# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001410368-26-018876
**Filing Date:** 2026-2
**Character Count:** 129681
**Document Hash:** 426bb45d3f0283889b10c8afd3a85dd1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-018876.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-018876

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**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:** 26684857

**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:** 02210

  - **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:** 2025-12-31

**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:** $67021549.94

**Total Liabilities:** $1682584.97

**Net Assets:** $65338964.97

**Delayed Delivery Securities:** $679637.96

**Cash Not Reported:** $25670.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 297.64000000 | **1-Year:** 455.50000000 | **5-Year:** 2639.91000000 | **10-Year:** 5576.05000000 | **30-Year:** 2807.82000000

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

- **3-Month:** 378.15000000 | **1-Year:** 508.57000000 | **5-Year:** -114.63000000 | **10-Year:** -166.03000000 | **30-Year:** 74.79000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055676 | 1.15%                | -0.23%               | -0.46%               |
| Class ID C000088755 | 1.15%                | -0.23%               | -0.23%               |
| Class ID C000088756 | 1.18%                | 0.00%                | -0.47%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-326593.52              | $260020.05                                 |
| Month 2  | $-222639.10              | $240312.50                                 |
| Month 3  | $-163515.15              | $123280.72                                 |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACRA Trust 2024-NQM1                             | ACRA Trust 2024-NQM1                          | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119213 | PA      | $120284.30    | 0.18%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2024-CRE9 Ltd                           | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     85470 | PA      | $85470.12     | 0.13%             | 2041-05-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA         | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    671000 | PA      | $680382.32    | 1.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD 2024-VICT Mortgage Trust                 | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $15065.61     | 0.02%             | 2041-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-MF          | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88545 | PA      | $88627.35     | 0.14%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-OMG                             | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44000 | PA      | $44009.05     | 0.07%             | 2042-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ARIA                            | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100643.59    | 0.15%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust 2025-SBAY          | CIP Commercial Mortgage Trust 2025-SBAY       | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99999.95     | 0.15%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-NQM5 Trust                          | CUSIP: 12663DAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    200878 | PA      | $200675.60    | 0.31%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087G99<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    203498 | PA      | $108141.96    | 0.17%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087M43<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     41422 | PA      | $19558.08     | 0.03%             | 2054-12-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    188214 | PA      | $141609.98    | 0.22%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    208021 | PA      | $175348.07    | 0.27%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087XQ2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    192599 | PA      | $160690.79    | 0.25%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087YK4<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    178351 | PA      | $134550.29    | 0.21%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    221639 | PA      | $153494.92    | 0.23%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                         | Cheniere Energy Partners LP                   | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     38000 | PA      | $39686.85     | 0.06%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                    | COLUMBIA SHORT TERM CASH FUND                 | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     20401 | NS      | $20394.89     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-WCL1 MORTGAGE TRUST                 | CUSIP: 20047DAA2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $29987.73     | 0.05%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CART                                             | CONE Trust 2024-DFW1                          | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000 | PA      | $9984.41      | 0.02%             | 2041-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                             | Cross 2025-H1 Mortgage Trust                  | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83428 | PA      | $84384.51     | 0.13%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                      | DBC 2025-DBC Mortgage Trust                   | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100062.50    | 0.15%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                              | DBGS 2024-SBL                                 | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100000.00    | 0.15%             | 2034-08-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| DGWD Trust                                       | DGWD Trust 2025-INFL                          | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100334.67    | 0.15%             | 2035-08-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                        | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     88000 | PA      | $90106.85     | 0.14%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust               | EFMT 2025-NQM6                                | CUSIP: 281916AC0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100096.89    | 0.15%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                              | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170977 | PA      | $173440.30    | 0.27%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                             | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27592 | PA      | $27799.98     | 0.04%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                             | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77407 | PA      | $77893.21     | 0.12%             | 2055-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                             | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44172 | PA      | $44575.47     | 0.07%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                             | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61720 | PA      | $62402.92     | 0.10%             | 2055-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                            | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182159 | PA      | $183569.74    | 0.28%             | 2054-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                            | CUSIP: 3137HHLU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265302 | PA      | $267489.03    | 0.41%             | 2054-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                            | CUSIP: 3137HHLV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36004 | PA      | $36359.09     | 0.06%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                            | CUSIP: 3137HHSB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23447 | PA      | $23628.30     | 0.04%             | 2054-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                            | CUSIP: 3137HJAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28014 | PA      | $28219.71     | 0.04%             | 2054-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                            | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30660 | PA      | $30987.76     | 0.05%             | 2055-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                               | CUSIP: 3140W0P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370654 | PA      | $343510.01    | 0.53%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION            | FEDERAL NATIONAL MORTGAGE ASSOCIATION         | CUSIP: 3140W16J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    367539 | PA      | $340622.60    | 0.52%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                               | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769725 | PA      | $768091.72    | 1.18%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust               | Ellington Financial Mortgage Trust 2021-3     | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102399 | PA      | $86447.94     | 0.13%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                         | Foundation Finance Trust 2025-3               | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97005 | PA      | $97260.42     | 0.15%             | 2052-08-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                        | LQR Trust 2025-CALI                           | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25000 | PA      | $24999.93     | 0.04%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2025-NQM3 Trust                           | CUSIP: 58004LAA5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |    101368 | PA      | $101724.20    | 0.16%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust              | New Residential Mortgage Loan Trust 2022-SFR2 | CUSIP: 64830RAG7<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $151956.36    | 0.23%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                       | AMSR 2022-SFR3 Trust                          | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $151769.96    | 0.23%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                      | PRKCM 2022-AFC2 Trust                         | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63409 | PA      | $63419.96     | 0.10%             | 2057-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2022-SFR7 Trust          | CUSIP: 74333CAG1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $200054.78    | 0.31%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2021-1          | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125163 | PA      | $104393.64    | 0.16%             | 2061-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2022-2          | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72408 | PA      | $72473.01     | 0.11%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                              | SG Residential Mortgage Trust 2025-1          | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100138.19    | 0.15%             | 2065-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds            | Mexico Government International Bonds         | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $172802.36    | 0.26%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds            | Mexico Government International Bonds         | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $213467.10    | 0.33%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    666346 | PA      | $699350.98    | 1.07%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    742740 | PA      | $800476.43    | 1.23%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    194445 | PA      | $214717.79    | 0.33%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     56510 | PA      | $56982.69     | 0.09%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    489579 | PA      | $493308.52    | 0.75%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    398097 | PA      | $411066.25    | 0.63%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    185293 | PA      | $183491.08    | 0.28%             | 2040-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    698815 | PA      | $684128.77    | 1.05%             | 2041-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    949606 | PA      | $739208.78    | 1.13%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    608975 | PA      | $453210.32    | 0.69%             | 2043-02-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    614720 | PA      | $514707.60    | 0.79%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    622224 | PA      | $453591.57    | 0.69%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    535930 | PA      | $403894.58    | 0.62%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    465357 | PA      | $335474.92    | 0.51%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    495146 | PA      | $361611.50    | 0.55%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    375246 | PA      | $269912.92    | 0.41%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    386273 | PA      | $222242.98    | 0.34%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    425214 | PA      | $229582.45    | 0.35%             | 2051-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    407860 | PA      | $215465.02    | 0.33%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    438148 | PA      | $341481.60    | 0.52%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    541074 | PA      | $486353.93    | 0.74%             | 2054-02-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds         | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190896 | PA      | $181134.90    | 0.28%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    269152 | PA      | $264452.43    | 0.40%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    154741 | PA      | $152420.08    | 0.23%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1031065 | PA      | $993850.19    | 1.52%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    556473 | PA      | $550017.10    | 0.84%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    892206 | PA      | $846549.86    | 1.30%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1079458 | PA      | $1019244.01   | 1.56%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1357118 | PA      | $1265724.58   | 1.94%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1087291 | PA      | $1007910.03   | 1.54%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1156991 | PA      | $1057471.56   | 1.62%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1036601 | PA      | $973028.44    | 1.49%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    483630 | PA      | $487352.09    | 0.75%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1065763 | PA      | $1023048.98   | 1.57%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900990 | PA      | $897470.41    | 1.37%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1023856 | PA      | $998459.08    | 1.53%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1042302 | PA      | $1036764.77   | 1.59%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    963211 | PA      | $983980.59    | 1.51%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1119646 | PA      | $1124544.38   | 1.72%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    855771 | PA      | $864429.33    | 1.32%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1299992 | PA      | $1323453.20   | 2.03%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1307202 | PA      | $1314197.87   | 2.01%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1366912 | PA      | $1363601.95   | 2.09%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Notes         | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    513371 | PA      | $505790.85    | 0.77%             | 2030-10-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                       | UNIV Trust 2025-APTS                          | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100124.55    | 0.15%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2025-12            | CUSIP: 92490FAE0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100195.77    | 0.15%             | 2070-12-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                         | Vistra Operations Co LLC                      | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     55000 | PA      | $57724.58     | 0.09%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    190000 | PA      | $361754.34    | 0.55%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                       | U.K. Gilts                                    | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     80000 | PA      | $92701.57     | 0.14%             | 2055-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    180000 | PA      | $579445.27    | 0.89%             | 2035-01-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    445956 | PA      | $588208.00    | 0.90%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                     | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    140000 | PA      | $143796.42    | 0.22%             | 2030-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    414605 | PA      | $328242.77    | 0.50%             | 2062-03-22      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    489046 | PA      | $644596.75    | 0.99%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    520967 | PA      | $495496.36    | 0.76%             | 2044-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    446027 | PA      | $378233.46    | 0.58%             | 2052-03-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    408991 | PA      | $272451.87    | 0.42%             | 2068-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                     | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    145000 | PA      | $129646.13    | 0.20%             | 2035-08-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | New Zealand Government Inflation Linked Bond  | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     90000 | PA      | $75017.62     | 0.11%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                  | Sweden Inflation Linked Bond                  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    360000 | PA      | $46903.27     | 0.07%             | 2030-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  16400000 | PA      | $121461.85    | 0.19%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    199206 | PA      | $188395.29    | 0.29%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    110000 | PA      | $113312.78    | 0.17%             | 2039-03-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    247161 | PA      | $167566.12    | 0.26%             | 2065-11-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | FRENCH REPUBLIC GOVERNMENT BOND OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    330000 | PA      | $454006.74    | 0.69%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                     | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    100000 | PA      | $56130.77     | 0.09%             | 2050-02-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | AUSTRALIA GOVERNMENT BOND                     | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    155000 | PA      | $132234.53    | 0.20%             | 2027-11-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | NEW ZEALAND GOVERNMENT INFLATION LINKED BOND  | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    103000 | PA      | $75123.83     | 0.11%             | 2040-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond        | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    423700 | PA      | $498464.10    | 0.76%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    525822 | PA      | $522445.71    | 0.80%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DENMARK I/L GOVT BOND                            | Denmark I/L Government Bond                   | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    730000 | PA      | $131955.65    | 0.20%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  18800000 | PA      | $138359.78    | 0.21%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    363680 | PA      | $370826.06    | 0.57%             | 2041-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond        | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    542719 | PA      | $611508.12    | 0.94%             | 2033-11-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    564141 | PA      | $647005.50    | 0.99%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    455064 | PA      | $520431.21    | 0.80%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  42900000 | PA      | $312100.37    | 0.48%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    540201 | PA      | $627468.44    | 0.96%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    240907 | PA      | $267287.65    | 0.41%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                     | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    115000 | PA      | $81425.03     | 0.12%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    132135 | PA      | $91730.81     | 0.14%             | 2073-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    223452 | PA      | $243762.43    | 0.37%             | 2034-07-25      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  14100000 | PA      | $101574.87    | 0.16%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    311921 | PA      | $400045.49    | 0.61%             | 2033-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    164768 | PA      | $201344.37    | 0.31%             | 2039-05-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $282083.48    | 0.43%             | 2036-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    432811 | PA      | $517224.90    | 0.79%             | 2029-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    449062 | PA      | $477174.52    | 0.73%             | 2033-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    295109 | PA      | $328219.54    | 0.50%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    439212 | PA      | $511021.75    | 0.78%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    395463 | PA      | $507612.98    | 0.78%             | 2031-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    297816 | PA      | $246642.58    | 0.38%             | 2051-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    180000 | PA      | $223364.00    | 0.34%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    166753 | PA      | $116234.48    | 0.18%             | 2051-05-15      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                          | Canadian Government Real Return Bond          | CUSIP: 135087B94<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    194407 | PA      | $126253.27    | 0.19%             | 2047-12-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bonds            | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  21850000 | PA      | $114543.44    | 0.18%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    345488 | PA      | $257770.93    | 0.39%             | 2058-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    241462 | PA      | $160481.73    | 0.25%             | 2053-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    295933 | PA      | $325404.22    | 0.50%             | 2054-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond        | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    114455 | PA      | $129232.51    | 0.20%             | 2036-11-30      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  27000000 | PA      | $177939.74    | 0.27%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    281389 | PA      | $330100.31    | 0.51%             | 2036-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    147141 | PA      | $144327.76    | 0.22%             | 2043-07-25      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    417575 | PA      | $458095.32    | 0.70%             | 2055-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    619288 | PA      | $843654.07    | 1.29%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    458835 | PA      | $529602.74    | 0.81%             | 2040-07-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    187628 | PA      | $252888.51    | 0.39%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    469788 | PA      | $509778.85    | 0.78%             | 2042-11-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    577204 | PA      | $541580.77    | 0.83%             | 2050-03-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    475874 | PA      | $600185.62    | 0.92%             | 2041-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    526837 | PA      | $595485.18    | 0.91%             | 2040-03-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    674779 | PA      | $809518.77    | 1.24%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    508747 | PA      | $647130.56    | 0.99%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    528597 | PA      | $565887.43    | 0.87%             | 2039-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.790000 15-MAR-2033                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | GB        |    410000 | OU      | $-25835.79    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    302243 | PA      | $312815.68    | 0.48%             | 2045-03-22      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.547200 03-OCT-2028 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | GB        |    775000 | OU      | $2920.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond        | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    151921 | PA      | $185204.57    | 0.28%             | 2039-11-30      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.670200 15-MAR-2034 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    275000 | OU      | $-19370.69    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | NEW ZEALAND GOVERNMENT INFLATION LINKED BOND  | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    158000 | PA      | $122451.74    | 0.19%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    229297 | PA      | $295767.11    | 0.45%             | 2035-09-22      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond             | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  14200000 | PA      | $72774.20     | 0.11%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    235382 | PA      | $277930.83    | 0.43%             | 2056-05-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9300000 | PA      | $58938.13     | 0.09%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                              | New Zealand Government Inflation Linked Bond  | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     40000 | PA      | $23644.31     | 0.04%             | 2050-09-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                   | Spain Government Inflation Linked Bond        | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    508132 | PA      | $599663.33    | 0.92%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                  | Sweden Inflation Linked Bond                  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    595000 | PA      | $82306.41     | 0.13%             | 2032-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.176200 07-AUG-2028 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    280000 | OU      | $3718.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.275200 28-AUG-2028 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    115000 | OU      | $1199.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.615000 15-JAN-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    175000 | OU      | $-11419.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.589000 29-JAN-2027 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    840000 | OU      | $1545.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     15591 | PA      | $20123.69     | 0.03%             | 2049-09-22      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.057500 15-MAR-2035 CPT             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     85000 | OU      | $-1363.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.020000 15-MAR-2035 FRC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     85000 | OU      | $2822.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: JPY 0.997500 12-MAR-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  46987277 | OU      | $-10.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: JPY 1.026500 12-MAR-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        | 114986592 | OU      | $-236.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: JPY 1.018460 12-MAR-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        | 106524855 | OU      | $-164.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.687500 15-APR-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     92000 | OU      | $-688.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.723500 15-APR-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     92000 | OU      | $-853.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.396400 09-APR-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    235000 | OU      | $390.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 0.675830 21-APR-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  45849057 | OU      | $1079.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 0.683000 21-APR-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  45319245 | OU      | $1046.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: JPY 0.698000 11-MAY-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  36190189 | OU      | $869.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.915200 12-MAY-2027 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    805000 | OU      | $-6189.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.803000 15-JUL-2027 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    925000 | OU      | $-7321.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.707000 15-JAN-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    690000 | OU      | $-4419.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.514000 15-APR-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    526000 | OU      | $-1339.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 0.869000 09-JUN-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        | 145572750 | OU      | $2327.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.429000 15-APR-2030 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     22250 | OU      | $-1.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.428000 15-APR-2030 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    118167 | OU      | $-20.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.538000 15-OCT-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     83000 | OU      | $-26.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.390000 15-APR-2030 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    340000 | OU      | $-181.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.689000 17-JUL-2030 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    330000 | OU      | $-3211.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.702000 22-JUL-2030 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     94000 | OU      | $-965.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.204000 15-JUL-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    340000 | OU      | $1820.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.342000 15-JUL-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    340000 | OU      | $-4809.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.320500 15-JUL-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    160000 | OU      | $-2799.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.199000 15-JUL-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    160000 | OU      | $4164.26      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.230000 15-JUL-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    340000 | OU      | $2014.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.360000 15-JUL-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    340000 | OU      | $-5187.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.348000 15-JUL-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    155000 | OU      | $-2918.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.211492 15-JUL-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    155000 | OU      | $4305.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.284000 15-JUL-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    122700 | OU      | $904.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.409000 15-JUL-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    122700 | OU      | $-2160.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.394000 15-JUL-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     53700 | OU      | $-1178.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.243967 15-JUL-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     53700 | OU      | $1681.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.241940 15-JUL-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     54774 | OU      | $1701.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.422000 15-JUL-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    125154 | OU      | $-2289.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.404000 15-JUL-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     54774 | OU      | $-1237.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.304000 15-JUL-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    125154 | OU      | $988.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.316500 15-JUL-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    245163 | OU      | $2017.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.427200 15-JUL-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    245162 | OU      | $-4552.48     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.406500 15-JUL-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    107296 | OU      | $-2442.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.240900 15-JUL-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    107296 | OU      | $3318.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.272900 15-JUL-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     52626 | OU      | $1806.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.428900 15-JUL-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    120243 | OU      | $1345.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.491500 15-JUL-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    120244 | OU      | $-2623.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.457000 15-JUL-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     52625 | OU      | $-1359.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.255300 15-AUG-2027 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    204740 | OU      | $1951.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.368700 15-AUG-2029 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    204740 | OU      | $-3581.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.202850 15-AUG-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     89604 | OU      | $2524.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.347900 15-AUG-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     89604 | OU      | $-1918.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.750500 15-APR-2029 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     75000 | OU      | $-797.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.924200 15-OCT-2027 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    190000 | OU      | $-1727.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.631500 09-SEP-2030 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    274000 | OU      | $-2268.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 1.007000 11-SEP-2027 FTO            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  33790000 | OU      | $-532.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | OTC (GENERIC) 2 YEAR                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3204000 | NC      | $-8290.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.770700 15-OCT-2027 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    180000 | OU      | $-810.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.748700 15-JAN-2028 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    510000 | OU      | $-2403.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   -542000 | NC      | $-3667.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.153000 15-OCT-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    300000 | OU      | $-2911.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.086000 15-OCT-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    300000 | OU      | $3664.32      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 1.963000 15-NOV-2035 CPT             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    155000 | OU      | $-398.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 1.866000 15-NOV-2035 CPT             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    155000 | OU      | $1134.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 1.845000 15-NOV-2030 CPT             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    305000 | OU      | $-699.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 1.583000 15-NOV-2030 CPT             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    305000 | OU      | $2124.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.177500 15-NOV-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    300000 | OU      | $-2176.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.077040 15-NOV-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    300000 | OU      | $2698.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.173000 15-NOV-2030 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    305000 | OU      | $-2443.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 3.078000 15-NOV-2035 UKR             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    305000 | OU      | $3084.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.817500 28-JAN-2026 SOF            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10047000 | OU      | $2254.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | DE        |   -524000 | NC      | $-108.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.789000 28-JAN-2026 SOF            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10047000 | OU      | $-1873.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.679500 28-JAN-2026 FED            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10050000 | OU      | $-350.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.682000 28-JAN-2026 FED            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   4895000 | OU      | $-195.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: OIS 3.953000 03-DEC-2035 SON             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    153000 | OU      | $558.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 2 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | US        |   -600000 | NC      | $-2708.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   1430000 | NC      | $1568.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1430000 | NC      | $-930.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1430000 | NC      | $-506.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.230000 09-DEC-2027 SOF            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    730000 | OU      | $401.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.590000 18-MAR-2026 FED            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   5018000 | OU      | $-115.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | SWP: IFS 2.585200 15-JAN-2028 USC             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    200000 | OU      | $23.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.592000 18-MAR-2026 FED            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10490000 | OU      | $-213.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | DE        |   -110900 | NC      | $-775.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | US        |   -110900 | NC      | $-711.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | DE        |   -147400 | NC      | $-342.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 1 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | DE        |   -147400 | NC      | $-301.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | OTC (GENERIC) 2 YEAR                          | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | DE        |  -1748000 | NC      | $-4498.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                          | FSWP: OIS 3.617500 18-MAR-2026 FED            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   5233000 | OU      | $72.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    425117 | PA      | $386728.32    | 0.59%             | 2046-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                     | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    135000 | PA      | $99261.87     | 0.15%             | 2040-08-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    210404 | PA      | $160242.19    | 0.25%             | 2056-11-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    429798 | PA      | $505041.61    | 0.77%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                 | French Republic Government Bond OAT           | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     57856 | PA      | $43566.49     | 0.07%             | 2047-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    420686 | PA      | $498889.23    | 0.76%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  32500000 | PA      | $240999.31    | 0.37%             | 2027-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                             | Deutsche Bundesrepublik Inflation Linked Bond | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    366240 | PA      | $331794.37    | 0.51%             | 2046-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    333578 | PA      | $290640.49    | 0.44%             | 2048-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| TSY 0 1/8% 2028 I/L GILT                         | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    503352 | PA      | $669735.72    | 1.03%             | 2028-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 10YR BOND MAR 26                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         2 | NC      | $341.29       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |         1 | NC      | $-17681.10    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |         1 | NC      | $-25.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |         1 | NC      | $186.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |         1 | NC      | $15841.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |         1 | NC      | $-1872.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |         1 | NC      | $15975.18     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |         1 | NC      | $5740.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |         1 | NC      | $-4615.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |         1 | NC      | $-12653.56    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | US        |         1 | NC      | $389.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | DANISH KRONA                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | DK        |         1 | NC      | $-201.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | EURO COUNTRIES                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |         1 | NC      | $1149.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | EURO COUNTRIES                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |         1 | NC      | $-16591.46    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | BRITISH POUND                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |         1 | NC      | $5471.24      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | BRITISH POUND                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |         1 | NC      | $-16020.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | JAPANESE YEN                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |         1 | NC      | $-871.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | SWEDISH KRONA                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |         1 | NC      | $-408.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | AU        |         1 | NC      | $-31.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | US        |         1 | NC      | $2725.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | CA        |         1 | NC      | $-24718.78    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | US        |         1 | NC      | $1807.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | DK        |         1 | NC      | $-2092.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | XX        |         1 | NC      | $-164351.21   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | GB        |         1 | NC      | $-263361.87   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | US        |         1 | NC      | $3965.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | US DOLLARS                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | US        |         1 | NC      | $2069.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | AUSTRALIA DOLLAR                              | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | AU        |         1 | NC      | $156.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | AUSTRALIA DOLLAR                              | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | AU        |         1 | NC      | $-2768.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | CANADIAN DOLLAR                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | CA        |         1 | NC      | $333.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | CANADIAN DOLLAR                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | CA        |         1 | NC      | $-1858.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | EURO COUNTRIES                                | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | XX        |         1 | NC      | $343.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | BRITISH POUND                                 | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | GB        |         1 | NC      | $2586.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | JAPANESE YEN                                  | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | JP        |         1 | NC      | $-4034.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | MEXICAN PESO                                  | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | MX        |         1 | NC      | $-56.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | NEW ZEALAND DOLLAR                            | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | NZ        |         1 | NC      | $-2196.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                   | SWEDISH KRONA                                 | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              |  | SE        |         1 | NC      | $1532.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                  | Sweden Inflation Linked Bond                  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    880000 | PA      | $166910.11    | 0.26%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro             | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    230997 | PA      | $291367.41    | 0.45%             | 2035-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    533819 | PA      | $669948.19    | 1.03%             | 2037-11-22      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    449211 | PA      | $464324.99    | 0.71%             | 2047-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE MAR 26                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        11 | NC      | $783.56       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE MAR 26                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2 | NC      | $-80.77       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT MAR 26                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         7 | NC      | $5020.26      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM I/L GILT                          | United Kingdom Inflation-Linked Gilt          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     95000 | PA      | $435011.17    | 0.67%             | 2030-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                            | Japanese Government CPI Linked Bond           | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  15700000 | PA      | $106759.01    | 0.16%             | 2033-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK I/L GOVT BOND                            | Denmark I/L Government Bond                   | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |    245000 | PA      | $40751.15     | 0.06%             | 2034-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND MAR 26                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         2 | NC      | $566.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | THREE-MONTH SOFR FUTURE DEC 26                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        17 | NC      | $1878.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | THREE-MONTH SOFR FUTURE DEC 26                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         5 | NC      | $-444.40      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | THREE-MONTH SOFR FUTURE DEC 28                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -3 | NC      | $214.16       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE MAR 26                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        16 | NC      | $661.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE MAR 26                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         2 | NC      | $-1456.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND MAR 26                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -3 | NC      | $2848.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA 10YR NOTE MAR 26                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -14 | NC      | $2547.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA 10YR NOTE MAR 26                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -6 | NC      | $-1789.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN I/L BOND                                  | Sweden Inflation Linked Bond                  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    250000 | PA      | $28747.95     | 0.04%             | 2039-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA T-BOND MAR 26                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $778.11       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA T-BOND MAR 26                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $-160.71      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX - All Markets                                | AUST 10YR BOND MAR 26                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -1 | NC      | $51.22        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX - All Markets                                | AUST 3YR BOND MAR 26                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        11 | NC      | $-521.80      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-05

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

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager