964VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100349.48    | 0.11%             | 2028-01-18      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST GSAR_24-2                      | GSAR_24-2A                         | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185284 | PA      | $186839.98    | 0.21%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                      | GOLDMAN SACHS GROUP INC/THE        | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    425000 | PA      | $428526.18    | 0.48%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST GSKY_25-1                 | GSKY_25-1A                         | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272048 | PA      | $273941.35    | 0.31%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST GSKY_24-2                 | GSKY_24-2                          | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135214 | PA      | $135538.80    | 0.15%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                            | HCA INC                            | CUSIP: 404119CH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    235000 | PA      | $230115.80    | 0.26%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                | HSBC HOLDINGS PLC                  | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $257858.78    | 0.29%             | 2028-03-13      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST HPEFS_24-2A                                | HPEFS_24-2A                        | CUSIP: 40444MAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157929 | PA      | $158220.22    | 0.18%             | 2031-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST HDMOT_24-B                      | HDMOT_24-B                         | CUSIP: 41284PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69144 | PA      | $69140.70     | 0.08%             | 2027-08-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST HDMOT_22-A                      | HDMOT_22-A                         | CUSIP: 41284YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60305 | PA      | $60227.26     | 0.07%             | 2027-02-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                   | HOME DEPOT INC                     | CUSIP: 437076CZ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    225000 | PA      | $227057.19    | 0.26%             | 2026-06-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_24-C               | HALST_24-C                         | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $427233.84    | 0.48%             | 2028-04-17      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_24-A               | HALST_24-A                         | CUSIP: 448988AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $551517.29    | 0.62%             | 2027-03-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_23-NQM2                                          | ADMT_23-NQM2                       | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    470181 | PA      | $470907.89    | 0.53%             | 2068-05-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST ACHV_24-1PL                                       | ACHV_24-1PL                        | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29950 | PA      | $30213.51     | 0.03%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST ACHV_24-1PL                                       | ACHV_24-1PL                        | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40392 | PA      | $40817.83     | 0.05%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST ACHV_24-2PL                                       | ACHV_24-2PL                        | CUSIP: 00092HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228371 | PA      | $229114.87    | 0.26%             | 2031-10-27      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                        | COREBRIDGE GLOBAL FUNDING          | CUSIP: 00138CAY4<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252269.02    | 0.28%             | 2026-06-24      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                         | AT&T INC                           | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    240000 | PA      | $235222.73    | 0.27%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                       | ABBVIE INC                         | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    225000 | PA      | $227230.03    | 0.26%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                           | ACE INA HOLDINGS INC               | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    225000 | PA      | $223259.89    | 0.25%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ACM AUTO TRUST ACMAT_24-2                                        | ACMAT_24-2A                        | CUSIP: 00461WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83221 | PA      | $83451.82     | 0.09%             | 2029-02-20      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_23-B                     | AFFRM_23-B                         | CUSIP: 00792FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $351864.38    | 0.40%             | 2028-09-15      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_24-X2                    | AFFRM_24-X2                        | CUSIP: 00833QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323251 | PA      | $323229.57    | 0.36%             | 2029-12-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST AFFRM_24-X1                    | AFFRM_24-X1                        | CUSIP: 00834XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32275 | PA      | $32291.90     | 0.04%             | 2029-05-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                              | AMERICAN TOWER CORPORATION         | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    235000 | PA      | $231572.09    | 0.26%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                        | AMGEN INC                          | CUSIP: 031162CT5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    150000 | PA      | $145145.11    | 0.16%             | 2027-02-21      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                              | ANTHEM INC                         | CUSIP: 036752AR4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    252000 | PA      | $246538.27    | 0.28%             | 2026-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                  | ASTRAZENECA PLC                    | CUSIP: 046353AL2<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    175000 | PA      | $174257.44    | 0.20%             | 2025-11-16      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                  | BAE SYSTEMS PLC                    | CUSIP: 05523RAH0<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $252879.19    | 0.29%             | 2027-03-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                           | BP CAPITAL MARKETS PLC             | CUSIP: 05565QDN5<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    235000 | PA      | $230636.90    | 0.26%             | 2027-09-19      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST BMWLT_24-1                               | BMWLT_24-1                         | CUSIP: 05611UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $251993.98    | 0.28%             | 2027-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                             | BANK OF AMERICA CORP (FRN)         | CUSIP: 06051GLX5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    460000 | PA      | $463899.75    | 0.52%             | 2027-09-15      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                 | BANK OF MONTREAL                   | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    225000 | PA      | $225455.10    | 0.25%             | 2027-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP/THE                                 | BANK OF NEW YORK MELLON CORP/THE   | CUSIP: 06406RCD7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    235000 | PA      | $235145.47    | 0.27%             | 2028-06-09      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                              | BANK OF NOVA SCOTIA (FRN)          | CUSIP: 06418GAG2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    225000 | PA      | $225393.56    | 0.25%             | 2027-06-04      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                      | BACARDI LTD                        | CUSIP: 067316AD1<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    102000 | PA      | $99855.21     | 0.11%             | 2026-07-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                      | BACARDI LTD                        | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    100000 | PA      | $100337.26    | 0.11%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                     | BECTON DICKINSON AND COMPANY       | CUSIP: 075887BW8<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    235000 | PA      | $232316.46    | 0.26%             | 2027-06-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                        | BOEING CO                          | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    240000 | PA      | $233219.97    | 0.26%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                          | BRISTOL-MYERS SQUIBB CO            | CUSIP: 110122ED6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    190000 | PA      | $190583.51    | 0.21%             | 2026-02-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BROADCOM CORP                                                    | BROADCOM CORP/BROADCOM CAYMAN FIN  | CUSIP: 11134LAR0<br>LEI: KFFV4ZWM9DJH1ND3BD89 | Long             | DBT              | CORP              | US        |    240000 | PA      | $235553.75    | 0.27%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_24-NPL8                                            | PRET_24-NPL8                       | CUSIP: 69392DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    275473 | PA      | $275593.76    | 0.31%             | 2054-11-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS PRET_25-NPL2                    | PRET_25-NPL2                       | CUSIP: 69392JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    629562 | PA      | $629597.21    | 0.71%             | 2055-03-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES LLC PEAC_24-1                         | PEAC_24-1A                         | CUSIP: 69433BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176504 | PA      | $177691.85    | 0.20%             | 2027-06-21      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-2                         | PAID_24-2                          | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178217 | PA      | $179913.66    | 0.20%             | 2031-08-15      | Fixed         | 6.32%                 | 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        |    222915 | PA      | $223241.19    | 0.25%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-5                         | PAID_24-5                          | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64723 | PA      | $65110.28     | 0.07%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                           | UNITEDHEALTH GROUP INC             | CUSIP: 91324PFE7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249936.20    | 0.28%             | 2026-07-15      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST UPGR_24-1                              | UPGR_24-1                          | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62324 | PA      | $62371.72     | 0.07%             | 2031-02-18      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPST_24-1                          | CUSIP: 91684NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89791 | PA      | $89955.58     | 0.10%             | 2034-11-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC VCAT_25-NPL1                       | VCAT_25-NPL1                       | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    169400 | PA      | $170415.07    | 0.19%             | 2055-01-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                            | WELLS FARGO & COMPANY              | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402911.37    | 0.45%             | 2028-01-24      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_18-C45                | WFCM_18-C45                        | CUSIP: 95001NAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147576 | PA      | $147066.34    | 0.17%             | 2051-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING LP                                   | WESTERN GAS PARTNERS LP            | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224530.66    | 0.25%             | 2026-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_24-2                 | WLAKE_24-2A                        | CUSIP: 96042YAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317113 | PA      | $318097.88    | 0.36%             | 2027-08-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WESTLAKE FLOORING MASTER TRUST WFLOOR_24-1                       | WFLOOR_24-1A                       | CUSIP: 96043GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $621901.85    | 0.70%             | 2028-02-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_21-3A                | WLAKE_21-3A                        | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238672 | PA      | $237374.42    | 0.27%             | 2027-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_25-P1                | WLAKE_25-P1                        | CUSIP: 96043LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389593 | PA      | $389817.20    | 0.44%             | 2026-06-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                             | WESTPAC BANKING CORP               | CUSIP: 961214FX6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    250000 | PA      | $250241.74    | 0.28%             | 2026-10-20      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                           | WILLIAMS COMPANIES INC             | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    235000 | PA      | $232348.52    | 0.26%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FIN LTD                                                 | WOODSIDE FINANCE LTD               | CUSIP: 980236AP8<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    100000 | PA      | $97605.39     | 0.11%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                                  | XCEL ENERGY INC                    | CUSIP: 98389BAU4<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    225000 | PA      | $221768.17    | 0.25%             | 2026-12-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN OIL JAN 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        60 | NC      | $156827.65    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN OIL MAR 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        30 | NC      | $56932.84     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN OIL DEC 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $97091.04     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CORN MAR 26                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        76 | NC      | $-57909.00    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CORN SEP 25                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        30 | NC      | $-36012.69    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | CORN DEC 25                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        79 | NC      | $-99689.89    | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COCOA SEP 25                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         5 | NC      | $3611.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE JAN 26                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        32 | NC      | $81731.16     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE JAN 26                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         2 | NC      | $-2749.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE MAR 26                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        17 | NC      | $-16367.33    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE SEP 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        33 | NC      | $12250.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WTI CRUDE SEP 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $-7783.08     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NY HARBOR ULSD (HEAT OIL) MAR 26   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $8201.92      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NY HARBOR ULSD (HEAT OIL) SEP 25   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $15091.10     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | NY HARBOR ULSD (HEAT OIL) NOV 25   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $11423.47     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COFFEE MAR 26                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         9 | NC      | $-208934.60   | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COFFEE SEP 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $-102254.52   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | COFFEE DEC 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         9 | NC      | $-147139.30   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT KCBT FUTURE MAR 26           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $-10208.21    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT KCBT FUTURE SEP 25           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $-26462.45    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT KCBT FUTURE DEC 25           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $-62277.95    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME PRI ALUM JAN 26                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        22 | NC      | $94571.79     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME PRI ALUM MAR 26                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        11 | NC      | $23722.52     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LME PRI ALUM SEP 25                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        24 | NC      | $46566.68     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GAS OIL NOV 25                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         2 | NC      | $-162.79      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN JAN 26                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        20 | NC      | $36001.98     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN JAN 26                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        32 | NC      | $-22004.36    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN MAR 26                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        26 | NC      | $-9306.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN NOV 25                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $11974.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SUGAR #11 MAR 26                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        86 | NC      | $-118937.79   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SUGAR #11 OCT 25                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        28 | NC      | $-21055.59    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SILVER MAR 26                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         5 | NC      | $77079.40     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SILVER MAR 26                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         5 | NC      | $-14489.23    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SILVER SEP 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $89484.57     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SILVER DEC 25                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $194550.52    | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN MEAL (CBT) JAN 26          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        51 | NC      | $-57774.95    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN MEAL (CBT) MAR 26          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        25 | NC      | $-30185.96    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | SOYBEAN MEAL (CBT) DEC 25          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        42 | NC      | $-83924.15    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | US 2YR NOTE SEP 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       -57 | NC      | $-50007.24    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT MAR 26                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        15 | NC      | $783.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT MAR 26                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        18 | NC      | $-12377.77    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT SEP 25                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $-15471.90    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | WHEAT DEC 25                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        34 | NC      | $-63686.67    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB NOV 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $2125.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | GASOLINE RBOB NOV 25               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-598.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JOHN DEERE OWNER TRUST JDOT_22-B                                 | JDOT_22-B                          | CUSIP: 47800AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293851 | PA      | $292945.23    | 0.33%             | 2027-02-16      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                | KINDER MORGAN INC                  | CUSIP: 49456BAU5<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    110000 | PA      | $106358.15    | 0.12%             | 2026-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                             | KRAFT HEINZ FOODS CO               | CUSIP: 50077LAD8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    157000 | PA      | $154948.10    | 0.17%             | 2026-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST KCOT_24-2                              | KCOT_24-2A                         | CUSIP: 50117DAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $508797.95    | 0.57%             | 2028-11-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                        | L3HARRIS TECHNOLOGIES INC          | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    225000 | PA      | $223719.87    | 0.25%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LYB INTERNATIONAL FINANCE III LLC                                | LYB INTERNATIONAL FINANCE III LLC  | CUSIP: 50249AAF0<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247593.22    | 0.28%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LOEWS CORPORATION                                                | LOEWS CORPORATION                  | CUSIP: 540424AS7<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |    225000 | PA      | $223778.51    | 0.25%             | 2026-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST MFT_24-1A                                 | MFT_24-1A                          | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16189 | PA      | $16213.82     | 0.02%             | 2034-07-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                         | MARS INC                           | CUSIP: 571676AW5<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200831.68    | 0.23%             | 2027-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MERCEDESBENZ AUTO RECEIVABLES TRUST MBART_23-2                   | MBART_23-2                         | CUSIP: 58769FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $253247.28    | 0.29%             | 2028-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                                         | MET TOWER GLOBAL FUNDING           | CUSIP: 58989V2F0<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252568.94    | 0.28%             | 2026-06-20      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECH INC                                               | MICROCHIP TECHNOLOGY INCORPORATED  | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224731.55    | 0.25%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                       | MONDELEZ INTERNATIONAL INC         | CUSIP: 609207BA2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194953.94    | 0.22%             | 2027-03-17      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BAML TRUST MSBAM_                                 | MSBAM_15-C27                       | CUSIP: 61690AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276417 | PA      | $275071.32    | 0.31%             | 2047-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                   | MORGAN STANLEY                     | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    425000 | PA      | $412339.85    | 0.46%             | 2027-07-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BAML TRUST MSBAM_                                 | MSBAM_15-C25                       | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45286 | PA      | $45167.05     | 0.05%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BAML TRUST MSBAM_                                 | MSBAM_16-C31                       | CUSIP: 61766RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59484 | PA      | $59138.38     | 0.07%             | 2049-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV/NXP FUNDING LLC             | CUSIP: 62947QBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    225000 | PA      | $225672.65    | 0.25%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                              | NEXTERA ENERGY CAPITAL HOLDINGS    | CUSIP: 65339KBY5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    225000 | PA      | $216981.32    | 0.24%             | 2027-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NEXTGEAR FLOORPLAN MASTER OWNER TRUST NFMOT_23-1                 | NFMOT_23-1A                        | CUSIP: 65345GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $277113.54    | 0.31%             | 2028-03-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC.                                                    | NISOURCE INC                       | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    225000 | PA      | $223877.44    | 0.25%             | 2025-08-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_25-A                   | NAROT_25-A                         | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $476539.95    | 0.54%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NORFOLK SOUTHERN CORPORATION                                     | NORFOLK SOUTHERN CORPORATION       | CUSIP: 655844BS6<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147940.27    | 0.17%             | 2026-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | LME PRI ALUM NOV 25                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        11 | NC      | $-13578.48    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE FEB 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        14 | NC      | $1885.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE FEB 26                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-1273.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE AUG 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        13 | NC      | $114674.19    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE OCT 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $63872.82     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LIVE CATTLE DEC 25                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $58717.54     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                   | LEAN HOGS FEB 26                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        14 | NC      | $18815.81     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| REACH FINANCIAL LLC REACH_24-1                                   | REACH_24-1A                        | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48149 | PA      | $48299.29     | 0.05%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| RESEARCHDRIVEN PAGAYA MOTOR ASSET TRUST RPM_24-1                 | RPM_24-1A                          | CUSIP: 76088YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58339 | PA      | $58832.31     | 0.07%             | 2032-06-25      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                             | ROYAL BANK OF CANADA               | CUSIP: 78016HZY9<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $235556.02    | 0.27%             | 2027-07-23      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT TRUST LLC SCFET_24-1                               | SCFET_24-1A                        | CUSIP: 783896AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143241 | PA      | $143999.54    | 0.16%             | 2029-11-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST SBALT_24-C                                 | SBALT_24-C                         | CUSIP: 78398DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305079 | PA      | $305338.10    | 0.34%             | 2026-11-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_24-5                | SDART_24-5                         | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119749 | PA      | $119734.44    | 0.14%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAATSCHAPPIJ N.V.                           | SIEMENS FINANCIERINGSMAATSCHAPPIJ  | CUSIP: 82620KAU7<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $247541.47    | 0.28%             | 2027-03-16      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST SCLP_25-1                       | SCLP_25-1                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372271 | PA      | $373016.24    | 0.42%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST SCLP_25-2                       | SCLP_25-2                          | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100134.78    | 0.11%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                | STATE STREET CORP                  | CUSIP: 857477DA8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $236734.33    | 0.27%             | 2028-04-24      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                                     | SYNOPSYS INC                       | CUSIP: 871607AA5<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    225000 | PA      | $226141.64    | 0.25%             | 2027-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                 | T-MOBILE USA INC                   | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    225000 | PA      | $222730.63    | 0.25%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                        | TORONTO-DOMINION BANK/THE          | CUSIP: 89115A3B6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    225000 | PA      | $225176.45    | 0.25%             | 2026-12-17      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_21-SJ1                            | TPMT_21-SJ1                        | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    259155 | PA      | $251315.58    | 0.28%             | 2068-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST TAOT_23-A                    | TAOT_23-A                          | CUSIP: 891940AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203899 | PA      | $203889.93    | 0.23%             | 2027-09-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                         | TOYOTA MOTOR CREDIT CORP           | CUSIP: 89236TNH4<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    235000 | PA      | $235558.44    | 0.27%             | 2027-05-14      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                            | TRUIST FINANCIAL CORP              | CUSIP: 89788MAD4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    240000 | PA      | $234602.45    | 0.26%             | 2027-03-02      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                  | TYSON FOODS INC                    | CUSIP: 902494BC6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236738.71    | 0.27%             | 2027-06-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                     | UBS GROUP AG                       | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    275000 | PA      | $269958.58    | 0.30%             | 2027-01-30      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer