# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001413032-25-000096
**Filing Date:** 2025-8
**Character Count:** 118283
**Document Hash:** a93fbd0dbd2551fdadda9df036ac682f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001413032-25-000096.hdr.sgml**: 20250822

**ACCESSION NUMBER**: 0001413032-25-000096

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250822

**DATE AS OF CHANGE**: 20250822

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22127
- **FILM NUMBER:** 251244759

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** RiverSource Variable Series Trust
- **DATE OF NAME CHANGE:** 20070920

## Series and Classes Contracts Data

### CTIVP - BlackRock Global Inflation-Protected Securities Fund (Series ID: S000019839)

| Class ID   | Class Name                                                           | Ticker Symbol   |
|:---|:---|:---|
| C000055676 | CTIVP - BlackRock Global Inflation-Protected Securities Fund Class 3 |  |
| C000088755 | CTIVP - BlackRock Global Inflation-Protected Securities Fund Class 1 |  |
| C000088756 | CTIVP - BlackRock Global Inflation-Protected Securities Fund Class 2 |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** CTIVP - BlackRock Global Inflation-Protected Securities Fund

- **b. EDGAR series identifier (if any):** S000019839

- **c. LEI of Series:** 4J0QTYYKWTDXQFW9VU43

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $71069856.71

**Total Liabilities:** $1737085.59

**Net Assets:** $69332771.12

**Delayed Delivery Securities:** $267632.03

**Cash Not Reported:** $515972.93

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 126.018500000000 | **1-Year:** 646.918700000000 | **5-Year:** 2581.141800000000 | **10-Year:** 6455.120300000000 | **30-Year:** 3221.122400000000

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

- **3-Month:** 1589.406100000000 | **1-Year:** 185.095500000000 | **5-Year:** 1.059100000000 | **10-Year:** 99.276900000000 | **30-Year:** -757.132000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055676 | 0.23%                | -0.68%               | 1.36%                |
| Class ID C000088755 | 0.22%                | -0.45%               | 1.13%                |
| Class ID C000088756 | 0.23%                | -0.46%               | 1.16%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-507174.99              | $1673403.61                                |
| Month 2  | $-178633.33              | $-340992.15                                |
| Month 3  | $-158306.61              | $1329203.75                                |

**Designated Index Information**

- **Index Name:** BBG World Gov Inflation Linked Bond Index USD Hedged

- **Index Identifier:** BCLYILUSDH

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     305962 | PA      | $221977.53    | 0.32%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .25 02/15/2050 (TIPS)       | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     368092 | PA      | $213637.23    | 0.31%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     468221 | PA      | $255015.73    | 0.37%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     482502 | PA      | $257685.96    | 0.37%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     453260 | PA      | $359155.28    | 0.52%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     397199 | PA      | $363669.64    | 0.52%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     198241 | PA      | $191743.86    | 0.28%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .375 07/15/2027 (TIPS)      | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      26228 | PA      | $25876.78     | 0.04%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .50 01/15/2028 (TIPS)       | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1097517 | PA      | $1076853.07   | 1.55%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .875 01/15/2029 (TIPS)      | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     152455 | PA      | $150096.91    | 0.22%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .25 07/15/2029 (TIPS)       | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1072273 | PA      | $1029381.70   | 1.48%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .125 07/15/2026 (TIPS)      | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     998379 | PA      | $989565.44    | 1.43%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .375 01/158/2027 (TIPS)     | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     126162 | PA      | $124432.10    | 0.18%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 07/15/2028 .75 (TIPS)       | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     529084 | PA      | $522594.18    | 0.75%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .125 01/15/2030 (TIPS)      | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     704470 | PA      | $664733.72    | 0.96%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .125 07/15/2030 (TIPS)      | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1201142 | PA      | $1128041.62   | 1.63%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 01/15/2031 .125 (TIPS)      | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1102935 | PA      | $1021550.78   | 1.47%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1196900 | PA      | $1101475.28   | 1.59%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     921566 | PA      | $910910.84    | 1.31%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1261413 | PA      | $1143106.62   | 1.65%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1131702 | PA      | $1055445.20   | 1.52%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     915076 | PA      | $926335.57    | 1.34%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1141556 | PA      | $1090543.10   | 1.57%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY .40% 5/15/2030 (FTIPS)       | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     451855 | PA      | $518007.44    | 0.75%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN .10% 03/10/2029 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   32500000 | PA      | $261549.58    | 0.38%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                     | GERMANY .50% 4/15/2030 (FTIPS)     | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     594555 | PA      | $699304.72    | 1.01%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                     | GERMANY (FEDERAL REPUBLIC OF)      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     282141 | PA      | $317485.12    | 0.46%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                | SPAIN 1.0% 11/30/2030 (FTIPS)      | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     510936 | PA      | $607132.52    | 0.88%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                               | SWEDISH GOVERNMENT I/L 3111 0.125  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     595000 | PA      | $81936.08     | 0.12%             | 2032-06-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.543000 22-APR-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      73000 | OU      | $3861.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.549500 07-MAY-2049 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      10000 | OU      | $-160.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.428700 19-JUN-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      17000 | OU      | $1353.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.428700 20-JUN-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      16000 | OU      | $1273.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.467500 15-JUL-2049 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      10000 | OU      | $-28.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.176200 07-AUG-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     280000 | OU      | $4552.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.310000 23-AUG-2049 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |       5000 | OU      | $123.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.275200 28-AUG-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     115000 | OU      | $1557.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: JPY 1.026500 12-MAR-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |  114986592 | OU      | $-1829.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: JPY 1.018460 12-MAR-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |  106524855 | OU      | $-1636.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.833750 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     115000 | OU      | $-438.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.687500 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      92000 | OU      | $-401.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.685000 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      46000 | OU      | $-194.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.835500 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      58000 | OU      | $-226.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.835000 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      57000 | OU      | $-221.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.684000 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      46000 | OU      | $-192.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.723500 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      92000 | OU      | $-563.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.869500 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     115000 | OU      | $-647.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.669500 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      60000 | OU      | $-208.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.832000 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      79000 | OU      | $-294.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.648000 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      61379 | OU      | $-149.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.396400 09-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     235000 | OU      | $1020.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: OIS 0.675830 21-APR-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   45849057 | OU      | $436.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: OIS 0.683000 21-APR-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   45319245 | OU      | $409.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.884700 07-MAY-2027 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     200000 | OU      | $-857.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: JPY 0.698000 11-MAY-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   36190189 | OU      | $315.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.915200 12-MAY-2027 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     805000 | OU      | $-3657.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.803000 15-JUL-2027 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     925000 | OU      | $-4189.28     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | USD P MXN C @19.10000 EO           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |     526000 | NC      | $11970.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | USD P MXN C @18.50000 EO           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |    -526000 | NC      | $-2906.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.789500 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     115000 | OU      | $-180.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.641000 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      92000 | OU      | $-192.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | USD P JPY C @150.0000 EO           | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |     373000 | NC      | $590.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.514000 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     526000 | OU      | $2154.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |   -1027000 | OU      | $-13942.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |    -960000 | OU      | $-4409.28     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |     -17067 | OU      | $-101.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |   -1564000 | OU      | $-2388.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | DK        |   -1099000 | OU      | $-6856.26     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |  -13687228 | OU      | $-642897.81   | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     -34000 | OU      | $-634.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |  -10056000 | OU      | $12109.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | JP        |   -9234730 | OU      | $119.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | SE        |   -3763000 | OU      | $-6283.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | AUSTRALIA DOLLAR                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | AU        |     960000 | OU      | $4351.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |    1564000 | OU      | $2147.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     211179 | OU      | $8046.09      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     222410 | OU      | $5316.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |   10056000 | OU      | $-12520.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                              | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |     668428 | OU      | $326.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | CA        |   -1576000 | OU      | $-16090.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | DK        |   -1099000 | OU      | $-1055.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | XX        |    -256000 | OU      | $-5787.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS COMPANY LLC                     | VISTRA OPERATIONS COMPANY LLC      | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      55000 | PA      | $57139.05     | 0.08%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | WELLS FARGO & COMPANY              | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      27000 | PA      | $27697.51     | 0.04%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE 3.40% 7/25/2029 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     220000 | PA      | $429660.09    | 0.62%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | GB        |  -10388000 | OU      | $-268022.50   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | JP        | -224478000 | OU      | $813.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK 2.00% 1/26/2035 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     215000 | PA      | $708201.06    | 1.02%             | 2035-01-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE 3.15% 7/25/2032 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     498163 | PA      | $673763.02    | 0.97%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | JP        |   -4199000 | OU      | $952.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | JP        | -233430000 | OU      | $-8113.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | NZ        |    -466000 | OU      | $-5587.43     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | NZ        |    -463000 | OU      | $-1530.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                       | AUSTRALIA 2.5% 09/20/2030 (FTIPS)  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     140000 | PA      | $142772.51    | 0.21%             | 2030-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY 3.10% 9/15/2026 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     366260 | PA      | $445558.96    | 0.64%             | 2026-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | SE        |   -3761000 | OU      | $-1374.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | CA        |      17000 | OU      | $26.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .375% 03/22/2062 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     451950 | PA      | $354565.64    | 0.51%             | 2062-03-22      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 3/22/2029 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     542093 | PA      | $729691.31    | 1.05%             | 2029-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | DANISH KRONA                       | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | DK        |    1099000 | OU      | $1015.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | XX        |   13656000 | OU      | $68615.72     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                       | NEW ZEALAND 3% 9/20/2030 (FTIPS)   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |      90000 | PA      | $77403.95     | 0.11%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                               | SWEDISH GOVERNMENT I/L 3114 0.125  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     360000 | PA      | $46220.90     | 0.07%             | 2030-06-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 10YR #26     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   16400000 | PA      | $135989.22    | 0.20%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     197802 | PA      | $194816.76    | 0.28%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | BRITISH POUND                      | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | GB        |      42000 | OU      | $728.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | JAPANESE YEN                       | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | JP        |  233430000 | OU      | $7539.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     110000 | PA      | $120487.59    | 0.17%             | 2039-03-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                     | GERMANY (FEDERAL REPUBLIC OF)      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      75000 | PA      | $78291.88     | 0.11%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | MX        |     649812 | OU      | $342.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | NEW ZEALAND DOLLAR                 | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | NZ        |     463000 | OU      | $1505.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | SE        |    3761000 | OU      | $1302.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                               | SWEDEN 3.50% 12/01/2028 (FTIPS)    | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    1255000 | PA      | $236441.15    | 0.34%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     277000 | PA      | $331906.75    | 0.48%             | 2035-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 11/22/2065 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     274893 | PA      | $183256.08    | 0.26%             | 2065-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     330000 | PA      | $456793.93    | 0.66%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                       | AUSTRALIA (COMMONWEALTH OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     100000 | PA      | $57074.28     | 0.08%             | 2050-02-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                       | AUSTRALIA .75% 11/21/2027 (FTIPS)  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     155000 | PA      | $128537.25    | 0.19%             | 2027-11-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                       | NEW ZEALAND (GOVERNMENT OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     113000 | PA      | $83484.96     | 0.12%             | 2040-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY 2.35% 9/15/2035 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     420511 | PA      | $534176.91    | 0.77%             | 2035-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK 1.125% 11/22/2037 (FTIPS)       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     546892 | PA      | $707435.33    | 1.02%             | 2037-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                | SPAIN .65% 11/30/2027 (FTIPS)      | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     503582 | PA      | $595665.24    | 0.86%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE .10% 7/25/2036 (FTIPS)      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     364852 | PA      | $374094.94    | 0.54%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF (GOVERNMENT)                   | DENMARK (KINGDOM OF)               | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     730000 | PA      | $131895.36    | 0.19%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN .10% 03/10/2028 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   30100000 | PA      | $243115.70    | 0.35%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     380580 | PA      | $393156.61    | 0.57%             | 2041-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                | SPAIN .70% 11/30/2033 (FTIPS)      | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     564016 | PA      | $639233.52    | 0.92%             | 2033-11-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE .10% 03/01/2029 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     603249 | PA      | $694211.19    | 1.00%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                       | AUSTRALIA (COMMONWEALTH OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     115000 | PA      | $80368.59     | 0.12%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM GILT INFLATION LINK | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     150016 | PA      | $108506.02    | 0.16%             | 2073-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     166408 | PA      | $185634.95    | 0.27%             | 2034-07-25      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 10YR #27     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   19300000 | PA      | $154713.06    | 0.22%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 10YR #25     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    7800000 | PA      | $64539.94     | 0.09%             | 2030-03-10      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     259318 | PA      | $342369.33    | 0.49%             | 2033-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     100274 | PA      | $123348.49    | 0.18%             | 2039-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE .10% 3/1/2036 (FTIPS)       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     250000 | PA      | $293449.71    | 0.42%             | 2036-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     371396 | PA      | $447008.61    | 0.64%             | 2029-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     505350 | PA      | $537104.67    | 0.77%             | 2033-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM OF (GOVERNMENT)                   | BELGIUM KINGDOM OF (GOVERNMENT)    | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |      89960 | PA      | $94045.77     | 0.14%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     317447 | PA      | $356809.04    | 0.51%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE .70% 07/25/2030 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     500249 | PA      | $588095.74    | 0.85%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     356169 | PA      | $468137.11    | 0.68%             | 2031-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     321365 | PA      | $264060.72    | 0.38%             | 2051-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE .10% 3/1/2032 (FTIPS)       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     190000 | PA      | $241375.15    | 0.35%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     177844 | PA      | $129930.71    | 0.19%             | 2051-05-15      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | CORP              | BE        |     379830 | PA      | $383144.02    | 0.55%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA 1.25% 12/01/2047 (FTIPS)    | CUSIP: 000000000<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     218679 | PA      | $148163.34    | 0.21%             | 2047-12-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 30YR #86     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   19850000 | PA      | $126420.29    | 0.18%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST ACRA_24-NQM1                           | ACRA_24-NQM1                       | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     139702 | PA      | $140138.57    | 0.20%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| AREIT CRE TRUST AREIT_24-CRE9                     | AREIT_24-CRE9                      | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174216 | PA      | $174652.34    | 0.25%             | 2041-05-17      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS                                              | UMBS 30YR TBA(REG A)               | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     271000 | PA      | $270938.00    | 0.39%             | 2055-07-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST BFLD_24-VICT                           | BFLD_24-VICT                       | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15000 | PA      | $15037.49     | 0.02%             | 2041-07-15      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | BANK OF AMERICA CORP               | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      27000 | PA      | $27735.75     | 0.04%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | BROADCOM INC                       | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      60000 | PA      | $53519.38     | 0.08%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_22-NQM5                           | CSMC_22-NQM5                       | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     211352 | PA      | $216552.11    | 0.31%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA (GOVERNMENT OF)             | CUSIP: 135087G99<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     220019 | PA      | $122595.97    | 0.18%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA (GOVERNMENT OF)             | CUSIP: 135087M43<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      40946 | PA      | $20420.44     | 0.03%             | 2054-12-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA 4.25% 12/01/26 (FTIPS)      | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     232562 | PA      | $179564.76    | 0.26%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_22-SFR3                           | AMSR_22-SFR3                       | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155000 | PA      | $149903.32    | 0.22%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                | ORACLE CORPORATION                 | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      60000 | PA      | $60142.21     | 0.09%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC2                         | PRKCM_22-AFC2                      | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      71517 | PA      | $71373.17     | 0.10%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR7    | PROG_22-SFR7                       | CUSIP: 74333CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $199201.28    | 0.29%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SG CAPITAL PARTNERS SGR_21-1                      | SGR_21-1                           | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     129830 | PA      | $107439.39    | 0.15%             | 2061-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST SGR_22-2            | SGR_22-2                           | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      78006 | PA      | $77837.55     | 0.11%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)       | UNITED MEXICAN STATES              | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $168740.30    | 0.24%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)       | MEXICO (UNITED MEXICAN STATES) (GO | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $208833.81    | 0.30%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 3.625 04/15/28 (TIPS)       | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     696173 | PA      | $740119.35    | 1.07%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 3.875 04/15/29 (TIPS)       | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     809827 | PA      | $884039.89    | 1.28%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 3.375 04/15/32 (TIPS)       | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200610 | PA      | $223265.16    | 0.32%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 1.75 01/15/28 (TIPS)        | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     459381 | PA      | $465105.32    | 0.67%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 2.5 01/15/29 (TIPS)         | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     534162 | PA      | $555737.35    | 0.80%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 2.125 02/15/40 (TIPS)       | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     471976 | PA      | $465873.10    | 0.67%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 2.125 02/15/41 (TIPS)       | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     747089 | PA      | $731067.25    | 1.05%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .75 02/15/42 (TIPS)         | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     694228 | PA      | $538949.04    | 0.78%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .625 02/15/2043 (TIPS)      | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     655791 | PA      | $487052.90    | 0.70%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 1.375 02/15/2044 (TIPS)     | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     681343 | PA      | $572088.38    | 0.83%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .75% 02/15/2045 (TIPS)      | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     667522 | PA      | $487291.13    | 0.70%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 03/22/2058 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     364655 | PA      | $269442.86    | 0.39%             | 2058-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     245754 | PA      | $186337.54    | 0.27%             | 2053-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      23770 | PA      | $28276.04     | 0.04%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     297469 | PA      | $326561.03    | 0.47%             | 2054-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                | SPAIN (KINGDOM OF)                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |      87819 | PA      | $100028.35    | 0.14%             | 2036-11-30      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 10YR #29     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   22000000 | PA      | $161382.64    | 0.23%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     253533 | PA      | $298147.45    | 0.43%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     146104 | PA      | $153341.34    | 0.22%             | 2043-07-25      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK 1.25% 11/22/2055 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     454096 | PA      | $500738.42    | 0.72%             | 2055-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     632106 | PA      | $885697.03    | 1.28%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE 1.80% 7/25/2040 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     506874 | PA      | $616618.19    | 0.89%             | 2040-07-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK 1.25% 11/22/2032 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     398251 | PA      | $553218.24    | 0.80%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .625% 11/22/2042 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     511115 | PA      | $562889.34    | 0.81%             | 2042-11-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .50% 3/22/2050 (FTIPS)          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     598106 | PA      | $560222.82    | 0.81%             | 2050-03-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY 2.55% 9/15/2041 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     542006 | PA      | $686948.33    | 0.99%             | 2041-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .625% 3/22/2040 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     557262 | PA      | $641858.20    | 0.93%             | 2040-03-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE 1.85% 7/25/2027 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     731554 | PA      | $888527.05    | 1.28%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .75% 03/22/2034 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     536892 | PA      | $702836.69    | 1.01%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.547200 03-OCT-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     775000 | OU      | $5512.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                | SPAIN (KINGDOM OF)                 | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     145462 | PA      | $179711.82    | 0.26%             | 2039-11-30      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.490000 19-FEB-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      90090 | OU      | $5917.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.505500 20-FEB-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      90090 | OU      | $5590.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.513000 20-FEB-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     126000 | OU      | $7597.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.510500 01-MAR-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      45000 | OU      | $2729.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.455500 22-MAR-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      19000 | OU      | $1401.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 3.670200 15-MAR-2034 UKR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     275000 | OU      | $-12066.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                       | NEW ZEALAND 2.5% 9/20/2035 (FTIPS) | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     158000 | PA      | $125088.56    | 0.18%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      15434 | PA      | $20527.93     | 0.03%             | 2035-09-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 30YR #85     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   14200000 | PA      | $88550.67     | 0.13%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      66052 | PA      | $80193.63     | 0.12%             | 2056-05-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVERNMENT OF) 10YR #30     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    5100000 | PA      | $36001.40     | 0.05%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                       | AUSTRALIA 1.25% 08/21/2040 (FTIPS) | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     135000 | PA      | $99499.20     | 0.14%             | 2040-08-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 11/22/2056 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     215309 | PA      | $162931.17    | 0.23%             | 2056-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY 1.25% 9/15/2032 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     413988 | PA      | $489434.39    | 0.71%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                              | FRANCE .10% 07/25/2047 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     357459 | PA      | $297456.90    | 0.43%             | 2047-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                               | ITALY 1.30% 5/15/2028 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     436881 | PA      | $522337.70    | 0.75%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN .10% 03/10/2027 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   32500000 | PA      | $265291.10    | 0.38%             | 2027-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                     | GERMANY .10% 04/15/2046 (FTIPS)    | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     396125 | PA      | $381878.33    | 0.55%             | 2046-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 08/10/2048 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     373231 | PA      | $322983.38    | 0.47%             | 2048-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UNITED KINGDOM (GOVERNMENT OF)     | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     554542 | PA      | $753961.37    | 1.09%             | 2028-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 03/22/2044 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     597272 | PA      | $571278.07    | 0.82%             | 2044-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .25% 03/22/2052 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     481876 | PA      | $405705.53    | 0.59%             | 2052-03-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 03/22/2068 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     427931 | PA      | $277918.29    | 0.40%             | 2068-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                       | AUSTRALIA 2.0 08/21/2035 (FTIPS)   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     145000 | PA      | $129531.48    | 0.19%             | 2035-08-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | XX        |  -13622000 | OU      | $-70551.06    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA 4.00% 12/01/2031 (FTIPS)    | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     205630 | PA      | $178143.28    | 0.26%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA 3.00% 12/01/2036 (FTIPS)    | CUSIP: 135087XQ2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     190385 | PA      | $162878.68    | 0.23%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA 2.00% 12/01/2041 (FTIPS)    | CUSIP: 135087YK4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     198339 | PA      | $154934.53    | 0.22%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                            | CANADA 1.50% 12/01/2044 (FTIPS)    | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     240293 | PA      | $172888.71    | 0.25%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS LP                       | CHENIERE ENERGY PARTNERS LP        | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      38000 | PA      | $39017.23     | 0.06%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | CITIGROUP INC                      | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      27000 | PA      | $27598.09     | 0.04%             | 2035-06-11      | Variable      | 5.45%                 | 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        |     193332 | NS      | $193293.59    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_24-WCL1                  | COMM_24-WCL1                       | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $29877.20     | 0.04%             | 2041-06-15      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| CONE_24-DFW1                                      | CONE_24-DFW1                       | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10000 | PA      | $9962.38      | 0.01%             | 2041-08-15      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST CROSS_25-H1                  | CROSS_25-H1                        | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      94548 | PA      | $95203.63     | 0.14%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | DIAMONDBACK ENERGY INC             | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      88000 | PA      | $88220.67     | 0.13%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION            | FHLMC 30YR UMBS SUPER              | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     186437 | PA      | $186472.49    | 0.27%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5482 | FHLMC_25-5482                      | CUSIP: 3137HHLU3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     324131 | PA      | $325968.17    | 0.47%             | 2054-12-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION             | FNMA 30YR UMBS                     | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     141052 | PA      | $141096.57    | 0.20%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION             | FNMA 30YR UMBS                     | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     802200 | PA      | $786412.59    | 1.13%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_21-3      | EFMT_21-3                          | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     108284 | PA      | $89845.88     | 0.13%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                       | GOLDMAN SACHS GROUP INC            | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30356.31     | 0.04%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                             | HCA INC                            | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      38000 | PA      | $38919.04     | 0.06%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                             | HCA INC                            | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      45000 | PA      | $45342.37     | 0.07%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMORGAN CHASE & CO                | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      35000 | PA      | $35632.08     | 0.05%             | 2035-07-22      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| LBA LOGISTICS LBA_24-BOLT                         | LBA_24-BOLT                        | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $70043.64     | 0.10%             | 2026-06-15      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY                     | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      33000 | PA      | $33399.43     | 0.05%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRMLT_22-SFR2 | NRMLT_22-SFR2                      | CUSIP: 64830RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155000 | PA      | $149806.21    | 0.22%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     420193 | PA      | $458051.08    | 0.66%             | 2039-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 3.790000 15-MAR-2033      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     410000 | OU      | $-15312.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     254180 | PA      | $264433.25    | 0.38%             | 2045-03-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.260000 22-OCT-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      20000 | OU      | $-2405.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.184300 07-NOV-2054 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      12000 | OU      | $-1660.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.590000 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     350000 | OU      | $2982.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.734500 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     110000 | OU      | $134.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.561500 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      90000 | OU      | $160.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: OIS 0.869000 09-JUN-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |  145572750 | OU      | $-287.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: EUR 2.638000 10-JUN-2055 EUR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      16000 | OU      | $471.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.429000 15-APR-2030 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      22250 | OU      | $59.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.428000 15-APR-2030 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     118167 | OU      | $322.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.538000 15-OCT-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      83000 | OU      | $202.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: OIS 4.272500 17-SEP-2025 SOF | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   27041352 | OU      | $-719.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.390000 15-APR-2030 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     340000 | OU      | $-1530.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | OTC (GENERIC) 2 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -370000 | OU      | $-12923.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | OTC (GENERIC) 2 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -370000 | OU      | $-18089.12    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .125% 03/22/2046 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     443091 | PA      | $403315.10    | 0.58%             | 2046-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 1.0 02/15/2046 (TIPS)       | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     588938 | PA      | $446373.44    | 0.64%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII .875 02/15/2047 (TIPS)      | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     531576 | PA      | $385039.60    | 0.56%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | US TII 1.0 02/15/2048 (TIPS)       | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     513852 | PA      | $377781.25    | 0.54%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY BOND                      | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     190000 | PA      | $140035.94    | 0.20%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     930465 | PA      | $928684.03    | 1.34%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1056260 | PA      | $1025521.18   | 1.48%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     167574 | PA      | $173832.26    | 0.25%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1126055 | PA      | $1116334.17   | 1.61%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     948983 | PA      | $974338.74    | 1.41%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1184904 | PA      | $1186338.49   | 1.71%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     919598 | PA      | $930913.39    | 1.34%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY NOTE                      | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1519668 | PA      | $1544777.63   | 2.23%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY (CPI) NOTE                | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     513952 | PA      | $517606.38    | 0.75%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                            | TREASURY NOTE                      | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      71000 | PA      | $71122.03     | 0.10%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-7             | VERUS_22-7                         | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      82437 | PA      | $82033.71     | 0.12%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.507000 08-NOV-2054 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      35000 | OU      | $-360.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 3.615000 15-JAN-2035 UKR  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     175000 | OU      | $-6774.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.589000 29-JAN-2027 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |    1590000 | OU      | $8206.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.480000 10-FEB-2050 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      60000 | OU      | $-251.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.536250 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      46000 | OU      | $138.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.691250 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      57500 | OU      | $196.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.531250 15-APR-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      46000 | OU      | $149.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.687500 15-APR-2028 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      57500 | OU      | $207.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.057500 15-MAR-2035 CPT  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      85000 | OU      | $-245.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.020000 15-MAR-2035 FRC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      85000 | OU      | $54.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | FSWP: JPY 0.997500 12-MAR-2027 FTO | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   46987277 | OU      | $-654.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                     | SWP: IFS 2.707000 15-JAN-2029 USC  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     690000 | OU      | $-2214.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |     506000 | OU      | $1080.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                     | OTC (GENERIC) 0 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |   -1950000 | OU      | $-551.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK .75% 11/22/2047 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     482196 | PA      | $499897.36    | 0.72%             | 2047-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UBS                                               | US 5YR NOTE SEP 25                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |          7 | NC      | $5592.24      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | LONG GILT SEP 25                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | GB        |          8 | NC      | $23674.78     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                    | UK 4.125% 7/22/2030 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     105000 | PA      | $492539.94    | 0.71%             | 2030-07-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                             | JAPAN (GOVT OF) #28                | CUSIP: J2S39LG57<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   15700000 | PA      | $119242.07    | 0.17%             | 2033-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF (GOVERNMENT)                   | DENMARK KINGDOM OF (GOVERNMENT)    | CUSIP: K30904CG7<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     245000 | PA      | $40959.15     | 0.06%             | 2034-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UBS                                               | EURO-BOBL SEP 25                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | DE        |          4 | NC      | $-761.58      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | THREE-MONTH SOFR FUTURE JUN 25     | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         42 | NC      | $-1297.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | THREE-MONTH SOFR FUTURE JUN 26     | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |          8 | NC      | $4625.06      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | THREE-MONTH SOFR FUTURE DEC 25     | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |          5 | NC      | $493.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | US 2YR NOTE SEP 25                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         70 | NC      | $52227.34     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | US 10YR NOTE SEP 25                | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         -6 | NC      | $-6996.08     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | EURO BUXL 30YR BOND SEP 25         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | DE        |         -1 | NC      | $1799.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | US LONG BOND SEP 25                | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         -2 | NC      | $-9061.97     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | US ULTRA 10YR NOTE SEP 25          | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |        -55 | NC      | $-93383.61    | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN (KINGDOM OF)                               | SWEDEN (KINGDOM OF)                | CUSIP: W7S736KN7<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     250000 | PA      | $29625.30     | 0.04%             | 2039-06-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS                                               | US ULTRA T-BOND SEP 25             | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         -4 | NC      | $-6269.08     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | AUST 10YR BOND SEP 25              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | AU        |         -1 | NC      | $-764.60      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | AUST 3YR BOND SEP 25               | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | AU        |         -3 | NC      | $-729.78      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                               | OCT25 SFRZ5 P @ 96                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |        -18 | NC      | $-2025.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer