# EDGAR Filing Document

**Accession Number:** 0001413032
**File Stem:** 0001145549-23-009124
**Filing Date:** 2023-2
**Character Count:** 107655
**Document Hash:** a2ef5735f2bb3845cfd6d1f074e1746d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-009124.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001145549-23-009124

**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:** 23663097

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 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:** $99273288.66

**Total Liabilities:** $3625630.48

**Net Assets:** $95647658.18

**Delayed Delivery Securities:** $1525030.61

**Cash Not Reported:** $258958.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 445.300300000000 | **5-Year:** 2703.394600000000 | **10-Year:** 7170.545200000000 | **30-Year:** 1911.067500000000

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

- **3-Month:** 3335.306000000000 | **1-Year:** 1071.969100000000 | **5-Year:** 6.769500000000 | **10-Year:** -515.001600000000 | **30-Year:** 131.551800000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000055676 | 0.64%                | 2.75%                | -2.89%               |
| Class ID C000088755 | 0.64%                | 2.74%                | -2.87%               |
| Class ID C000088756 | 0.65%                | 2.81%                | -2.94%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1496619.38             | $2559015.85                                |
| Month 2  | $-503064.96              | $5204943.45                                |
| Month 3  | $-1173188.91             | $-1756378.92                               |

**Designated Index Information**

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

- **Index Identifier:** BCLYILUSDH

### Schedule of Portfolio Investments

| Name                                                      | Title                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED STATES TREASURY                                    | US TII .125 04/15/2025 (TIPS)      | CUSIP: 912828ZJ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1329512 | PA      | $1266451.69   | 1.32%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .125 07/15/2030 (TIPS)      | CUSIP: 912828ZZ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1441103 | PA      | $1289344.07   | 1.35%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .125 10/15/2025 (TIPS)      | CUSIP: 91282CAQ4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1286197 | PA      | $1221832.79   | 1.28%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 01/15/2031 .125 (TIPS)      | CUSIP: 91282CBF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1579631 | PA      | $1400849.53   | 1.46%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 91282CCA7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1494129 | PA      | $1403915.15   | 1.47%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 91282CCM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1645390 | PA      | $1451532.47   | 1.52%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 91282CDC2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1352158 | PA      | $1267556.06   | 1.33%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 91282CDX6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1752136 | PA      | $1532607.20   | 1.60%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 91282CEJ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1366678 | PA      | $1272803.76   | 1.33%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 91282CEZ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1492175 | PA      | $1366283.89   | 1.43%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-7                     | VERUS_22-7                         | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     110358 | PA      | $110782.27    | 0.12%             | 2067-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE 3.40% 7/25/2029 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     285000 | PA      | $529376.60    | 0.55%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK 2.00% 1/26/2035 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     290000 | PA      | $843412.33    | 0.88%             | 2035-01-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE 3.15% 7/25/2032 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     521434 | PA      | $682326.20    | 0.71%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                               | AUSTRALIA 2.5% 09/20/2030 (FTIPS)  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     295000 | PA      | $286218.60    | 0.30%             | 2030-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY 3.10% 9/15/2026 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     491992 | PA      | $558370.68    | 0.58%             | 2026-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 03/22/2024 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     447804 | PA      | $550241.76    | 0.58%             | 2024-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .25% 7/25/2024 (FTIPS)      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     679364 | PA      | $732452.78    | 0.77%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .375% 03/22/2062 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     596150 | PA      | $720912.61    | 0.75%             | 2062-03-22      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 3/22/2029 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     734574 | PA      | $886236.18    | 0.93%             | 2029-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 03/22/2044 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     719413 | PA      | $801539.12    | 0.84%             | 2044-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .25% 03/22/2052 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     595532 | PA      | $670296.74    | 0.70%             | 2052-03-22      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 03/22/2068 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     542614 | PA      | $608920.16    | 0.64%             | 2068-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                               | AUSTRALIA 2.0 08/21/2035 (FTIPS)   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     245000 | PA      | $211438.77    | 0.22%             | 2035-08-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                               | NEW ZEALAND 3% 9/20/2030 (FTIPS)   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |      90000 | PA      | $73471.07     | 0.08%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                                       | SWEDISH GOVERNMENT I/L 3114 0.125  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     360000 | PA      | $38907.74     | 0.04%             | 2030-06-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN (GOVERNMENT OF) 10YR #26     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   26900000 | PA      | $221613.95    | 0.23%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     129872 | PA      | $124246.80    | 0.13%             | 2038-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                             | GERMANY (FEDERAL REPUBLIC OF)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    2085000 | PA      | $2109285.49   | 2.21%             | 2027-10-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                             | GERMANY (FEDERAL REPUBLIC OF)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |     960000 | PA      | $1017554.26   | 1.06%             | 2024-12-12      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 03/10/2026 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   54700000 | PA      | $454783.61    | 0.48%             | 2026-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 11/22/2065 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     332096 | PA      | $371835.76    | 0.39%             | 2065-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     410000 | PA      | $496434.68    | 0.52%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                               | AUSTRALIA (COMMONWEALTH OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     115000 | PA      | $70213.53     | 0.07%             | 2050-02-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                               | NEW ZEALAND (GOVERNMENT OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     243000 | PA      | $183658.70    | 0.19%             | 2040-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                        | SPAIN .65% 11/30/2027 (FTIPS)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ES        |     534441 | PA      | $565361.81    | 0.59%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .10% 7/25/2036 (FTIPS)      | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     343705 | PA      | $330010.00    | 0.35%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DENMARK KINGDOM OF (GOVERNMENT)                           | DENMARK (KINGDOM OF)               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DK        |     730000 | PA      | $116137.09    | 0.12%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST CSMC_22-NQM5                                   | CSMC_22-NQM5                       | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     268237 | PA      | $268205.49    | 0.28%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                                    | CANADA (GOVERNMENT OF)             | CUSIP: 135087G99<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     230706 | PA      | $143633.22    | 0.15%             | 2050-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 03/10/2028 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   30100000 | PA      | $248519.48    | 0.26%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     502006 | PA      | $571731.88    | 0.60%             | 2041-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                        | SPAIN .70% 11/30/2033 (FTIPS)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ES        |     608242 | PA      | $608450.92    | 0.64%             | 2033-11-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .10% 03/01/2029 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     411718 | PA      | $427684.56    | 0.45%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CANADA (GOVERNMENT OF)                                    | CANADA (GOVERNMENT OF)             | CUSIP: 135087M43<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      38532 | PA      | $22007.57     | 0.02%             | 2054-12-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT BOND                                  | CANADA  4.25% 12/01/26 (FTIPS)     | CUSIP: 135087VS0<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     253865 | PA      | $206764.05    | 0.22%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                                       | SWEDEN 1.0% 06/01/2025 (FTIPS)     | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    3000000 | PA      | $362731.28    | 0.38%             | 2025-06-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY .40% 5/15/2030 (FTIPS)       | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     565612 | PA      | $529175.22    | 0.55%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT BOND                                  | CANADA 4.00% 12/01/2031 (FTIPS)    | CUSIP: 135087WV2<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     361770 | PA      | $324840.53    | 0.34%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT BOND                                  | CANADA 3.00% 12/01/2036 (FTIPS)    | CUSIP: 135087XQ2<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     261272 | PA      | $233974.86    | 0.24%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 03/10/2029 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   48300000 | PA      | $397480.67    | 0.42%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY 2.35% 9/15/2024 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     538882 | PA      | $594311.15    | 0.62%             | 2024-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT BOND                                  | CANADA 2.00% 12/01/2041 (FTIPS)    | CUSIP: 135087YK4<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     297246 | PA      | $246339.25    | 0.26%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT BOND                                  | CANADA 1.50% 12/01/2044 (FTIPS)    | CUSIP: 135087ZH0<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     392391 | PA      | $302674.73    | 0.32%             | 2044-12-01      | Fixed         | 1.50%                 | 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        |     100106 | NS      | $100075.88    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST HOF_22-1              | HOF_22-1                           | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     103077 | PA      | $102484.88    | 0.11%             | 2067-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRMLT_22-SFR2         | NRMLT_22-SFR2                      | CUSIP: 64830RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155000 | PA      | $132755.07    | 0.14%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR TRUST AMSR_22-SFR3                                   | AMSR_22-SFR3                       | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155000 | PA      | $134264.01    | 0.14%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC2                                 | PRKCM_22-AFC2                      | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      99086 | PA      | $98660.23     | 0.10%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI TECHNOLOGY IN HOUSING TRUST PATH_22-1           | PATH_22-1                          | CUSIP: 69547NAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $90472.98     | 0.09%             | 2025-08-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR7            | PROG_22-SFR7                       | CUSIP: 74333CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $183883.97    | 0.19%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST SGR_22-2                    | SGR_22-2                           | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      97470 | PA      | $98795.85     | 0.10%             | 2062-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE ACQUISITION COMPANY LLC SHMLT_22-SH1 | SHMLT_22-SH1                       | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      99172 | PA      | $88265.82     | 0.09%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 3.625 04/15/28 (TIPS)       | CUSIP: 912810FD5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     978261 | PA      | $1066135.97   | 1.11%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 3.875 04/15/29 (TIPS)       | CUSIP: 912810FH6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     906280 | PA      | $1017048.75   | 1.06%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 3.375 04/15/32 (TIPS)       | CUSIP: 912810FQ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     278668 | PA      | $317984.69    | 0.33%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 2.375 01/15/25 (TIPS)       | CUSIP: 912810FR4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1335768 | PA      | $1337183.98   | 1.40%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 2.0 01/15/26 (TIPS)         | CUSIP: 912810FS2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1043404 | PA      | $1041757.95   | 1.09%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 2.375 01/15/27 (TIPS)       | CUSIP: 912810PS1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1041687 | PA      | $1061243.84   | 1.11%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 1.75 01/15/28 (TIPS)        | CUSIP: 912810PV4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     796505 | PA      | $795994.80    | 0.83%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 2.5 01/15/29 (TIPS)         | CUSIP: 912810PZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     732096 | PA      | $762357.19    | 0.80%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 2.125 02/15/40 (TIPS)       | CUSIP: 912810QF8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     693446 | PA      | $732813.08    | 0.77%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 2.125 02/15/41 (TIPS)       | CUSIP: 912810QP6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     959265 | PA      | $1011935.69   | 1.06%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .75 02/15/42 (TIPS)         | CUSIP: 912810QV3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     901991 | PA      | $754296.82    | 0.79%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .625 02/15/2043 (TIPS)      | CUSIP: 912810RA8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1017391 | PA      | $818706.60    | 0.86%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 1.375 02/15/2044 (TIPS)     | CUSIP: 912810RF7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     939720 | PA      | $868832.92    | 0.91%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .75% 02/15/2045 (TIPS)      | CUSIP: 912810RL4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     917400 | PA      | $740504.95    | 0.77%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 1.0 02/15/2046 (TIPS)       | CUSIP: 912810RR1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     836284 | PA      | $709469.77    | 0.74%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .875 02/15/2047 (TIPS)      | CUSIP: 912810RW0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     728290 | PA      | $596332.81    | 0.62%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 1.0 02/15/2048 (TIPS)       | CUSIP: 912810SB5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     737087 | PA      | $617454.86    | 0.65%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 912810SG4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     556550 | PA      | $465593.82    | 0.49%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .25 02/15/2050 (TIPS)       | CUSIP: 912810SM1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     492575 | PA      | $332100.92    | 0.35%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | TREASURY (CPI) NOTE                | CUSIP: 912810TE8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     185928 | PA      | $119877.75    | 0.13%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .375 07/15/2027 (TIPS)      | CUSIP: 9128282L3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     706504 | PA      | $665775.64    | 0.70%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .875 01/15/2029 (TIPS)      | CUSIP: 9128285W6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1437455 | PA      | $1368592.38   | 1.43%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .50 04/15/2024 (TIPS)       | CUSIP: 9128286N5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1240533 | PA      | $1206559.39   | 1.26%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .25 07/15/2029 (TIPS)       | CUSIP: 9128287D6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1467774 | PA      | $1343001.75   | 1.40%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .625 01/15/2024 (TIPS)      | CUSIP: 912828B25<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1715065 | PA      | $1678761.10   | 1.76%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .625 01/15/2026 (TIPS)      | CUSIP: 912828N71<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1718035 | PA      | $1648398.76   | 1.72%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .125 07/15/2026 (TIPS)      | CUSIP: 912828S50<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1567549 | PA      | $1476431.99   | 1.54%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .375 01/158/2027 (TIPS)     | CUSIP: 912828V49<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1395627 | PA      | $1315107.16   | 1.37%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .125 07/15/2024 (TIPS)      | CUSIP: 912828WU0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1236086 | PA      | $1196721.20   | 1.25%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .375 07/15/2025 (TIPS)      | CUSIP: 912828XL9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1771679 | PA      | $1701413.16   | 1.78%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII 07/15/2028 .75 (TIPS)       | CUSIP: 912828Y38<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1037499 | PA      | $988016.97    | 1.03%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .125 10/15/2024 (TIPS)      | CUSIP: 912828YL8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |     754904 | PA      | $727271.80    | 0.76%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | US TII .125 01/15/2030 (TIPS)      | CUSIP: 912828Z37<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    1644573 | PA      | $1476680.27   | 1.54%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.468780 30-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     287528 | OU      | $1214.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.559000 03-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     431300 | OU      | $-1362.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.479000 04-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     202000 | OU      | $-682.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.412500 05-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     117000 | OU      | $-1030.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -394142 | OU      | $-11903.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -394142 | OU      | $-16239.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.705000 06-OCT-2024      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     750000 | OU      | $-1227.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.617000 12-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     289171 | OU      | $-2299.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.646000 14-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     111000 | OU      | $-1147.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |     729893 | OU      | $30953.81     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |     729893 | OU      | $22683.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.617000 17-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     231500 | OU      | $-1848.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.415000 15-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     220000 | OU      | $-6311.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.555000 15-OCT-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     220000 | OU      | $5237.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.848000 21-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     398000 | OU      | $-10732.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 3.170000 21-OCT-2023      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     125000 | OU      | $336.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.994852 21-OCT-2024      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     125000 | OU      | $-801.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.854790 24-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     344000 | OU      | $-9482.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.935000 25-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     240000 | OU      | $-8341.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.617500 27-OCT-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     345000 | OU      | $-10813.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.826000 27-OCT-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     275401 | OU      | $6947.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.646500 15-NOV-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      15000 | OU      | $-162.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | FSWP: OIS 3.819610 15-NOV-2032     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     296000 | OU      | $-7368.42     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -587700 | OU      | $-16105.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -587700 | OU      | $-30724.60    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | FSWP: OIS 3.808500 15-NOV-2032     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     110000 | OU      | $-2637.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.556000 14-NOV-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     166000 | OU      | $517.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.581000 16-NOV-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     262000 | OU      | $1361.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.470000 18-NOV-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     177000 | OU      | $-702.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    -768200 | OU      | $-30852.37    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              | CORP              | US        |    -768200 | OU      | $-27539.12    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.596000 18-NOV-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      60000 | OU      | $-87.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.413400 21-NOV-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     235000 | OU      | $-2030.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.236000 05-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     291500 | OU      | $-6801.31     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.210000 06-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     174000 | OU      | $-4434.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.204500 06-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     246000 | OU      | $-6382.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | US        |    2077000 | OU      | $56697.74     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | US        |    2077000 | OU      | $108638.94    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.492500 12-DEC-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      20000 | OU      | $-19.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.606500 12-DEC-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     385000 | OU      | $161.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.184500 12-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     291500 | OU      | $-8051.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.615000 12-DEC-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     865000 | OU      | $23.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.285500 13-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     168000 | OU      | $3229.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.080000 15-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     235000 | OU      | $-1191.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 3.320000 15-DEC-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     235000 | OU      | $367.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.570000 15-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     235000 | OU      | $272.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.765000 15-DEC-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     235000 | OU      | $-45.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -721000 | OU      | $-39021.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 03/10/2024 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |     100000 | PA      | $842.03       | 0.00%             | 2024-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                             | GERMANY .50% 4/15/2030 (FTIPS)     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |     949728 | PA      | $1030022.61   | 1.08%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                             | GERMANY (FEDERAL REPUBLIC OF)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    1138276 | PA      | $1195065.60   | 1.25%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                               | AUSTRALIA (COMMONWEALTH OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |      40000 | PA      | $25544.36     | 0.03%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UNITED KINGDOM GILT INFLATION LINK | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     150071 | PA      | $176678.15    | 0.18%             | 2073-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN (GOVERNMENT OF) 10YR #27     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   19700000 | PA      | $161723.19    | 0.17%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN (GOVERNMENT OF) 10YR #25     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   17900000 | PA      | $147179.41    | 0.15%             | 2030-03-10      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     264357 | PA      | $273858.84    | 0.29%             | 2026-05-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                        | SPAIN 1.80% 11/30/2024 (FTIPS)     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ES        |     488681 | PA      | $538475.23    | 0.56%             | 2024-11-30      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .10% 3/1/2036 (FTIPS)       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     255000 | PA      | $280792.78    | 0.29%             | 2036-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     505300 | PA      | $535346.13    | 0.56%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     330441 | PA      | $275733.53    | 0.29%             | 2033-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     460076 | PA      | $471167.46    | 0.49%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .70% 07/25/2030 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     700843 | PA      | $754861.86    | 0.79%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     418230 | PA      | $508863.70    | 0.53%             | 2031-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UNITED KINGDOM OF GREAT BRITAIN AN | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     272288 | PA      | $293903.11    | 0.31%             | 2051-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .10% 3/1/2032 (FTIPS)       | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     100000 | PA      | $114632.23    | 0.12%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY (REPUBLIC OF)                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     236861 | PA      | $144823.64    | 0.15%             | 2051-05-15      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT BOND                                  | CANADA 1.25% 12/01/2047 (FTIPS)    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | CA        |     318028 | PA      | $236310.05    | 0.25%             | 2047-12-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 03/22/2058 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     475701 | PA      | $518382.82    | 0.54%             | 2058-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE (REPUBLIC OF)               | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     152458 | PA      | $135886.18    | 0.14%             | 2053-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 09/10/2024 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   42600000 | PA      | $350313.36    | 0.37%             | 2024-09-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK 1.25% 11/22/2055 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     605548 | PA      | $905781.79    | 0.95%             | 2055-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -721000 | OU      | $-19282.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 3.802500 15-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     855000 | OU      | $11397.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.505000 22-DEC-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |    1350000 | OU      | $5318.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.360990 22-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     273000 | OU      | $3528.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.482500 23-DEC-2024      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |    1500000 | OU      | $3320.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.470000 15-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     995000 | OU      | $11114.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.485000 15-DEC-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |    1950000 | OU      | $-18864.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND (GOVERNMENT OF)                               | NEW ZEALAND 2.5% 9/20/2035 (FTIPS) | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | NZ        |     203000 | PA      | $155510.54    | 0.16%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .10% 03/01/2025 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     485000 | PA      | $592667.08    | 0.62%             | 2025-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                             | GERMANY .10 4/15/2026 (FTIPS)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |     661832 | PA      | $702616.37    | 0.73%             | 2026-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SPAIN (KINGDOM OF)                                        | SPAIN 1.0% 11/30/2030 (FTIPS)      | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | ES        |     595638 | PA      | $631842.92    | 0.66%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SWEDEN (KINGDOM OF)                                       | SWEDISH GOVERNMENT I/L 3111 0.125  | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     595000 | PA      | $68799.84     | 0.07%             | 2032-06-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 03/10/2025 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   69700000 | PA      | $574240.86    | 0.60%             | 2025-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 03/22/2046 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     606114 | PA      | $665916.34    | 0.70%             | 2046-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                               | AUSTRALIA (COMMONWEALTH OF)        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     115000 | PA      | $83871.15     | 0.09%             | 2040-08-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 11/22/2056 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     291314 | PA      | $316081.33    | 0.33%             | 2056-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY 1.25% 9/15/2032 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     613882 | PA      | $594011.59    | 0.62%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE .10% 07/25/2047 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     511122 | PA      | $464313.35    | 0.49%             | 2047-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY 1.30% 5/15/2028 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     625763 | PA      | $647056.28    | 0.68%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 03/22/2026 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     620212 | PA      | $756809.87    | 0.79%             | 2026-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN (GOVERNMENT OF)                                     | JAPAN .10% 03/10/2027 (FTIPS)      | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   45500000 | PA      | $382924.34    | 0.40%             | 2027-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 11/22/2036 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     588597 | PA      | $688824.05    | 0.72%             | 2036-11-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GERMANY (FEDERAL REPUBLIC OF)                             | GERMANY .10% 04/15/2046 (FTIPS)    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |     495518 | PA      | $522633.62    | 0.55%             | 2046-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .125% 08/10/2048 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     492191 | PA      | $534318.91    | 0.56%             | 2048-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UNITED KINGDOM (GOVERNMENT OF)     | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     694679 | PA      | $841939.97    | 0.88%             | 2028-08-10      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citi                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |   -1011697 | OU      | $-7453.38     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     -14000 | OU      | $243.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | US DOLLARS                         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | NZ        |    -637000 | OU      | $-8402.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | CANADIAN DOLLAR                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | CA        |      54000 | OU      | $84.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | DANISH KRONA                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | DK        |    1932000 | OU      | $3953.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | XX        |     381000 | OU      | $5768.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | BRITISH POUND                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | GB        |     152023 | OU      | $-1593.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citi                                                      | MEXICAN PESO                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | MX        |     985500 | OU      | $225.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                       | CAN 10YR BOND MAR 23               | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | CA        |         -2 | NC      | $4235.84      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | 3 Month SOFR Opt  Jan23C 95.375    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |       -109 | NC      | $-1362.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | 3 Month SOFR Opt  Jan23C 95.125    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |        109 | NC      | $12943.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | SOFR 1yr MidCurve Jun23C 97.625    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |        -53 | NC      | $-7950.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | SOFR 1yr MidCurve Jun23C 97        | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         53 | NC      | $20868.75     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | AU        |   -1666935 | OU      | $-12599.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | CA        |   -2364000 | OU      | $415.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | DK        |   -2760992 | OU      | $-12272.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | XX        |  -21411752 | OU      | $-657297.92   | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | GB        |  -19310233 | OU      | $-201186.77   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | JP        | -389693445 | OU      | $-142400.15   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK 1.25% 11/22/2027 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     898670 | PA      | $1149611.66   | 1.20%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE 1.80% 7/25/2040 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     587898 | PA      | $727874.00    | 0.76%             | 2040-07-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .625% 11/22/2042 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     686836 | PA      | $856692.60    | 0.90%             | 2042-11-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .50% 3/22/2050 (FTIPS)          | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     629362 | PA      | $753440.76    | 0.79%             | 2050-03-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY 2.55% 9/15/2041 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     549868 | PA      | $596305.84    | 0.62%             | 2041-09-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .625% 3/22/2040 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     723276 | PA      | $901025.20    | 0.94%             | 2040-03-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FRANCE (REPUBLIC OF)                                      | FRANCE 1.85% 7/25/2027 (FTIPS)     | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     824410 | PA      | $940110.20    | 0.98%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .75% 03/22/2034 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     643709 | PA      | $818529.06    | 0.86%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK I/L GILT                        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     251895 | PA      | $289338.49    | 0.30%             | 2039-03-22      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |   -2491000 | OU      | $-44873.62    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |   -2491000 | OU      | $-102166.87   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -841554 | OU      | $-33918.24    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -841554 | OU      | $-15836.11    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.631000 29-JUN-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     530000 | OU      | $-10856.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.781000 05-JUL-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     370433 | OU      | $-22023.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.828500 05-JUL-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     370432 | OU      | $-20615.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.707000 06-JUL-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     250400 | OU      | $-16368.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.618500 07-JUL-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     168378 | OU      | $-12201.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -205000 | OU      | $-2144.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -205000 | OU      | $-13621.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.433000 15-JUL-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      30000 | OU      | $-3073.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.596500 26-JUL-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     148983 | OU      | $-11100.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | US        |   -1069994 | OU      | $-85879.64    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | US        |   -1069994 | OU      | $-8679.36     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -540000 | OU      | $-47196.43    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -540000 | OU      | $-3750.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.441000 15-AUG-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      30000 | OU      | $-2783.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.426000 17-AUG-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      20000 | OU      | $374.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -601000 | OU      | $-42872.58    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    -601000 | OU      | $-6658.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.754000 23-AUG-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     310000 | OU      | $19273.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.604000 15-AUG-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      15000 | OU      | $587.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    1617000 | OU      | $96671.86     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | OTC (GENERIC) 1 YEAR               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              | CORP              | DE        |    1617000 | OU      | $25503.65     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.925000 01-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     326717 | OU      | $15815.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.920000 02-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |      82339 | OU      | $-4020.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.933500 02-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     309000 | OU      | $14748.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 2.988580 02-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     309000 | OU      | $13368.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: OIS 3.077570 09-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |     182000 | OU      | $6566.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.522500 15-SEP-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      30000 | OU      | $-1779.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.485000 20-SEP-2052      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |      40000 | OU      | $10.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.914500 22-SEP-2024      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     630000 | OU      | $-3847.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 3.080000 15-SEP-2027      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     100000 | OU      | $140.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs                                             | SWP: IFS 2.670000 15-SEP-2032      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | GB        |     100000 | OU      | $-748.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | MX        |    -992601 | OU      | $-587.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | NZ        |     -23618 | OU      | $-320.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | US DOLLARS                         | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | SE        |   -7235878 | OU      | $-3840.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | EURO COUNTRIES                     | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | XX        |     398000 | OU      | $5755.08      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | BRITISH POUND                      | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | GB        |    1327000 | OU      | $-11206.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank                                             | SWEDISH KRONA                      | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | SE        |      66000 | OU      | $-78.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS                                                       | EURO-SCHATZ MAR 23                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | DE        |         -9 | NC      | $764.95       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN (KINGDOM OF)                                       | SWEDEN 3.50% 12/01/2028 (FTIPS)    | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    1255000 | PA      | $215180.86    | 0.22%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ITALY (REPUBLIC OF)                                       | ITALY 2.35% 9/15/2035 (FTIPS)      | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     561795 | PA      | $592844.23    | 0.62%             | 2035-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK 1.125% 11/22/2037 (FTIPS)       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     721551 | PA      | $961819.78    | 1.01%             | 2037-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK .75% 11/22/2047 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     632284 | PA      | $798763.20    | 0.84%             | 2047-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA (COMMONWEALTH OF)                               | AUSTRALIA 3.00% 9/20/2025 (FTIPS)  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | NUSS              | AU        |     435000 | PA      | $430196.41    | 0.45%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS                                                       | US 5YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         15 | NC      | $-13261.98    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | LONG GILT MAR 23                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | GB        |          8 | NC      | $-11551.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK 4.125% 7/22/2030 (FTIPS)        | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     135000 | PA      | $549309.80    | 0.57%             | 2030-07-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UBS                                                       | JPN 10YR BOND (OSE) MAR 23         | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | JP        |         -1 | NC      | $21121.73     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | EURO-OAT MAR 23                    | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | DE        |         -1 | NC      | $9258.06      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | EURO-BOBL MAR 23                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | DE        |        -17 | NC      | $20616.28     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | EURO-BUND MAR 23                   | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | DE        |         -6 | NC      | $19416.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | THREE-MONTH SOFR FUTURE JUN 23     | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         19 | NC      | $-5502.97     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS                                                       | US 2YR NOTE MAR 23                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |         38 | NC      | $-21955.04    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN (KINGDOM OF)                                       | SWEDEN (KINGDOM OF)                | CUSIP: W7S736KN7<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     250000 | PA      | $25624.53     | 0.03%             | 2039-06-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS                                                       | US ULTRA T-BOND MAR 23             | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DIR              | CORP              | US        |          9 | NC      | $-75307.91    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM (GOVERNMENT OF)                            | UK 2.50% 7/17/2024 (FTIPS)         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     210000 | PA      | $956280.54    | 1.00%             | 2024-07-17      | Fixed         | 2.50%                 | 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