# EDGAR Filing Document

**Accession Number:** 0001352280
**File Stem:** 0001145549-23-002156
**Filing Date:** 2023-1
**Character Count:** 114284
**Document Hash:** 173136bc24ea903f19505bb3b86b8865
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-002156.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001145549-23-002156

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Series Trust II
- **CENTRAL INDEX KEY:** 0001352280
- **IRS NUMBER:** 204384176
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21852
- **FILM NUMBER:** 23546561

**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 SERIES TRUST
- **DATE OF NAME CHANGE:** 20070928

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RIVERSOURCE RETIREMENT SERIES TRUST
- **DATE OF NAME CHANGE:** 20060801

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Retirement Series Trust
- **DATE OF NAME CHANGE:** 20060206

## Series and Classes Contracts Data

### Columbia Commodity Strategy Fund (Series ID: S000033328)

| Class ID   | Class Name                                             | Ticker Symbol   |
|:---|:---|:---|
| C000117664 | Columbia Commodity Strategy Fund Class A               | CCSAX           |
| C000117665 | Columbia Commodity Strategy Fund Class C               | CCSCX           |
| C000117666 | Columbia Commodity Strategy Fund Class R               | CCSRX           |
| C000117667 | Columbia Commodity Strategy Fund Institutional Class   | CCSZX           |
| C000126957 | Columbia Commodity Strategy Fund Advisor Class         | CCOMX           |
| C000138343 | Columbia Commodity Strategy Fund Institutional 2 Class | CADLX           |
| C000149225 | Columbia Commodity Strategy Fund Institutional 3 Class | CCFYX           |

## 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 Series Trust II

- **b. Investment Company Act file number:** 811-21852

- **c. CIK number of Registrant:** 0001352280

- **d. LEI of Registrant:** 549300ETFU8G7TK7WT48

- **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 Commodity Strategy Fund

- **b. EDGAR series identifier (if any):** S000033328

- **c. LEI of Series:** WYLFPRJKMBQ25JFLQU04

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $187354457.31

**Total Liabilities:** $1486537.23

**Net Assets:** $185867920.08

**Amount of Assets Invested in Other Investment Companies:** $39982447.52

**Cash Not Reported:** $20347176.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 734.634600000000 | **1-Year:** 19884.903600000000 | **5-Year:** 634.256400000000 | **10-Year:** 267.146400000000 | **30-Year:** 86.837400000000

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

- **3-Month:** 8.559000000000 | **1-Year:** 326.460600000000 | **5-Year:** 3444.479500000000 | **10-Year:** 3094.711800000000 | **30-Year:** 3666.324400000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117664 | -9.26%               | 2.39%                | 4.40%                |
| Class ID C000117665 | -9.36%               | 2.37%                | 4.29%                |
| Class ID C000117666 | -9.27%               | 2.35%                | 4.42%                |
| Class ID C000117667 | -9.26%               | 2.43%                | 4.44%                |
| Class ID C000126957 | -9.26%               | 2.46%                | 4.39%                |
| Class ID C000138343 | -9.27%               | 2.44%                | 4.45%                |
| Class ID C000149225 | -9.22%               | 2.46%                | 4.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4775216.69             | $400680.74                                 |
| Month 2  | $-9326249.93             | $-39476.67                                 |
| Month 3  | $-29078.58               | $322149.87                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN TOWER CORP                                             | AMERICAN TOWER CORPORATION         | CUSIP: 03027XAT7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    540000 | PA      | $526099.18    | 0.28%             | 2024-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-2             | AMCAR_21-2                         | CUSIP: 03066RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43485 | PA      | $43414.46     | 0.02%             | 2024-11-18      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                       | AMGEN INC                          | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    525000 | PA      | $516825.86    | 0.28%             | 2024-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AXIS EQUIPMENT FINANCE RECEIVABLES TRUST LLC AXIS_21-1A         | AXIS_21-1A                         | CUSIP: 03237KAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343049 | PA      | $330047.43    | 0.18%             | 2026-11-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                         | ASTRAZENECA FINANCE LLC            | CUSIP: 04636NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $541106.57    | 0.29%             | 2024-05-28      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP_17-2A                      | AESOP_17-2A                        | CUSIP: 05377RCU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149192.88    | 0.08%             | 2024-03-20      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC                                        | BAE SYSTEMS HOLDINGS INC           | CUSIP: 05523UAK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    223000 | PA      | $217847.98    | 0.12%             | 2024-10-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BBVA USA                                                        | BBVA USA                           | CUSIP: 05552JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    725000 | PA      | $697432.85    | 0.38%             | 2024-08-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST BMWLT_21-1                              | BMWLT_21-1                         | CUSIP: 05591RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $607927.38    | 0.33%             | 2024-07-25      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST BMWLT_22-1                              | BMWLT_22-1                         | CUSIP: 05601XAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $240919.13    | 0.13%             | 2025-03-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                            | BANK OF AMERICA CORP               | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $991250.00    | 0.53%             | 2024-05-28      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                | BANK OF MONTREAL                   | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $592268.03    | 0.32%             | 2024-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP/THE                                | BANK OF NEW YORK MELLON/THE        | CUSIP: 06406RAT4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26773.85     | 0.01%             | 2024-04-26      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                             | BANK OF NOVA SCOTIA                | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $592405.25    | 0.32%             | 2024-07-31      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                    | BECTON DICKINSON AND COMPANY       | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    550000 | PA      | $537231.86    | 0.29%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-3A                                    | BMIR_21-3A                         | CUSIP: 078777AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1197477 | PA      | $1172128.45   | 0.63%             | 2031-09-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| BELLEMEAD RE LTD BMIR_20-3A                                     | BMIR_20-3A                         | CUSIP: 07877KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72087 | PA      | $72082.85     | 0.04%             | 2030-10-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                       | BOEING CO                          | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    550000 | PA      | $528660.35    | 0.28%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                         | BRISTOL-MYERS SQUIBB CO            | CUSIP: 110122DT2<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    550000 | PA      | $527979.34    | 0.28%             | 2023-11-13      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| BROADCOM CORPORATION/BROADCOM CA                                | BROADCOM CORP/BROADCOM CAYMAN FIN  | CUSIP: 11134LAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $540680.62    | 0.29%             | 2024-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-EB01                     | CFMT_21-EBO1                       | CUSIP: 12530AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    436428 | PA      | $409316.62    | 0.22%             | 2050-11-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                      | CIGNA CORP                         | CUSIP: 125523AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $475963.64    | 0.26%             | 2023-07-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_13-CR6                                 | COMM_13-CR6                        | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514439 | PA      | $512875.74    | 0.28%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                        | CSX CORPORATION                    | CUSIP: 126408HB2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    400000 | PA      | $391075.25    | 0.21%             | 2024-08-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                 | CVS HEALTH CORP                    | CUSIP: 126650DE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    500000 | PA      | $483361.28    | 0.26%             | 2024-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP COMPANY                                           | CAMPBELL SOUP COMPANY              | CUSIP: 134429BE8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    265000 | PA      | $263832.75    | 0.14%             | 2023-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMER                                | CANADIAN IMPERIAL BANK OF COMMERCE | CUSIP: 13607RAE0<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    650000 | PA      | $650287.35    | 0.35%             | 2023-09-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-4                              | CARMX_19-4                         | CUSIP: 14315WAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793643 | PA      | $784819.63    | 0.42%             | 2024-11-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-2                              | CARMX_19-2                         | CUSIP: 14316LAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $992591.30    | 0.53%             | 2024-12-16      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-1                              | CARMX_22-1                         | CUSIP: 14317CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628806 | PA      | $1605582.26   | 0.86%             | 2025-02-18      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINANCIAL SERVICES CORPORATION                      | CATERPILLAR FINANCIAL SERVICES     | CUSIP: 14913R2Y2<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    535000 | PA      | $536742.23    | 0.29%             | 2025-01-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                          | CENTERPOINT ENERGY INC             | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    325000 | PA      | $320019.04    | 0.17%             | 2024-05-13      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS   | CHARTER COMM OPT/OPT CAP           | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $477495.67    | 0.26%             | 2024-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC.                                                | CHEVRON USA INC                    | CUSIP: 166756AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    575000 | PA      | $574475.46    | 0.31%             | 2023-08-11      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                   | CITIGROUP INC                      | CUSIP: 172967LL3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993765.74    | 0.53%             | 2024-05-17      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| CGCMT_13-GC11                                                   | CGCMT_13-GC11                      | CUSIP: 17320DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7 | PA      | $6.67         | 0.00%             | 2046-04-10      | Fixed         | 2.69%                 | 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        |  41173453 | NS      | $41156983.46  | 22.14%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORPORATION                                             | COMCAST CORPORATION                | CUSIP: 20030NCX7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    525000 | PA      | $525791.32    | 0.28%             | 2024-04-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                  | COMMONWEALTH BANK OF AUSTRALIA     | CUSIP: 2027A0KC2<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    575000 | PA      | $575706.59    | 0.31%             | 2024-06-04      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                              | CONAGRA BRANDS INC                 | CUSIP: 205887BR2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    525000 | PA      | $523576.76    | 0.28%             | 2023-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R02                  | CAS_22-R02                         | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2103952 | PA      | $2061244.21   | 1.11%             | 2042-01-25      | Variable      | 4.72%                 | 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        |    658548 | PA      | $650695.98    | 0.35%             | 2042-04-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY COMPANY                                        | CONSUMERS ENERGY COMPANY           | CUSIP: 210518CV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $419992.34    | 0.23%             | 2023-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (NEW YORK BRANCH)                      | COOPERATIEVE RABOBANK UA/NY        | CUSIP: 21688AAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $549917.82    | 0.30%             | 2023-01-10      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                              | CREDIT SUISSE AG/NY                | CUSIP: 22550L2J9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $518840.48    | 0.28%             | 2024-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DLLST LLC DLLST_22-1                                            | DLLST_22-1A                        | CUSIP: 23292GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519452 | PA      | $518174.93    | 0.28%             | 2023-05-22      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                    | DNB BANK ASA                       | CUSIP: 23329PAE0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    525000 | PA      | $524929.69    | 0.28%             | 2022-12-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                              | DTE ENERGY COMPANY                 | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    600000 | PA      | $589654.69    | 0.32%             | 2024-11-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_22-3                                  | DTAOT_22-3A                        | CUSIP: 23345RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1798203.87   | 0.97%             | 2026-10-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_22-1                                  | DTAOT_22-1A                        | CUSIP: 23345YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662314 | PA      | $1625605.05   | 0.87%             | 2026-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                         | DAIMLER TRUCKS FINANCE NA          | CUSIP: 233853AK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    525000 | PA      | $521833.06    | 0.28%             | 2024-04-05      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                         | JOHN DEERE CAPITAL CORP            | CUSIP: 24422EUG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $550002.37    | 0.30%             | 2023-06-07      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST DEFT_20-1                          | DEFT_20-1                          | CUSIP: 24703NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284860 | PA      | $1283816.99   | 0.69%             | 2023-04-24      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                   | DISCOVER BANK                      | CUSIP: 25466AAK7<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    475000 | PA      | $473343.53    | 0.25%             | 2023-02-06      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                  | WALT DISNEY CO                     | CUSIP: 254687CZ7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    525000 | PA      | $515334.06    | 0.28%             | 2024-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                           | DUPONT DE NEMOURS INC              | CUSIP: 26078JAH3<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    525000 | PA      | $524677.25    | 0.28%             | 2023-11-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2                         | DRIVE_20-2                         | CUSIP: 26208VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241504 | PA      | $239314.39    | 0.13%             | 2026-08-17      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                | DUKE ENERGY CORP                   | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    525000 | PA      | $522368.65    | 0.28%             | 2023-06-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                            | ERAC USA FINANCE LLC               | CUSIP: 26884TAT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $536707.35    | 0.29%             | 2023-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                | EL PASO PIPELINE PARTNERS OP       | CUSIP: 28370TAG4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246780.51    | 0.13%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                              | ENABLE MIDSTREAM PARTNERS LP       | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $243740.46    | 0.13%             | 2024-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                    | ENBRIDGE INC                       | CUSIP: 29250NBK0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    375000 | PA      | $361932.21    | 0.19%             | 2024-02-16      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                               | ENTERPRISE PRODUCTS OPERATING LLC  | CUSIP: 29379VBB8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492185.87    | 0.26%             | 2024-02-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                               | EVERSOURCE ENERGY                  | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    475000 | PA      | $472291.80    | 0.25%             | 2023-08-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHF TRUST FHF_21-1                                              | FHF_21-1A                          | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494385 | PA      | $472057.47    | 0.25%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FHF TRUST FHF_21-2                                              | FHF_21-2A                          | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650253 | PA      | $622015.70    | 0.33%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                          | FFCB                               | CUSIP: 3133ENNK2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1050000 | PA      | $1050041.37   | 0.56%             | 2024-02-09      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SE                                | FIDELITY NATIONAL INFORMATION SERV | CUSIP: 31620MBQ8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    342000 | PA      | $323547.20    | 0.17%             | 2024-03-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST                                      | FIVE CORNERS FUNDING TRUST         | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $545180.72    | 0.29%             | 2023-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-1             | FORDF_20-1                         | CUSIP: 34528QHK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    955000 | PA      | $919992.09    | 0.49%             | 2025-09-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST FORDL_21-B                         | FORDL_21-B                         | CUSIP: 345329AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277000 | PA      | $268944.09    | 0.14%             | 2024-10-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_19-1                         | FORDR_19-1                         | CUSIP: 34532PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    825000 | PA      | $805709.11    | 0.43%             | 2030-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_20-B                         | FORDO_20-B                         | CUSIP: 34533GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $429041.21    | 0.23%             | 2025-11-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST FREED_22-4FP                                    | FREED_22-4FP                       | CUSIP: 35634JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $425345.43    | 0.23%             | 2029-12-18      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| GSMS_13-GC13                                                    | GSMS_13-GC13                       | CUSIP: 36198EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $628460.71    | 0.34%             | 2046-07-10      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3                | GMALT_20-3                         | CUSIP: 362569AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178150 | PA      | $177291.00    | 0.10%             | 2024-10-21      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-1   | GMCAR_20-1                         | CUSIP: 36258NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $292663.77    | 0.16%             | 2025-03-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST GCAR_20-3                            | GCAR_20-3A                         | CUSIP: 36260CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1935220 | PA      | $1916966.62   | 1.03%             | 2025-05-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-1                | GMALT_21-1                         | CUSIP: 36261RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $512494.47    | 0.28%             | 2025-02-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE HOLDING LLC                                       | GE HEALTHCARE HOLDING LLC          | CUSIP: 36267VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    536000 | PA      | $538464.52    | 0.29%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST 2022-SHIP GSMS_22-SHIP | GSMS_22-SHIP                       | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $784028.26    | 0.42%             | 2036-08-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                     | GOLDMAN SACHS GROUP INC            | CUSIP: 38141EB81<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1005066.66   | 0.54%             | 2023-11-29      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                               | HSBC HOLDINGS PLC                  | CUSIP: 404280CU1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    625000 | PA      | $598360.24    | 0.32%             | 2024-08-17      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-B                     | HDMOT_21-B                         | CUSIP: 41285AAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11997 | PA      | $11977.22     | 0.01%             | 2024-12-16      | Fixed         | 0.24%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BUSINESS MACHINES CORP                            | IBM CORP                           | CUSIP: 459200HU8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    425000 | PA      | $419109.11    | 0.23%             | 2024-02-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                             | JPMORGAN CHASE & CO                | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $1006778.96   | 0.54%             | 2025-06-14      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES CACLN_21-2                       | CACLN_21-2                         | CUSIP: 48128U2N8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062170 | PA      | $1960675.38   | 1.05%             | 2028-12-26      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                | KINDER MORGAN ENERGY PARTNERS LP   | CUSIP: 494550BS4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    325000 | PA      | $320762.84    | 0.17%             | 2024-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                       | L3HARRIS TECHNOLOGIES INC          | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    525000 | PA      | $521427.00    | 0.28%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_22-A               | LDPT_22-A                          | CUSIP: 52605AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451052 | PA      | $447656.65    | 0.24%             | 2029-06-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| LDPT_20-REV1                                                    | LDPT_20-REV1                       | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2636760 | PA      | $2595751.68   | 1.40%             | 2028-10-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST LBZZ_21-1                         | LBZZ_21-1A                         | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239814 | PA      | $228229.60    | 0.12%             | 2026-06-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-A               | LDPT_21-A                          | CUSIP: 52607FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90113 | PA      | $89953.26     | 0.05%             | 2028-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-B               | LDPT_21-B                          | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362615 | PA      | $359259.87    | 0.19%             | 2029-02-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| LLEND_21-1A                                                     | LLEND_21-1A                        | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182911 | PA      | $177804.60    | 0.10%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| LOEWS CORPORATION                                               | LOEWS CORPORATION                  | CUSIP: 540424AQ1<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |    525000 | PA      | $518945.03    | 0.28%             | 2023-05-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                             | LOWES COMPANIES INC                | CUSIP: 548661DD6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    550000 | PA      | $534579.64    | 0.29%             | 2024-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                        | MAGALLANES INC                     | CUSIP: 55903VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $473368.81    | 0.25%             | 2024-03-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| MARLIN LEASING RECEIVABLES LLC MLR_22-1A                        | MLR_22-1A                          | CUSIP: 57119HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929752 | PA      | $925726.44    | 0.50%             | 2023-07-20      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1                 | MBART_20-1                         | CUSIP: 58769VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $237196.90    | 0.13%             | 2026-10-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                              | MET LIFE GLOBAL FUNDING I          | CUSIP: 59217GEP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $554136.48    | 0.30%             | 2024-09-27      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECH INC                                              | MICROCHIP TECHNOLOGY INCORPORATED  | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    450000 | PA      | $426167.24    | 0.23%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| MISS PWR CO                                                     | MISSISSIPPI POWER CO               | CUSIP: 605417CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $439770.13    | 0.24%             | 2024-06-28      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| ACC TRUST ACC_22-1                                              | ACC_22-1                           | CUSIP: 00091HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142278 | PA      | $141453.65    | 0.08%             | 2024-09-20      | Fixed         | 1.19%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                        | AT&T INC                           | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    700000 | PA      | $703141.68    | 0.38%             | 2024-06-12      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                      | ABBVIE INC                         | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    550000 | PA      | $538527.18    | 0.29%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                          | CHUBB INA HOLDINGS INC             | CUSIP: 00440EAR8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $539677.02    | 0.29%             | 2024-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY INC.                            | AMERICAN ELECTRIC POWER            | CUSIP: 025537AG6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    525000 | PA      | $524587.88    | 0.28%             | 2022-12-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                        | AMERICAN EXPRESS COMPANY           | CUSIP: 025816BX6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    700000 | PA      | $701587.57    | 0.38%             | 2023-08-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        67 | NC      | $125807.21    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        18 | NC      | $-15495.66    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $1125.63      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $-58283.77    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        17 | NC      | $3873.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $-4547.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CATTLE FEEDER JAN 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         3 | NC      | $2137.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        30 | NC      | $66177.33     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-3183.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ APR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        29 | NC      | $-134897.87   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ JUN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        58 | NC      | $238431.42    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ AUG 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $67894.31     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ AUG 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $-16951.81    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         3 | NC      | $592.71       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         3 | NC      | $-12264.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $94948.40     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        31 | NC      | $168927.95    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        15 | NC      | $-34533.32    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                      | MONDELEZ INTERNATIONAL INC         | CUSIP: 609207AZ8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    550000 | PA      | $530281.16    | 0.29%             | 2024-03-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                  | MORGAN STANLEY                     | CUSIP: 61744YAG3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000856.95   | 0.54%             | 2024-05-08      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                          | NXP BV                             | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    525000 | PA      | $520287.19    | 0.28%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD ( NEW YORK BRANCH)                  | NATIONAL AUSTRALIA BANK LTD/NY     | CUSIP: 63254ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    535000 | PA      | $537233.39    | 0.29%             | 2024-11-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                    | NEW YORK LIFE GLOBAL FUNDING       | CUSIP: 64952WDZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $474955.83    | 0.26%             | 2023-02-02      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                             | NEXTERA ENERGY CAPITAL HOLDINGS    | CUSIP: 65339KCE8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    425000 | PA      | $422511.81    | 0.23%             | 2024-03-21      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST NALT_21-A                               | NALT_21-A                          | CUSIP: 65480DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1019749.92   | 0.55%             | 2024-08-15      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                           | ONTARIO (PROVINCE OF)              | CUSIP: 683234C89<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |    550000 | PA      | $547745.28    | 0.29%             | 2023-01-24      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC OPTN_22-3                                   | OPTN_22-3                          | CUSIP: 68378PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $599673.30    | 0.32%             | 2030-01-08      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                              | ORACLE CORPORATION                 | CUSIP: 68389XBL8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    500000 | PA      | $489901.73    | 0.26%             | 2023-09-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES CORPORATION                              | PPL ELECTRIC UTILITIES CORPORATION | CUSIP: 69351UAY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $493232.96    | 0.27%             | 2024-06-24      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-5                        | PAID_21-5                          | CUSIP: 69547EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259062 | PA      | $249090.61    | 0.13%             | 2029-08-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                        | PAID_21-1                          | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781059 | PA      | $766477.59    | 0.41%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| PIONEER NAT RES CO                                              | PIONEER NATURAL RESOURCES COMPANY  | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    425000 | PA      | $416656.07    | 0.22%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) JAN 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        13 | NC      | $-66436.31    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) MAR 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $-2498.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) MAY 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $-15720.03    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) JUL 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        15 | NC      | $-32309.44    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PLAINS ALL AMERICAN PIPELINE LP                                 | PLAINS ALL AMERICAN PIPELINE LP    | CUSIP: 72650RBF8<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    500000 | PA      | $482012.51    | 0.26%             | 2024-11-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                            | PRET_21-RN2                        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    566022 | PA      | $511749.38    | 0.28%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                | PRINCIPAL LIFE GLOBAL FUNDING II   | CUSIP: 74256LEJ4<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    625000 | PA      | $594363.27    | 0.32%             | 2024-01-08      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                    | PUBLIC SERVICE ENTERPRISE GROUP    | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    300000 | PA      | $287615.18    | 0.15%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                    | QUALCOMM INC                       | CUSIP: 747525AS2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600224.60    | 0.32%             | 2023-01-30      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                                            | QUEBEC (PROVINCE OF)               | CUSIP: 748149AG6<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |    525000 | PA      | $522680.90    | 0.28%             | 2023-02-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                | RELX CAPITAL INC                   | CUSIP: 74949LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $472810.05    | 0.25%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORPORATION                               | RAYTHEON TECHNOLOGIES CORPORATION  | CUSIP: 75513ECG4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    550000 | PA      | $539462.31    | 0.29%             | 2024-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                              | ROCHE HOLDINGS INC                 | CUSIP: 771196BZ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    525000 | PA      | $524070.84    | 0.28%             | 2023-09-11      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                            | ROYAL BANK OF CANADA               | CUSIP: 78013XW61<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    575000 | PA      | $573976.17    | 0.31%             | 2023-10-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| SCF EQUIPMENT TRUST LLC SCFET_21-1A                             | SCFET_21-1A                        | CUSIP: 783897AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64930 | PA      | $64758.47     | 0.03%             | 2026-08-20      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-B                      | SRT_21-B                           | CUSIP: 80286DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201901 | PA      | $200308.36    | 0.11%             | 2024-01-22      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-4               | SDART_22-4                         | CUSIP: 80286FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $870035.34    | 0.47%             | 2025-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_19-2               | SDART_19-2                         | CUSIP: 80286GAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306467 | PA      | $304141.96    | 0.16%             | 2025-07-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-2               | SDART_22-2                         | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493987 | PA      | $491547.71    | 0.26%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-A                      | SRT_21-A                           | CUSIP: 80286TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $426602.57    | 0.23%             | 2024-07-22      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         5 | NC      | $7104.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        14 | NC      | $-153804.05   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         9 | NC      | $26998.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        19 | NC      | $-55678.12    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        20 | NC      | $-32824.53    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE MAY 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        20 | NC      | $-38733.22    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-4               | SDART_20-4                         | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507231 | PA      | $501065.67    | 0.27%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                  | SHELL INTERNATIONAL FINANCE BV     | CUSIP: 822582CA8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    650000 | PA      | $650260.29    | 0.35%             | 2023-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAATSCHAPPIJ N.V.                          | SIEMENS FINANCIERINGSMAATSCHAPPIJ  | CUSIP: 82620KAV5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    600000 | PA      | $592414.76    | 0.32%             | 2023-03-11      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                                | SKANDINAVISKA ENSKILDA BANKEN AB   | CUSIP: 83051GAP3<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    525000 | PA      | $523206.37    | 0.28%             | 2023-09-01      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE JUL 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        41 | NC      | $-119964.91   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM JAN 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        13 | NC      | $37180.41     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTHERN NATURAL GAS COMPANY LLC                                | SOUTHERN NATURAL GAS COMPANY       | CUSIP: 84346LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $268620.48    | 0.14%             | 2023-04-28      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                               | STATE STREET CORPORATION           | CUSIP: 857477BC6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    525000 | PA      | $518629.04    | 0.28%             | 2024-12-03      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                        | SVENSKA HANDELSBANKEN AB           | CUSIP: 86959LAF0<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |    600000 | PA      | $584440.71    | 0.31%             | 2023-06-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                | T-MOBILE USA INC                   | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    350000 | PA      | $339018.51    | 0.18%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM MAR 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        20 | NC      | $56002.90     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM MAY 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        20 | NC      | $85865.15     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_21-1                                 | THRM_21-1A                         | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226111 | PA      | $221937.49    | 0.12%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER                                                   | THERMO FISHER SCIENTIFIC INC       | CUSIP: 883556CN0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    525000 | PA      | $524309.14    | 0.28%             | 2023-04-18      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM JUL 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        40 | NC      | $144393.55    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        26 | NC      | $35737.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE APR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $8823.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE APR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-333.80      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE JUN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        45 | NC      | $29258.58     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE AUG 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $16735.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS FEB 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        52 | NC      | $-61048.30    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS APR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        17 | NC      | $-22475.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS JUN 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $38867.90     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS JUN 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $-3074.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        15 | NC      | $-13484.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME LEAD JAN 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        15 | NC      | $75130.80     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                       | TORONTO-DOMINION BANK/THE          | CUSIP: 89114TZS4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $598165.34    | 0.32%             | 2024-03-08      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_21-SJ2                           | TPMT_21-SJ2                        | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    961302 | PA      | $874732.35    | 0.47%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL JAN 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         2 | NC      | $53278.14     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL MAR 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         8 | NC      | $234333.06    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                        | TOYOTA MOTOR CREDIT CORP           | CUSIP: 89236TJG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $584193.91    | 0.31%             | 2024-06-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                     | TRUIST FINANCIAL CORP              | CUSIP: 89788JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $599956.35    | 0.32%             | 2024-01-17      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                 | TYSON FOODS INC                    | CUSIP: 902494BG7<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495290.66    | 0.27%             | 2023-09-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                    | UBS GROUP AG                       | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    650000 | PA      | $636304.30    | 0.34%             | 2025-08-05      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST UBSBB_13-C5              | UBSBB_13-C5                        | CUSIP: 90270YBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75029 | PA      | $74787.03     | 0.04%             | 2046-03-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| USASF RECIEVABLES LLC USAUT_21_1                                | USAUT_21-1A                        | CUSIP: 90355EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23665 | PA      | $23631.85     | 0.01%             | 2024-07-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORPORATION                                       | UNION PACIFIC CORPORATION          | CUSIP: 907818DM7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    475000 | PA      | $473775.24    | 0.25%             | 2023-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST UACST_22-1              | UACST_22-1                         | CUSIP: 90944DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188489 | PA      | $187839.00    | 0.10%             | 2024-07-10      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                      | US BANCORP                         | CUSIP: 91159HHX1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    625000 | PA      | $603425.06    | 0.32%             | 2024-07-30      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                          | TREASURY NOTE                      | CUSIP: 91282CBD2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   1075000 | PA      | $1071436.12   | 0.58%             | 2022-12-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                          | UNITEDHEALTH GROUP INC             | CUSIP: 91324PEM0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    393000 | PA      | $396168.44    | 0.21%             | 2024-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-3                          | UPST_21-3                          | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835668 | PA      | $808090.26    | 0.43%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST6                         | UPSPT_21-ST6                       | CUSIP: 91680VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232720 | PA      | $216339.51    | 0.12%             | 2027-08-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL4                                               | VCAT_21-NPL4                       | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1477372 | PA      | $1367636.59   | 0.74%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL5                                               | VCAT_21-NPL5                       | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    813295 | PA      | $739204.03    | 0.40%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                      | VERIZON COMMUNICATIONS INC         | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    700000 | PA      | $694798.78    | 0.37%             | 2024-03-22      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| VERIZON OWNER TRUST VZOT_20-A                                   | VZOT_20-A                          | CUSIP: 92348TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528378 | PA      | $524771.93    | 0.28%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST VWALT_20-A                          | VWALT_20-A                         | CUSIP: 92868VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415724 | PA      | $412947.45    | 0.22%             | 2024-01-22      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                             | WELLPOINT INC                      | CUSIP: 94973VBJ5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488942.14    | 0.26%             | 2024-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                           | WELLS FARGO & COMPANY              | CUSIP: 95000U2T9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    925000 | PA      | $862170.17    | 0.46%             | 2025-05-19      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_21-2A               | WLAKE_21-2A                        | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2081000 | PA      | $2007576.08   | 1.08%             | 2026-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_22-1A               | WLAKE_22-1A                        | CUSIP: 96042WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216427 | PA      | $213789.11    | 0.12%             | 2024-12-16      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                            | WESTPAC BANKING CORP               | CUSIP: 961214EB5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    525000 | PA      | $525783.70    | 0.28%             | 2024-02-26      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST WFRBS_13-C18                   | WFRBS_13-C18                       | CUSIP: 96221QAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215969 | PA      | $213401.44    | 0.11%             | 2046-12-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                          | WILLIAMS COMPANIES INC             | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    525000 | PA      | $519686.61    | 0.28%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_18-D                    | WOART_18-D                         | CUSIP: 98162WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775340 | PA      | $774957.59    | 0.42%             | 2024-12-16      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST WOSAT_21-A                         | WOSAT_21-A                         | CUSIP: 98163HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1267000 | PA      | $1216023.52   | 0.65%             | 2027-03-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_22-A      | WOLS_22-A                          | CUSIP: 98163NAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1716971 | PA      | $1693294.27   | 0.91%             | 2024-10-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL JAN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        37 | NC      | $155294.96    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        32 | NC      | $201957.23    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL MAY 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         8 | NC      | $128002.56    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL JUL 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        15 | NC      | $267631.05    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        32 | NC      | $100362.55    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        59 | NC      | $103491.79    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $-5872.15     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN MAR 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        96 | NC      | $15435.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN MAR 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        34 | NC      | $-5909.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN MAY 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        87 | NC      | $-67409.02    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC JAN 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        53 | NC      | $239610.46    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC MAR 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        12 | NC      | $59059.09     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC MAY 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        12 | NC      | $-2328.41     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC JUL 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        25 | NC      | $116839.25    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN JUL 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       174 | NC      | $-130269.45   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COCOA MAR 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $9063.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE JAN 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        33 | NC      | $-154898.55   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        35 | NC      | $-38604.20    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE MAY 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $14438.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE MAY 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $-2463.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        70 | NC      | $-48399.56    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        41 | NC      | $5804.13      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         5 | NC      | $-21160.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAY 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $960.74       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAY 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        28 | NC      | $-125080.32   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) JUL 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        44 | NC      | $8846.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) JUL 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        15 | NC      | $-1732.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) SEP 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        30 | NC      | $-27332.43    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS JAN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       117 | NC      | $-193289.68   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       129 | NC      | $-227396.33   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       105 | NC      | $232494.15    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       153 | NC      | $370472.83    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL JAN 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        39 | NC      | $19541.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL JAN 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         8 | NC      | $-46043.04    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL MAR 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        13 | NC      | $-64701.94    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL MAY 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        14 | NC      | $-56728.69    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL JUL 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        28 | NC      | $-117432.21   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN JAN 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        15 | NC      | $24464.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MAR 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        29 | NC      | $126005.58    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MAY 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $29448.78     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MAY 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $-17.87       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN JUL 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        57 | NC      | $141568.48    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        76 | NC      | $85191.42     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 MAY 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        64 | NC      | $61723.49     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 MAY 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $-1677.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       121 | NC      | $76042.09     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        20 | NC      | $-1797.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SILVER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $18038.88     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SILVER MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        20 | NC      | $201315.36    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SILVER JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        39 | NC      | $174986.55    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) JAN 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        34 | NC      | $51576.36     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) MAR 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        30 | NC      | $56468.98     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) MAY 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        30 | NC      | $9840.46      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) JUL 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        61 | NC      | $84787.01     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | US 2YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-23803.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT MAR 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $-47992.47    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT MAY 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        35 | NC      | $-121271.51   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT JUL 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        70 | NC      | $-235789.21   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB JAN 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $801.74       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB JAN 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $-18030.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB MAR 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $-16265.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB MAY 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $10074.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB JUL 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        14 | NC      | $-25777.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-22

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer