# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009103
**Filing Date:** 2023-2
**Character Count:** 123559
**Document Hash:** 4ecce6f0e797e82303b57338d942ef72
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009103.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009103

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Columbia Funds Variable Series Trust II
- **CENTRAL INDEX KEY:** 0001413032
- **IRS NUMBER:** 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:** 23663074

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

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

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

## Series and Classes Contracts Data

### Columbia Variable Portfolio - Commodity Strategy Fund (Series ID: S000040393)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $138499564.15

**Total Liabilities:** $610446.66

**Net Assets:** $137889117.49

**Amount of Assets Invested in Other Investment Companies:** $17900073.42

**Cash Not Reported:** $5483336.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 375.874500000000 | **1-Year:** 13528.949000000000 | **5-Year:** 713.556600000000 | **10-Year:** 166.080000000000 | **30-Year:** 65.689800000000

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

- **3-Month:** 0.399300000000 | **1-Year:** 215.127700000000 | **5-Year:** 1681.369200000000 | **10-Year:** 496.492500000000 | **30-Year:** 2168.230800000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000125454 | 2.04%                | 4.40%                | -2.11%               |
| Class ID C000125455 | 1.87%                | 4.48%                | -2.34%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-199663.35              | $-65334.91                                 |
| Month 2  | $-28057.88               | $193848.93                                 |
| Month 3  | $-17629.45               | $58490.46                                  |

**Designated Index Information**

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

- **Index Identifier:** DJUBSCOM

### Schedule of Portfolio Investments

| Name                                                            | Title                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACC AUTO TRUST AUTOC_21-A                                       | AUTOC_21-A                         | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52440 | PA      | $51865.33     | 0.04%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                        | AT&T INC                           | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    415000 | PA      | $417095.24    | 0.30%             | 2024-06-12      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                      | ABBVIE INC                         | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    360000 | PA      | $350936.38    | 0.25%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS INC                                          | CHUBB INA HOLDINGS INC             | CUSIP: 00440EAR8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $342488.09    | 0.25%             | 2024-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_20-3          | ACAR_20-3                          | CUSIP: 025297AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781224 | PA      | $775035.01    | 0.56%             | 2026-06-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                        | AMERICAN EXPRESS COMPANY           | CUSIP: 025816BX6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    415000 | PA      | $415020.80    | 0.30%             | 2023-08-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                             | AMERICAN TOWER CORPORATION         | CUSIP: 03027XAT7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    350000 | PA      | $340659.48    | 0.25%             | 2024-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST AMCAR_21-2             | AMCAR_21-2                         | CUSIP: 03066RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3256 | PA      | $3249.42      | 0.00%             | 2024-11-18      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                       | AMGEN INC                          | CUSIP: 031162BV1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    350000 | PA      | $343545.65    | 0.25%             | 2024-05-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                         | ASTRAZENECA FINANCE LLC            | CUSIP: 04636NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $353730.55    | 0.26%             | 2024-05-28      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| ATALAYA EQUIPMENT LEASING TRUST LLC AELF_21-1A                  | AELF_21-1A                         | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73837 | PA      | $71643.37     | 0.05%             | 2026-05-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP_17-2A                      | AESOP_17-2A                        | CUSIP: 05377RCU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $323944.12    | 0.23%             | 2024-03-20      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC                                        | BAE SYSTEMS HOLDINGS INC           | CUSIP: 05523UAK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    223000 | PA      | $217750.41    | 0.16%             | 2024-10-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BBVA USA                                                        | BBVA USA                           | CUSIP: 05552JAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    464000 | PA      | $445152.02    | 0.32%             | 2024-08-27      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST BMWLT_21-1                              | BMWLT_21-1                         | CUSIP: 05591RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $581319.28    | 0.42%             | 2024-07-25      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST BMWLT_22-1                              | BMWLT_22-1                         | CUSIP: 05601XAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $169137.38    | 0.12%             | 2025-03-25      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                            | BANK OF AMERICA CORP               | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    700000 | PA      | $693238.00    | 0.50%             | 2024-05-28      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $7105.77      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $-35622.39    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $11002.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $-1902.85     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE SEP 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         8 | NC      | $6284.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        15 | NC      | $6653.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE MAY 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $7491.90      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE JUL 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $-57668.07    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT KCBT FUTURE SEP 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $18568.19     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM MAR 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        10 | NC      | $11943.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM MAY 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        15 | NC      | $31166.80     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM JUL 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        30 | NC      | $38156.35     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME PRI ALUM SEP 23                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        15 | NC      | $-29609.70    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $50005.83     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE APR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        17 | NC      | $45339.76     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE JUN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        17 | NC      | $33754.95     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LIVE CATTLE AUG 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        35 | NC      | $33630.90     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS FEB 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $3301.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS FEB 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        67 | NC      | $-45488.40    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS APR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        13 | NC      | $22483.03     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS JUN 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $54852.70     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $15685.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LEAN HOGS AUG 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $15012.37     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME LEAD MAR 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        11 | NC      | $30563.02     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL MAR 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         1 | NC      | $63032.07     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL MAY 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         6 | NC      | $272908.98    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL JUL 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        11 | NC      | $391915.77    | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME NICKEL SEP 23                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         6 | NC      | $20898.42     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC MAR 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        39 | NC      | $-193698.81   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC MAY 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         9 | NC      | $-5860.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC JUL 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        18 | NC      | $45704.26     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | LME ZINC SEP 23                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         9 | NC      | $-61829.12    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        68 | NC      | $-856988.21   | -0.62%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        61 | NC      | $-476449.97   | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |       116 | NC      | $-1022223.16  | -0.74%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NATURAL GAS SEP 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        59 | NC      | $-549552.43   | -0.40%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL MAR 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        31 | NC      | $93603.03     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                                               | STATE STREET CORPORATION           | CUSIP: 857477BC6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    325000 | PA      | $321271.37    | 0.23%             | 2024-12-03      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                        | SVENSKA HANDELSBANKEN AB           | CUSIP: 86959LAF0<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |    375000 | PA      | $367038.75    | 0.27%             | 2023-06-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                | T-MOBILE USA INC                   | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    350000 | PA      | $336937.62    | 0.24%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL MAY 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        10 | NC      | $-41927.16    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL JUL 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        21 | NC      | $-126552.17   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_21-1                                 | THRM_21-1A                         | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71560 | PA      | $70394.44     | 0.05%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST THRM_22-1                                 | THRM_22-1A                         | CUSIP: 88339XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327456 | PA      | $319845.08    | 0.23%             | 2028-02-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | GAS OIL SEP 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        11 | NC      | $31348.69     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MAR 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $160025.60    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| THERMO FISHER                                                   | THERMO FISHER SCIENTIFIC INC       | CUSIP: 883556CN0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    350000 | PA      | $349622.84    | 0.25%             | 2023-04-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                       | TORONTO-DOMINION BANK/THE          | CUSIP: 89114TZS4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    375000 | PA      | $374290.50    | 0.27%             | 2024-03-08      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_21-SJ1                           | TPMT_21-SJ1                        | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    558316 | PA      | $516065.34    | 0.37%             | 2068-07-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                        | TOYOTA MOTOR CREDIT CORP           | CUSIP: 89236TJG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $420782.18    | 0.31%             | 2024-06-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MAY 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $131199.25    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN JUL 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        43 | NC      | $208475.28    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| TRUIST BANK                                                     | TRUIST FINANCIAL CORP              | CUSIP: 89788JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $397079.30    | 0.29%             | 2024-01-17      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                                 | TYSON FOODS INC                    | CUSIP: 902494BG7<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    346000 | PA      | $342674.91    | 0.25%             | 2023-09-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                    | UBS GROUP AG                       | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $393329.14    | 0.29%             | 2025-08-05      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST UBSBB_13-C5              | UBSBB_13-C5                        | CUSIP: 90270YBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       623 | PA      | $622.11       | 0.00%             | 2046-03-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN NOV 23                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $29788.37     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        53 | NC      | $64573.87     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UNION PACIFIC CORPORATION                                       | UNION PACIFIC CORPORATION          | CUSIP: 907818DM7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    335000 | PA      | $334699.60    | 0.24%             | 2023-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST UACST_22-1              | UACST_22-1                         | CUSIP: 90944DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34436 | PA      | $34363.34     | 0.02%             | 2024-07-10      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 MAY 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        40 | NC      | $50289.51     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        83 | NC      | $56876.39     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                                      | US BANCORP                         | CUSIP: 91159HHX1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    415000 | PA      | $399130.17    | 0.29%             | 2024-07-30      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                          | TREASURY NOTE                      | CUSIP: 91282CBX8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    700000 | PA      | $689964.84    | 0.50%             | 2023-04-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SUGAR #11 OCT 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        42 | NC      | $7587.71      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SILVER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        12 | NC      | $267069.01    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                          | UNITEDHEALTH GROUP INC             | CUSIP: 91324PEM0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    268000 | PA      | $269698.37    | 0.20%             | 2024-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_21-3                          | UPST_21-3                          | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204708 | PA      | $200330.50    | 0.15%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST UPSPT_21-ST6                         | UPSPT_21-ST6                       | CUSIP: 91680VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61538 | PA      | $57380.32     | 0.04%             | 2027-08-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL4                                               | VCAT_21-NPL4                       | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    494000 | PA      | $439936.39    | 0.32%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VCAT VCAT_21-NPL5                                               | VCAT_21-NPL5                       | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    210529 | PA      | $185486.52    | 0.13%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| VFI CORPORATE FINANCE VFI_22-1                                  | VFI_22-1A                          | CUSIP: 91824CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165923 | PA      | $161771.39    | 0.12%             | 2028-03-24      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SILVER MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $252431.84    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SILVER JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $393068.08    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| VWH CAPITAL VCAT_21-NPL6                                        | VCAT_21-NPL6                       | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    804982 | PA      | $700789.79    | 0.51%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                      | VERIZON COMMUNICATIONS INC         | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    425000 | PA      | $422399.20    | 0.31%             | 2024-03-22      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| VERIZON OWNER TRUST VZOT_20-A                                   | VZOT_20-A                          | CUSIP: 92348TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157464 | PA      | $156620.71    | 0.11%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST VALET_20-1                  | VALET_20-1                         | CUSIP: 92868JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $216943.83    | 0.16%             | 2026-08-20      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SILVER SEP 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $33455.35     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) MAR 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        37 | NC      | $210566.52    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST VWALT_20-A                          | VWALT_20-A                         | CUSIP: 92868VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122653 | PA      | $122041.32    | 0.09%             | 2024-01-22      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST VWALT_20-A                          | VWALT_20-A                         | CUSIP: 92868VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $173037.22    | 0.13%             | 2025-07-21      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                                | WFRBS_13-C14                       | CUSIP: 92890PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $876680.10    | 0.64%             | 2046-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                             | WELLPOINT INC                      | CUSIP: 94973VBJ5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    350000 | PA      | $341274.51    | 0.25%             | 2024-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                           | WELLS FARGO & COMPANY              | CUSIP: 95000U2T9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $561755.73    | 0.41%             | 2025-05-19      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_21-2A               | WLAKE_21-2A                        | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134000 | PA      | $1093980.80   | 0.79%             | 2026-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_22-1A               | WLAKE_22-1A                        | CUSIP: 96042WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127767 | PA      | $126335.86    | 0.09%             | 2024-12-16      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                            | WESTPAC BANKING CORP               | CUSIP: 961214EB5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    350000 | PA      | $349880.17    | 0.25%             | 2024-02-26      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                          | WILLIAMS COMPANIES INC             | CUSIP: 969457BW9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    350000 | PA      | $346121.75    | 0.25%             | 2024-06-24      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FIN LTD                                                | WOODSIDE FINANCE LTD               | CUSIP: 980236AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    108000 | PA      | $103658.48    | 0.08%             | 2025-03-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST WOSAT_21-A                         | WOSAT_21-A                         | CUSIP: 98163HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277000 | PA      | $267631.42    | 0.19%             | 2027-03-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_21-A      | WOLS_21-A                          | CUSIP: 98163JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119228 | PA      | $118999.19    | 0.09%             | 2024-04-15      | Fixed         | 0.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) MAY 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $151822.98    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) JUL 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        46 | NC      | $245310.66    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TRUST WOLS_22-A      | WOLS_22-A                          | CUSIP: 98163NAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687934 | PA      | $679065.60    | 0.49%             | 2024-10-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST WOART_21-A                    | WOART_21-A                         | CUSIP: 98164EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151242 | PA      | $146134.93    | 0.11%             | 2026-01-15      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN MEAL (CBT) DEC 23          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        25 | NC      | $-12678.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | US 2YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |       -40 | NC      | $-1974.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        73 | NC      | $134004.69    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        24 | NC      | $33251.31     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        48 | NC      | $-29561.34    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | SOYBEAN OIL DEC 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        25 | NC      | $35513.10     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN MAR 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        92 | NC      | $133477.46    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN MAY 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        49 | NC      | $112311.09    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN JUL 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        41 | NC      | $22728.19     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN JUL 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        58 | NC      | $-2452.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT MAR 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $-20552.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT MAY 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         2 | NC      | $3784.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CORN SEP 23                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        53 | NC      | $47932.15     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COCOA MAR 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         5 | NC      | $13668.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT MAY 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        18 | NC      | $-16409.38    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT JUL 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        40 | NC      | $-110588.83   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE MAR 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        34 | NC      | $53377.06     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE MAY 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        27 | NC      | $23683.18     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        49 | NC      | $3509.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE JUL 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $-960.72      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WTI CRUDE SEP 23                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        28 | NC      | $147736.81    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         2 | NC      | $15122.39     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAR 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        28 | NC      | $-330.24      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAY 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         2 | NC      | $7918.15      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | WHEAT SEP 23                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        20 | NC      | $38853.07     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB MAR 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $203148.44    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) MAY 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        21 | NC      | $-26463.35    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) JUL 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |         6 | NC      | $10912.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) JUL 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        17 | NC      | $-723.94      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | BRENT CRUDE (ICE) SEP 23           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | GB        |        46 | NC      | $54166.76     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 MAR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        16 | NC      | $22379.13     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 MAY 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $-1949.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB MAY 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $29063.47     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB JUL 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         2 | NC      | $5026.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 JUL 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        14 | NC      | $6996.49      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COTTON NO.2 DEC 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         7 | NC      | $8957.58      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB JUL 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         9 | NC      | $-25.11       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GASOLINE RBOB SEP 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $57183.81     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | CATTLE FEEDER MAR 23               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         1 | NC      | $495.70       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ FEB 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        23 | NC      | $184609.62    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ APR 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        22 | NC      | $178667.09    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ JUN 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        21 | NC      | $272466.76    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | GOLD 100 OZ AUG 23                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        42 | NC      | $224282.56    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $57738.12     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER MAY 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        13 | NC      | $89560.86     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER JUL 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        26 | NC      | $164554.60    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COPPER SEP 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        13 | NC      | $-8881.89     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) MAR 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        10 | NC      | $68819.54     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) MAY 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $8759.58      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) JUL 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |        11 | NC      | $-46226.90    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | NY HARBOR ULSD (HEAT OIL) SEP 23   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         6 | NC      | $49651.20     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                                  | COFFEE MAR 23                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCO              | CORP              | US        |         4 | NC      | $3338.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL                                                | BANK OF MONTREAL                   | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $394560.78    | 0.29%             | 2024-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON CORP/THE                                | BANK OF NEW YORK MELLON/THE        | CUSIP: 06406RAT4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16879.52     | 0.01%             | 2024-04-26      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                             | BANK OF NOVA SCOTIA                | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $394679.34    | 0.29%             | 2024-07-31      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD                                                     | BACARDI LTD                        | CUSIP: 067316AE9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    325000 | PA      | $315579.30    | 0.23%             | 2025-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND COMPANY                                    | BECTON DICKINSON AND COMPANY       | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    350000 | PA      | $341447.14    | 0.25%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LTD BMIR_21-3A                                    | BMIR_21-3A                         | CUSIP: 078777AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235897 | PA      | $231099.01    | 0.17%             | 2031-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                       | BOEING CO                          | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    350000 | PA      | $336921.71    | 0.24%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                         | BRISTOL-MYERS SQUIBB CO            | CUSIP: 110122DT2<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    350000 | PA      | $337373.31    | 0.24%             | 2023-11-13      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| BROADCOM CORPORATION/BROADCOM CA                                | BROADCOM CORP/BROADCOM CAYMAN FIN  | CUSIP: 11134LAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $344018.46    | 0.25%             | 2024-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-EB01                     | CFMT_21-EBO1                       | CUSIP: 12530AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153439 | PA      | $144124.96    | 0.10%             | 2050-11-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                      | CIGNA CORP                         | CUSIP: 125523AC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $325464.41    | 0.24%             | 2023-07-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST COMM_13-CR6                                 | COMM_13-CR6                        | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169304 | PA      | $168760.71    | 0.12%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                        | CSX CORPORATION                    | CUSIP: 126408HB2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244165.92    | 0.18%             | 2024-08-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST CPS_22-A                             | CPS_22-A                           | CUSIP: 12659WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60435 | PA      | $59717.87     | 0.04%             | 2029-04-16      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                 | CVS HEALTH CORP                    | CUSIP: 126650DE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    350000 | PA      | $336036.53    | 0.24%             | 2024-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP COMPANY                                           | CAMPBELL SOUP COMPANY              | CUSIP: 134429BE8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    175000 | PA      | $174537.37    | 0.13%             | 2023-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMER                                | CANADIAN IMPERIAL BANK OF COMMERCE | CUSIP: 13607RAE0<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    415000 | PA      | $414840.04    | 0.30%             | 2023-09-13      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-3                              | CARMX_19-3                         | CUSIP: 14315PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $516878.25    | 0.37%             | 2025-04-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-4                              | CARMX_19-4                         | CUSIP: 14315WAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281584 | PA      | $279035.62    | 0.20%             | 2024-11-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_19-2                              | CARMX_19-2                         | CUSIP: 14316LAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601601 | PA      | $597762.06    | 0.43%             | 2024-12-16      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST CARMX_22-1                              | CARMX_22-1                         | CUSIP: 14317CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623168 | PA      | $615138.90    | 0.45%             | 2025-02-18      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINANCIAL SERVICES CORPORATION                      | CATERPILLAR FINANCIAL SERVICES     | CUSIP: 14913R2Y2<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    350000 | PA      | $350564.17    | 0.25%             | 2025-01-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                          | CENTERPOINT ENERGY INC             | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    206000 | PA      | $203482.82    | 0.15%             | 2024-05-13      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS   | CHARTER COMM OPT/OPT CAP           | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $326623.75    | 0.24%             | 2024-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC.                                                | CHEVRON USA INC                    | CUSIP: 166756AK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $398001.05    | 0.29%             | 2023-08-11      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                   | CITIGROUP INC                      | CUSIP: 172967LL3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    650000 | PA      | $650397.03    | 0.47%             | 2024-05-17      | Variable      | 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             | CORP              | US        |  53546991 | NS      | $53530926.49  | 38.82%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORPORATION                                             | COMCAST CORPORATION                | CUSIP: 20030NCX7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    351000 | PA      | $351199.19    | 0.25%             | 2024-04-15      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| CEFI_21-A-A                                                     | CEFI_21-A                          | CUSIP: 20166QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198681 | PA      | $191335.06    | 0.14%             | 2027-02-16      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                  | COMMONWEALTH BANK OF AUSTRALIA     | CUSIP: 2027A0KC2<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    375000 | PA      | $374839.16    | 0.27%             | 2024-06-04      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_22-R05             | CAS_22-R05                         | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    241288 | PA      | $239528.96    | 0.17%             | 2042-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| CONNS RECEIVABLES FUNDING LLC CONN_21-A                         | CONN_21-A                          | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       333 | PA      | $332.74       | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY COMPANY                                        | CONSUMERS ENERGY COMPANY           | CUSIP: 210518CV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    297000 | PA      | $294073.25    | 0.21%             | 2023-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                        | COREBRIDGE FINANCIAL INC           | CUSIP: 21871XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $335482.70    | 0.24%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST CAALT_20-2                    | CAALT_20-2A                        | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337242 | PA      | $333756.01    | 0.24%             | 2029-07-16      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                              | CREDIT SUISSE AG/NY                | CUSIP: 22550L2J9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $334336.12    | 0.24%             | 2024-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DLLST LLC DLLST_22-1                                            | DLLST_22-1A                        | CUSIP: 23292GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23159 | PA      | $23115.80     | 0.02%             | 2023-05-22      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                              | DTE ENERGY COMPANY                 | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    355000 | PA      | $349331.48    | 0.25%             | 2024-11-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_22-3                                  | DTAOT_22-3A                        | CUSIP: 23345RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021679 | PA      | $1024583.47   | 0.74%             | 2026-10-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_22-1                                  | DTAOT_22-1A                        | CUSIP: 23345YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237854 | PA      | $234152.16    | 0.17%             | 2026-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                         | DAIMLER TRUCKS FINANCE NA          | CUSIP: 233853AK6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $333626.43    | 0.24%             | 2024-04-05      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                         | JOHN DEERE CAPITAL CORP            | CUSIP: 24422EUG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $349486.63    | 0.25%             | 2023-06-07      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                              | ENABLE MIDSTREAM PARTNERS LP       | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    193000 | PA      | $188078.30    | 0.14%             | 2024-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                    | ENBRIDGE INC                       | CUSIP: 29250NBK0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    283000 | PA      | $273296.00    | 0.20%             | 2024-02-16      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                                   | DISCOVER BANK                      | CUSIP: 25466AAQ4<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    325000 | PA      | $308791.85    | 0.22%             | 2024-09-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                  | WALT DISNEY CO                     | CUSIP: 254687CZ7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    343000 | PA      | $335974.05    | 0.24%             | 2024-09-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                               | ENTERPRISE PRODUCTS OPERATING LLC  | CUSIP: 29379VBB8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    335000 | PA      | $330034.92    | 0.24%             | 2024-02-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                               | EVERSOURCE ENERGY                  | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    331000 | PA      | $329144.83    | 0.24%             | 2023-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                           | DUPONT DE NEMOURS INC              | CUSIP: 26078JAH3<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    340000 | PA      | $339650.65    | 0.25%             | 2023-11-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST DRIVE_20-2                         | DRIVE_20-2                         | CUSIP: 26208VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135981 | PA      | $134949.34    | 0.10%             | 2026-08-17      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_19-3A                                 | DTAOT_19-3A                        | CUSIP: 26253KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403716 | PA      | $397935.44    | 0.29%             | 2025-04-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST DTAOT_19-3A                                 | DTAOT_19-3A                        | CUSIP: 26253KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $613829.88    | 0.45%             | 2026-08-17      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHF TRUST FHF_21-1                                              | FHF_21-1A                          | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155612 | PA      | $149123.95    | 0.11%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST FREED_21-3FP                                    | FREED_21-3FP                       | CUSIP: 30322MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77725 | PA      | $77098.01     | 0.06%             | 2028-11-20      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                          | FFCB                               | CUSIP: 3133ENEK2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    280000 | PA      | $279811.98    | 0.20%             | 2023-08-22      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                          | FFCB                               | CUSIP: 3133ENJQ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    425000 | PA      | $424623.29    | 0.31%             | 2023-12-27      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                                | DUKE ENERGY CORP                   | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    347000 | PA      | $345720.04    | 0.25%             | 2023-06-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                            | ERAC USA FINANCE LLC               | CUSIP: 26884TAT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $341985.56    | 0.25%             | 2023-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FUNDING TRUST                                      | FIVE CORNERS FUNDING TRUST         | CUSIP: 33829TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    346000 | PA      | $342705.14    | 0.25%             | 2023-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST FCAT_21-1                            | FCAT_21-1                          | CUSIP: 33843WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82387 | PA      | $82041.69     | 0.06%             | 2025-06-16      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                | EL PASO PIPELINE PARTNERS OP       | CUSIP: 28370TAG4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98728.34     | 0.07%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST FORDF_20-1             | FORDF_20-1                         | CUSIP: 34528QHK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $556371.96    | 0.40%             | 2025-09-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST FORDL_21-B                         | FORDL_21-B                         | CUSIP: 345329AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $122005.64    | 0.09%             | 2024-10-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_19-1                         | FORDR_19-1                         | CUSIP: 34532PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $539501.05    | 0.39%             | 2030-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_19-A                         | FORDO_19-A                         | CUSIP: 34533FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $449039.07    | 0.33%             | 2024-10-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDO_20-B                         | FORDO_20-B                         | CUSIP: 34533GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $288295.47    | 0.21%             | 2025-11-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| FREED ABS TRUST FREED_22-4FP                                    | FREED_22-4FP                       | CUSIP: 35634JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222060 | PA      | $222382.99    | 0.16%             | 2029-12-18      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| GSMS_13-GC13                                                    | GSMS_13-GC13                       | CUSIP: 36198EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $245661.03    | 0.18%             | 2046-07-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST GSMS_13-GC14                       | GSMS_13-GC14                       | CUSIP: 36198FAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1485137.40   | 1.08%             | 2046-08-10      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_20-3                | GMALT_20-3                         | CUSIP: 362569AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68333 | PA      | $68132.37     | 0.05%             | 2024-10-21      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_20-1   | GMCAR_20-1                         | CUSIP: 36258NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $194559.98    | 0.14%             | 2025-03-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL SECURITIZED TERM AUTO RECEIVABLES TRUST GMCAR_20-3 | GMCAR_20-3                         | CUSIP: 362590AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475245 | PA      | $465607.69    | 0.34%             | 2025-04-16      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST GCAR_20-3                            | GCAR_20-3A                         | CUSIP: 36260CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731750 | PA      | $725876.82    | 0.53%             | 2025-05-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST GMALT_21-1                | GMALT_21-1                         | CUSIP: 36261RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $193885.94    | 0.14%             | 2025-02-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST GCAR_21-2A                           | GCAR_21-2A                         | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455250 | PA      | $449834.33    | 0.33%             | 2025-09-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC                                  | GE HEALTHCARE HOLDING LLC          | CUSIP: 36267VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    328000 | PA      | $329052.27    | 0.24%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST 2022-SHIP GSMS_22-SHIP | GSMS_22-SHIP                       | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $320889.15    | 0.23%             | 2036-08-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                             | GILEAD SCIENCES INC                | CUSIP: 375558AZ6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    350000 | PA      | $339055.49    | 0.25%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST GMCAR_21-2   | GMCAR_21-2                         | CUSIP: 380149AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    647022 | PA      | $621691.84    | 0.45%             | 2026-04-16      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC/THE                                     | GOLDMAN SACHS GROUP INC            | CUSIP: 38141EB81<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    650000 | PA      | $654794.68    | 0.47%             | 2023-11-29      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| HCA-THE HEALTHCARE CO                                           | HCA INC                            | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199784.37    | 0.14%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                               | HSBC HOLDINGS PLC                  | CUSIP: 404280CU1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    407000 | PA      | $392315.13    | 0.28%             | 2024-08-17      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST HPEFS_21-2A                               | HPEFS_21-2A                        | CUSIP: 40441JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43132 | PA      | $42969.25     | 0.03%             | 2028-09-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_21-A                     | HDMOT_21-A                         | CUSIP: 41284NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443760 | PA      | $431992.18    | 0.31%             | 2026-04-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON MOTORCYCLE TRUST HDMOT_20-A                     | HDMOT_20-A                         | CUSIP: 41284UAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33982 | PA      | $33941.79     | 0.02%             | 2024-10-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST HALST_21-B              | HALST_21-B                         | CUSIP: 44891VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492454.00    | 0.36%             | 2024-06-17      | Fixed         | 0.33%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BUSINESS MACHINES CORP                            | IBM CORP                           | CUSIP: 459200HU8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    303000 | PA      | $298410.07    | 0.22%             | 2024-02-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES CACLN_21-3                       | CACLN_21-3                         | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124982 | PA      | $117333.72    | 0.09%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURI                                | JPMBB_13-C14                       | CUSIP: 46640LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70758 | PA      | $70098.34     | 0.05%             | 2046-08-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                             | JP MORGAN CHASE & CO               | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    675000 | PA      | $675042.14    | 0.49%             | 2025-12-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST JDOT_21-B                                | JDOT_21-B                          | CUSIP: 47789QAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195221 | PA      | $193836.13    | 0.14%             | 2024-06-17      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES CACLN_21-2                       | CACLN_21-2                         | CUSIP: 48128U2N8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    538782 | PA      | $513343.96    | 0.37%             | 2028-12-26      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                | KINDER MORGAN ENERGY PARTNERS LP   | CUSIP: 494550BS4<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    223000 | PA      | $220105.40    | 0.16%             | 2024-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST LADAR_21-1                           | LADAR_21-1A                        | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50821 | PA      | $49380.33     | 0.04%             | 2026-08-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECHNOLOGIES INC                                       | L3HARRIS TECHNOLOGIES INC          | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    340000 | PA      | $337149.60    | 0.24%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_22-A               | LDPT_22-A                          | CUSIP: 52605AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186317 | PA      | $185225.66    | 0.13%             | 2029-06-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST LBZZ_21-1                         | LBZZ_21-1A                         | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79286 | PA      | $75627.14     | 0.05%             | 2026-06-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-B               | LDPT_21-B                          | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74021 | PA      | $73495.59     | 0.05%             | 2029-02-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| LLEND_21-1A                                                     | LLEND_21-1A                        | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53293 | PA      | $51459.86     | 0.04%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| LOEWS CORPORATION                                               | LOEWS CORPORATION                  | CUSIP: 540424AQ1<br>LEI: R8V1FN4M5ITGZOG7BS19 | Long             | DBT              | CORP              | US        |    350000 | PA      | $346634.11    | 0.25%             | 2023-05-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LOWES COMPANIES INC                                             | LOWES COMPANIES INC                | CUSIP: 548661DD6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    278000 | PA      | $269405.87    | 0.20%             | 2024-09-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                        | MAGALLANES INC                     | CUSIP: 55903VAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $339080.96    | 0.25%             | 2024-03-15      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST MFT_21-2                                 | MFT_21-2A                          | CUSIP: 57108TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6788 | PA      | $6775.65      | 0.00%             | 2031-09-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| MARLIN LEASING RECEIVABLES LLC MLR_22-1A                        | MLR_22-1A                          | CUSIP: 57119HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276824 | PA      | $275936.69    | 0.20%             | 2023-07-20      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST MBART_20-1                 | MBART_20-1                         | CUSIP: 58769VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $142849.80    | 0.10%             | 2026-10-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                              | MET LIFE GLOBAL FUNDING I          | CUSIP: 59217GEP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    397000 | PA      | $366877.01    | 0.27%             | 2024-09-27      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECH INC                                              | MICROCHIP TECHNOLOGY INCORPORATED  | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    325000 | PA      | $308981.39    | 0.22%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| MISS PWR CO                                                     | MISSISSIPPI POWER CO               | CUSIP: 605417CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    319000 | PA      | $312019.52    | 0.23%             | 2024-06-28      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC MMAF_20-A                            | MMAF_20-A                          | CUSIP: 60700MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91620 | PA      | $90831.03     | 0.07%             | 2024-04-09      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                      | MONDELEZ INTERNATIONAL INC         | CUSIP: 609207AZ8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    351000 | PA      | $338522.30    | 0.25%             | 2024-03-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                  | MORGAN STANLEY                     | CUSIP: 61744YAG3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    650000 | PA      | $651159.06    | 0.47%             | 2024-05-08      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                          | NXP BV                             | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    335000 | PA      | $332310.47    | 0.24%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD ( NEW YORK BRANCH)                  | NATIONAL AUSTRALIA BANK LTD/NY     | CUSIP: 63254ABG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $350922.59    | 0.25%             | 2024-11-22      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                                    | NEW YORK LIFE GLOBAL FUNDING       | CUSIP: 64952WDG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $291938.40    | 0.21%             | 2024-04-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                             | NEXTERA ENERGY CAPITAL HOLDINGS    | CUSIP: 65339KCE8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    281000 | PA      | $279442.37    | 0.20%             | 2024-03-21      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST NAROT_19-C                  | NAROT_19-C                         | CUSIP: 65479JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107515 | PA      | $107130.23    | 0.08%             | 2024-07-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST NALT_21-A                               | NALT_21-A                          | CUSIP: 65480DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $219796.52    | 0.16%             | 2024-08-15      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW TRUST 2021-EBO1 BVEBO_21-1                            | BVEBO_21-1                         | CUSIP: 67647NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    214287 | PA      | $205265.35    | 0.15%             | 2051-12-29      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                           | ONTARIO (PROVINCE OF)              | CUSIP: 68323AFC3<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |    350000 | PA      | $343328.85    | 0.25%             | 2024-01-29      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING LLC OPTN_22-3                                   | OPTN_22-3                          | CUSIP: 68378PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374156 | PA      | $373828.14    | 0.27%             | 2030-01-08      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                              | ORACLE CORPORATION                 | CUSIP: 68389XBL8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    335000 | PA      | $328209.41    | 0.24%             | 2023-09-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST OSCAR_21-2A                              | OSCAR_21-2A                        | CUSIP: 68785BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412038 | PA      | $406341.52    | 0.29%             | 2024-08-12      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES CORPORATION                              | PPL ELECTRIC UTILITIES CORPORATION | CUSIP: 69351UAY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    343000 | PA      | $338547.94    | 0.25%             | 2024-06-24      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-1                        | PAID_22-1                          | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476153 | PA      | $457712.95    | 0.33%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-3                        | PAID_21-3                          | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313769 | PA      | $306150.17    | 0.22%             | 2029-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_21-1                        | PAID_21-1                          | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216794 | PA      | $213624.49    | 0.15%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| PIONEER NAT RES CO                                              | PIONEER NATURAL RESOURCES COMPANY  | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    275000 | PA      | $270443.51    | 0.20%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPELINE LP                                 | PLAINS ALL AMERICAN PIPELINE LP    | CUSIP: 72650RBF8<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    350000 | PA      | $338933.59    | 0.25%             | 2024-11-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PRET LLC PRET_21-RN2                                            | PRET_21-RN2                        | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    186811 | PA      | $168588.14    | 0.12%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                | PRINCIPAL LIFE GLOBAL FUNDING II   | CUSIP: 74256LEJ4<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    365000 | PA      | $348073.53    | 0.25%             | 2024-01-08      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED                    | PUBLIC SERVICE ENTERPRISE GROUP    | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     72000 | PA      | $69347.21     | 0.05%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                    | QUALCOMM INC                       | CUSIP: 747525AS2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    340000 | PA      | $340064.65    | 0.25%             | 2023-01-30      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| QUEBEC (PROVINCE OF)                                            | QUEBEC (PROVINCE OF)               | CUSIP: 748149AG6<br>LEI: N/A                  | Long             | DBT              | MUN               | CA        |    342000 | PA      | $341053.55    | 0.25%             | 2023-02-13      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                | RELX CAPITAL INC                   | CUSIP: 74949LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    335000 | PA      | $333316.09    | 0.24%             | 2023-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECHNOLOGIES CORPORATION                               | RAYTHEON TECHNOLOGIES CORPORATION  | CUSIP: 75513ECG4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    350000 | PA      | $342327.05    | 0.25%             | 2024-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                              | ROCHE HOLDINGS INC                 | CUSIP: 771196BZ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    350000 | PA      | $349410.47    | 0.25%             | 2023-09-11      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                            | ROYAL BANK OF CANADA               | CUSIP: 78013XW61<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    399000 | PA      | $398569.99    | 0.29%             | 2023-10-05      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-2               | SDART_20-2                         | CUSIP: 80285RAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427000 | PA      | $415140.59    | 0.30%             | 2026-09-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-B                      | SRT_21-B                           | CUSIP: 80286DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89953 | PA      | $89498.31     | 0.06%             | 2024-01-22      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-1               | SDART_22-1                         | CUSIP: 80286EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $724003.74    | 0.53%             | 2025-11-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-4               | SDART_22-4                         | CUSIP: 80286FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483501 | PA      | $482456.23    | 0.35%             | 2025-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_19-2               | SDART_19-2                         | CUSIP: 80286GAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101882 | PA      | $101038.57    | 0.07%             | 2025-07-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-2               | SDART_22-2                         | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143911 | PA      | $143499.95    | 0.10%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-2               | SDART_22-2                         | CUSIP: 80286MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97726.17     | 0.07%             | 2026-10-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST SRT_21-A                      | SRT_21-A                           | CUSIP: 80286TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $267894.36    | 0.19%             | 2024-07-22      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_20-4               | SDART_20-4                         | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172459 | PA      | $170673.95    | 0.12%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                  | SHELL INTERNATIONAL FINANCE BV     | CUSIP: 822582CA8<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    415000 | PA      | $415070.55    | 0.30%             | 2023-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAATSCHAPPIJ N.V.                          | SIEMENS FINANCIERINGSMAATSCHAPPIJ  | CUSIP: 82620KAV5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    400000 | PA      | $396729.94    | 0.29%             | 2023-03-11      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                                | SKANDINAVISKA ENSKILDA BANKEN AB   | CUSIP: 83051GAP3<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |    350000 | PA      | $349291.44    | 0.25%             | 2023-09-01      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-20

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

**Signature:** Martha Skinner

**Name of Signer:** Martha Skinner

**Title:** Assistant Treasurer