# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-010359
**Filing Date:** 2026-2
**Character Count:** 159520
**Document Hash:** 7916b2eaf726d09c6bcdcfe566e657da
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-010359.hdr.sgml**: 20260206

**ACCESSION NUMBER**: 0001410368-26-010359

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260206

**DATE AS OF CHANGE**: 20260206

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 26605220

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP BlackRock Inflation Protected Bond Fund (Series ID: S000028580)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000087492 | Standard Class |  |
| C000087493 | Service Class  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP BlackRock Inflation Protected Bond Fund

- **b. EDGAR series identifier (if any):** S000028580

- **c. LEI of Series:** MZ4W4ROOON3S99B8WI92

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1308759390.69

**Total Liabilities:** $135048672.77

**Net Assets:** $1173710717.92

**Delayed Delivery Securities:** $17420244.47

**Cash Not Reported:** $2870153.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -275.70000000 | **1-Year:** -1970.53000000 | **5-Year:** -5310.88000000 | **10-Year:** -6740.44000000 | **30-Year:** -1232.49000000

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

- **3-Month:** -102.12000000 | **1-Year:** -966.68000000 | **5-Year:** -537.69000000 | **10-Year:** -2056.85000000 | **30-Year:** -1121.39000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087492 | 0.33%                | 0.14%                | -0.28%               |
| Class ID C000087493 | 0.30%                | 0.13%                | -0.31%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1111728.44              | $-9728683.21                               |
| Month 2  | $305402.63               | $2452451.56                                |
| Month 3  | $-265563.96              | $-561919.70                                |

**Designated Index Information**

- **Index Name:** BBG World Govt 1-10yr inflation-linked Bond Index USD hedged

- **Index Identifier:** BCIW3E

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Mortgage Corp                                     | ABN Amro Mortgage Corp                                                                                             | CUSIP: 000780BZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2683 | PA      | $2653.49      | 0.00%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                              | AEP Texas Inc                                                                                                      | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     805000 | PA      | $839091.03    | 0.07%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR1 Trust                                                                                               | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2478571.50   | 0.21%             | 2039-03-17      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2024-CRE9 Ltd                                                                                                | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     701293 | PA      | $701293.17    | 0.06%             | 2041-05-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $369765.62    | 0.03%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19015000 | PA      | $17518311.48  | 1.49%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12331000 | PA      | $12296319.06  | 1.05%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24764236 | PA      | $25110504.16  | 2.14%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust 2025-2                                                                                    | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |    1082994 | PA      | $1093370.09   | 0.09%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                             | ARES Commercial Mortgage Trust 2024-IND                                                                            | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1151430.83   | 0.10%             | 2041-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc               | BAMLL Trust 2024-BHP                                                                                               | CUSIP: 05493WAA0<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |     770000 | PA      | $773041.58    | 0.07%             | 2039-08-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                             | BAHA Trust 2024-MAR                                                                                                | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1190748.87   | 0.10%             | 2041-12-10      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Trust 2025-EWEST                                                                                              | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954000 | PA      | $953999.05    | 0.08%             | 2042-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD 2024-VICT Mortgage Trust                                                                                      | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365000 | PA      | $366596.58    | 0.03%             | 2041-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Commercial Mortgage Trust 2025-660F                                                                           | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1076000 | PA      | $1079019.79   | 0.09%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2025-JDI                                                                              | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1440000 | PA      | $1439550.00   | 0.12%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-XL4                                                                              | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515060 | PA      | $514737.67    | 0.04%             | 2039-02-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-KING                                                                             | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1204148 | PA      | $1204146.91   | 0.10%             | 2034-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2024-VLT4                                                                                                 | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     668000 | PA      | $667584.44    | 0.06%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2025-VOLT                                                                                                 | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1086000 | PA      | $1084643.37   | 0.09%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2025-ARIA                                                                                                 | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1258044.88   | 0.11%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                               | Barclays Mortgage Loan Trust 2025-NQM3                                                                             | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1253162 | PA      | $1264341.81   | 0.11%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2464000 | PA      | $11273681.74  | 0.96%             | 2030-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2023-NQM3                                                                          | CUSIP: 10568EAA0<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    1132270 | PA      | $1133561.90   | 0.10%             | 2062-09-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-MDHS                                                                             | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     986341 | PA      | $987873.72    | 0.08%             | 2041-05-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-AIRC                                                                             | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458736 | PA      | $459308.35    | 0.04%             | 2041-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust 2025-SBAY                    | CIP Commercial Mortgage Trust 2025-SBAY                                                                            | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1047000 | PA      | $1046999.48   | 0.09%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-NQM5 Trust                                                                                               | CUSIP: 12663DAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2227916 | PA      | $2225674.83   | 0.19%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                     | CHL Mortgage Pass-Through Trust 2004-5                                                                             | CUSIP: 12669FVY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19548 | PA      | $19222.73     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5134069 | PA      | $3861389.73   | 0.33%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5010210 | PA      | $4222330.54   | 0.36%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                   | Cheniere Energy Partners LP                                                                                        | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     980000 | PA      | $1023235.54   | 0.09%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                           | COLT 2025-12 Mortgage Loan Trust                                                                                   | CUSIP: 19688UAD4<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |     727046 | PA      | $727938.89    | 0.06%             | 2071-01-26      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2024-WCL1 MORTGAGE TRUST                                                                                      | CUSIP: 20047DAA2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $537983.05    | 0.05%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CART                                                       | CONE Trust 2024-DFW1                                                                                               | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $209672.32    | 0.02%             | 2041-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                       | Cross 2025-H1 Mortgage Trust                                                                                       | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1205541 | PA      | $1219355.75   | 0.10%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                       | Cross 2025-H10 Mortgage Trust                                                                                      | CUSIP: 22758YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572968 | PA      | $573458.35    | 0.05%             | 2071-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                                | DBC 2025-DBC Mortgage Trust                                                                                        | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1445000 | PA      | $1445903.13   | 0.12%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                        | DBGS 2024-SBL                                                                                                      | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1085000 | PA      | $1085001.09   | 0.09%             | 2034-08-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                              | DBSG 2024-ALTA Mortgage Trust                                                                                      | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215000 | PA      | $218538.62    | 0.02%             | 2037-06-10      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                       | Deephaven Residential Mortgage Trust 2024-1                                                                        | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485428 | PA      | $490256.80    | 0.04%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                                             | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1781628.35   | 0.15%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-34853.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2889268.21  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-350810.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $119402.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-76297.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-44640.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-263222.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2954185.00  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-189069.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $4451.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED AUD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | AU        |          1 | NC      | $1346.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |          1 | NC      | $3433.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1343.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $-1732.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-55.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-14789.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | GB        |          1 | NC      | $14971.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | BR        |          1 | NC      | $-31812.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-568.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD PEN                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-2872.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $-253.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SE        |          1 | NC      | $480.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                         | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              |  | CA        |          1 | NC      | $877.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                      | PURCHASED MXN / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | MX        |          1 | NC      | $-3059.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | JP        |          1 | NC      | $-14144.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-336.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | GB        |          1 | NC      | $-234.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED AUD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | AU        |          1 | NC      | $-54883.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $54752.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $35046.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED NZD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | NZ        |          1 | NC      | $-35443.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $176441.63    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $-175647.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED DKK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | DK        |          1 | NC      | $-3128.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $3172.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SE        |          1 | NC      | $-7615.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $7835.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CA        |          1 | NC      | $-12938.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $13106.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $201501.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |          1 | NC      | $-197551.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | JP        |          1 | NC      | $-77847.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $81859.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAA9<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $432498.64    | 0.04%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $432498.64    | 0.04%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | EFMT 2025-NQM6                                                                                                     | CUSIP: 281916AC0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |     553361 | PA      | $553897.15    | 0.05%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                 | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     825000 | PA      | $849020.49    | 0.07%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                             | Enterprise Fleet Financing 2025-4 LLC                                                                              | CUSIP: 29373NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     508000 | PA      | $509740.66    | 0.04%             | 2032-06-20      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                | Extended Stay America Trust 2025-ESH                                                                               | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267000 | PA      | $1267791.62   | 0.11%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344525 | PA      | $346756.86    | 0.03%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81722 | PA      | $82278.68     | 0.01%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407405 | PA      | $409552.39    | 0.03%             | 2055-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505432 | PA      | $509550.75    | 0.04%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145238 | PA      | $146228.34    | 0.01%             | 2054-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334252 | PA      | $337103.03    | 0.03%             | 2055-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201161 | PA      | $202913.41    | 0.02%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366692 | PA      | $370304.28    | 0.03%             | 2055-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418834 | PA      | $419331.04    | 0.04%             | 2054-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHLV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     492058 | PA      | $496400.13    | 0.04%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168687 | PA      | $169788.92    | 0.01%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHSB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300900 | PA      | $303014.83    | 0.03%             | 2054-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HJAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369781 | PA      | $371000.56    | 0.03%             | 2054-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417115 | PA      | $421803.15    | 0.04%             | 2055-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7066414 | PA      | $7109776.72   | 0.61%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3792870 | PA      | $3816382.33   | 0.33%             | 2055-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207002 | PA      | $208463.89    | 0.02%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277624 | PA      | $280070.71    | 0.02%             | 2055-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212690 | PA      | $214152.62    | 0.02%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214632 | PA      | $216524.60    | 0.02%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284507 | PA      | $287014.90    | 0.02%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HMKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     465181 | PA      | $467730.13    | 0.04%             | 2055-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305222 | PA      | $307406.12    | 0.03%             | 2055-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | Ellington Financial Mortgage Trust 2021-3                                                                          | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1454673 | PA      | $1222730.79   | 0.10%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    4115000 | PA      | $13239651.55  | 1.13%             | 2035-01-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                             | FirstKey Homes 2022-SFR1 Trust                                                                                     | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2497006.25   | 0.21%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                             | FirstKey Homes 2022-SFR1 Trust                                                                                     | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2493109.00   | 0.21%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                   | Foundation Finance Trust 2025-3                                                                                    | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     634411 | PA      | $636098.84    | 0.05%             | 2052-08-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                           | GWT 2024-WLF2                                                                                                      | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $877450.79    | 0.07%             | 2041-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                        | HONO 2021-LULU Mortgage Trust                                                                                      | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $148125.09    | 0.01%             | 2036-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                           | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                                                            | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $474851.90    | 0.04%             | 2037-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited            | HOMES 2025-AFC1 Trust                                                                                              | CUSIP: 403969AC2<br>LEI: 2549006ZK3R8WZLA9S73 | Long             | ABS-MBS          | CORP              | US        |     648574 | PA      | $656300.14    | 0.06%             | 2060-01-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited            | HOMES 2025-AFC2 Trust                                                                                              | CUSIP: 43761YAA2<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |    1262012 | PA      | $1271959.22   | 0.11%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | J.P. Morgan Mortgage Trust 2023-DSC1                                                                               | CUSIP: 46656NAA7<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     632144 | PA      | $625816.55    | 0.05%             | 2063-07-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                     | JW Commercial Mortgage Trust 2024-MRCO                                                                             | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510000 | PA      | $510792.59    | 0.04%             | 2039-06-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                  | LQR Trust 2025-CALI                                                                                                | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451000 | PA      | $450998.74    | 0.04%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   14075000 | PA      | $2668023.90   | 0.23%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     885785 | PA      | $1123013.34   | 0.10%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust             | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1                                                           | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672481 | PA      | $680960.49    | 0.06%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                  | NYCT Trust 2024-3ELV                                                                                               | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183498 | PA      | $183726.95    | 0.02%             | 2029-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2022-SFR2                                                                      | CUSIP: 64830RAG7<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-O            | CORP              | US        |    2210000 | PA      | $2172052.75   | 0.19%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2025-NQM7                                                                      | CUSIP: 64831YAE6<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    1245000 | PA      | $1246799.40   | 0.11%             | 2065-10-26      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR3 Trust                                                                                               | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2180000 | PA      | $2142823.81   | 0.18%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                         | One New York Plaza Trust 2020-1NYP                                                                                 | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89000 | PA      | $84398.70     | 0.01%             | 2036-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2022-AFC2 Trust                                                                                              | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323388 | PA      | $323441.73    | 0.03%             | 2057-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                      | PRPM 2025-NQM3 Trust                                                                                               | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000762 | PA      | $1010083.89   | 0.09%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                             | PENN Commercial Mortgage Trust 2025-P11                                                                            | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     680000 | PA      | $696885.35    | 0.06%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                      | PRPM 2025-NQM2 Trust                                                                                               | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     769652 | PA      | $778447.86    | 0.07%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR3 Trust                                                                               | CUSIP: 74331UAL2<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |     968000 | PA      | $968379.26    | 0.08%             | 2039-04-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR4 Trust                                                                               | CUSIP: 74332XAG6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2511869.25   | 0.21%             | 2041-05-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR5 Trust                                                                               | CUSIP: 74332YAG4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2515407.25   | 0.21%             | 2039-06-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR7 Trust                                                                               | CUSIP: 74333CAG1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    1615000 | PA      | $1621289.78   | 0.14%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2021-SFR8 Trust                                                                               | CUSIP: 74333TAJ8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2451454.00   | 0.21%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR6 Trust                                                                               | CUSIP: 74334DAG8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    2150000 | PA      | $2169523.29   | 0.18%             | 2039-07-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                      | PRPM 2025-NQM1 Trust                                                                                               | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     957076 | PA      | $968248.16    | 0.08%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1966849 | PA      | $2594360.83   | 0.22%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund                                                         | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |    7426987 | NS      | $7426986.88   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2021-1                                                                               | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1757491 | PA      | $1480711.03   | 0.13%             | 2061-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2022-2                                                                               | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559169 | PA      | $559672.74    | 0.05%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2025-1                                                                               | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     989597 | PA      | $990964.52    | 0.08%             | 2065-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                                 | SHRN Trust 2025-MF18                                                                                               | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1515000 | PA      | $1514999.85   | 0.13%             | 2040-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAE1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1499184.15   | 0.13%             | 2039-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAF8<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $602229.48    | 0.05%             | 2039-04-17      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR2 Trust                                                                                 | CUSIP: 89616TAD7<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2561837.75   | 0.22%             | 2040-07-17      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1762000 | PA      | $1523249.00   | 0.13%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $384000.00    | 0.03%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1321000 | PA      | $1384408.00   | 0.12%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1294000 | PA      | $1380698.00   | 0.12%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16864663 | PA      | $17691783.97  | 1.51%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18668004 | PA      | $20106495.75  | 1.71%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4638793 | PA      | $5119822.57   | 0.44%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13056057 | PA      | $13160016.66  | 1.12%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12106439 | PA      | $12194185.86  | 1.04%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7542723 | PA      | $7784613.19   | 0.66%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22606356 | PA      | $22342359.94  | 1.90%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2679438 | PA      | $2632100.40   | 0.22%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25287115 | PA      | $24361306.88  | 2.08%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16629403 | PA      | $16423785.08  | 1.40%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23380443 | PA      | $23100270.75  | 1.97%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20964544 | PA      | $19882644.00  | 1.69%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26757009 | PA      | $25250104.89  | 2.15%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32295575 | PA      | $30102474.27  | 2.56%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27318513 | PA      | $25310365.48  | 2.16%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29406207 | PA      | $26867967.49  | 2.29%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22297881 | PA      | $21892740.08  | 1.87%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26362295 | PA      | $24730320.37  | 2.11%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25669105 | PA      | $24628483.59  | 2.10%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21046682 | PA      | $20960649.71  | 1.79%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25840801 | PA      | $25186048.13  | 2.15%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7764923 | PA      | $7995961.32   | 0.68%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25979322 | PA      | $25830362.30  | 2.20%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22872998 | PA      | $23355024.47  | 1.99%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28550326 | PA      | $28662617.16  | 2.44%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23632776 | PA      | $23864560.29  | 2.03%             | 2029-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32234217 | PA      | $32803263.77  | 2.79%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31588251 | PA      | $31743114.43  | 2.70%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35014735 | PA      | $34920984.80  | 2.98%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13880049 | PA      | $13667391.92  | 1.16%             | 2030-10-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                 | UNIV Trust 2025-APTS                                                                                               | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1101370.05   | 0.09%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                  | REVERSE REPO HSBC                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -11940000 | PA      | $-11940000.00 | -1.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Regions Bank                                               | REVERSE REPO PARIBAS                                                                                               | CUSIP: 000000000<br>LEI: EQTWLK1G7ODGC2MGLV11 | Short            | RA               | CORP              | US        |  -18437738 | PA      | $-18437737.50 | -1.57%            |  |  |  | No            |                  2 | On Loan: No      |
| Regions Bank                                               | REVERSE REPO PARIBAS                                                                                               | CUSIP: 000000000<br>LEI: EQTWLK1G7ODGC2MGLV11 | Short            | RA               | CORP              | US        |  -20675000 | PA      | $-20675000.00 | -1.76%            |  |  |  | No            |                  2 | On Loan: No      |
| SWAP CCPC CITIGROUP COC                                    | SWAP CCPC CITIGROUP COC                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    6072000 | NS      | $6072000.00   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| SWAP CCPC CITIBANK COC                                     | SWAP CCPC CITIBANK COC                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2325000 | NS      | $-2325000.00  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2025-12                                                                                 | CUSIP: 92490FAE0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |     781163 | PA      | $782692.28    | 0.07%             | 2070-12-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                   | Vistra Operations Co LLC                                                                                           | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     875000 | PA      | $920791.38    | 0.08%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                    | WaMu Mortgage Pass-Through Certificates Series 2003-S11 Trust                                                      | CUSIP: 92922FHA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28070 | PA      | $28142.08     | 0.00%             | 2033-11-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                    | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182000 | PA      | $183675.35    | 0.02%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   16623265 | PA      | $19938642.13  | 1.70%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| SWAP BARCLAYS BANK COC                                     | SWAP BARCLAYS BANK COC                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       3727 | NS      | $3726.59      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BRYPTN7B5 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRYPTN7B5 IRS USD P F  2.56470 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12150000 | OU      | $13988.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDDYL1J7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDDYL1J7 IRS USD P F  2.58900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8260000 | OU      | $12907.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFUKAM1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDFUKAM1 IRS EUR P F  2.05750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1440000 | OU      | $-22730.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDFV2NU8 IRS EUR R F  2.02000 2 CCPINFLATIONZERO / Short: SYDFV2NU8 IRS EUR P V 12MFRCPX 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1440000 | OU      | $47750.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SYDFW7TL0 IRS USD R F  3.80000 2 CCPOIS / Short: SYDFW7TL0 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22150000 | OU      | $7442.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BYDFW6PM4 IRS USD R V 12MSOFR 1 CCPOIS / Short: BYDFW6PM4 IRS USD P F  3.79370 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   22150000 | OU      | $-6927.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDG1F4H0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDG1F4H0 IRS JPY P F  1.02650 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3795163587 | OU      | $-8410.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDG16C73 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDG16C73 IRS JPY P F   .99750 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1550827780 | OU      | $-597.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDG38RU0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDG38RU0 IRS JPY P F  1.01846 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3515881659 | OU      | $-6007.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SYDGCYF69 IRS USD R F  3.90000 2 CCPOIS / Short: SYDGCYF69 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   16998000 | OU      | $11990.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BYDGCY0S7 IRS USD R V 12MSOFR 1 CCPOIS / Short: BYDGCY0S7 IRS USD P F  3.81400 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   16998000 | OU      | $-6590.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDHW9XP8 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDHW9XP8 IRS JPY P F   .68500 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1505547170 | OU      | $34547.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDHW4DJ5 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDHW4DJ5 IRS JPY P F   .68300 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1488149736 | OU      | $34335.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDJKNYN0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDJKNYN0 IRS JPY P F   .69800 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1188378566 | OU      | $28418.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDJUYU17 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDJUYU17 IRS USD P F  2.70700 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25080000 | OU      | $-198899.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDLEQJZ5 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDLEQJZ5 IRS USD P F  2.42900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1727375 | OU      | $-2852.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDLEVRS1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDLEVRS1 IRS USD P F  2.42800 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3506571 | OU      | $-5623.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDN1K0K1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDN1K0K1 IRS USD P F  2.68900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7270000 | OU      | $-82780.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNB5XU5 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNB5XU5 IRS GBP P F  3.32050 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570000 | OU      | $-43063.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNB5YT7 IRS GBP R F  3.19900 2 CCPINFLATIONZERO / Short: SYDNB5YT7 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570000 | OU      | $65255.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNB5X27 IRS GBP R F  3.20400 2 CCPINFLATIONZERO / Short: SYDNB5X27 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5595000 | OU      | $28774.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNB5XC5 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNB5XC5 IRS GBP P F  3.34200 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5595000 | OU      | $-77284.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDND1TL7 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDND1TL7 IRS GBP P F  3.36000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $-82657.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDND1TY9 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDND1TY9 IRS GBP P F  3.34800 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570000 | OU      | $-47682.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDND1UJ0 IRS GBP R F  3.21149 2 CCPINFLATIONZERO / Short: SYDND1UJ0 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570000 | OU      | $69206.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDND1SK0 IRS GBP R F  3.23000 2 CCPINFLATIONZERO / Short: SYDND1SK0 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5600000 | OU      | $32643.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNFFD23 IRS GBP R F  3.28400 2 CCPINFLATIONZERO / Short: SYDNFFD23 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3274200 | OU      | $23754.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNFP272 IRS GBP R F  3.24194 2 CCPINFLATIONZERO / Short: SYDNFP272 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1457478 | OU      | $44719.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNFP3J5 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNFP3J5 IRS GBP P F  3.40400 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1457478 | OU      | $-32384.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNFP2X5 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNFP2X5 IRS GBP P F  3.42200 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3339684 | OU      | $-60201.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNFP3D8 IRS GBP R F  3.30400 2 CCPINFLATIONZERO / Short: SYDNFP3D8 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3339684 | OU      | $25994.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNFFSU5 IRS GBP R F  3.24396 2 CCPINFLATIONZERO / Short: SYDNFFSU5 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1428900 | OU      | $44200.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNFFET3 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNFFET3 IRS GBP P F  3.39400 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1428900 | OU      | $-30813.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNFFDL1 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNFFDL1 IRS GBP P F  3.40900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3274200 | OU      | $-56777.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNH8KR4 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNH8KR4 IRS GBP P F  3.42720 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6542070 | OU      | $-119722.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNH8KA1 IRS GBP R F  3.24090 2 CCPINFLATIONZERO / Short: SYDNH8KA1 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2855037 | OU      | $87234.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNH8KB9 IRS GBP R F  3.31650 2 CCPINFLATIONZERO / Short: SYDNH8KB9 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6542070 | OU      | $53080.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNH8KS2 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNH8KS2 IRS GBP P F  3.40650 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2855037 | OU      | $-63905.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNNW252 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNNW252 IRS GBP P F  3.45700 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400296 | OU      | $-35982.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNNW161 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNNW161 IRS GBP P F  3.49150 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3208657 | OU      | $-69609.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNNVYH3 IRS GBP R F  3.27290 2 CCPINFLATIONZERO / Short: SYDNNVYH3 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400296 | OU      | $48325.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNNW005 IRS GBP R F  3.42890 2 CCPINFLATIONZERO / Short: SYDNNW005 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3208657 | OU      | $35568.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNY1AY6 IRS GBP R F  3.20285 2 CCPINFLATIONZERO / Short: SYDNY1AY6 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2384289 | OU      | $66386.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNY1XC9 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNY1XC9 IRS GBP P F  3.34790 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2384289 | OU      | $-50234.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNY17E4 IRS GBP R F  3.25530 2 CCPINFLATIONZERO / Short: SYDNY17E4 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5463389 | OU      | $50772.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNY18J2 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNY18J2 IRS GBP P F  3.36870 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5463389 | OU      | $-93456.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDQBVJ60 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDQBVJ60 IRS USD P F  2.75050 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2394000 | OU      | $-29130.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDR4V850 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDR4V850 IRS USD P F  2.63150 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7100000 | OU      | $-70175.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDRGZC95 IRS JPY R F  1.00700 2 CCPOIS / Short: SYDRGZC95 IRS JPY P V 12MTONAR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  873615000 | OU      | $-13482.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDSGCVE2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDSGCVE2 IRS USD P F  2.83420 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   22500000 | OU      | $-169000.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDT9XT88 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDT9XT88 IRS USD P F  2.74870 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25100000 | OU      | $-153727.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDTLSXR8 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDTLSXR8 IRS GBP P F  3.15300 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5175000 | OU      | $-60113.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDTLSXU1 IRS GBP R F  3.08600 2 CCPINFLATIONZERO / Short: SYDTLSXU1 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5175000 | OU      | $80052.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDU61675 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDU61675 IRS EUR P F  1.96300 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2670000 | OU      | $-13428.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDU616A8 IRS EUR R F  1.86600 2 CCPINFLATIONZERO / Short: SYDU616A8 IRS EUR P V 12MFRCPX 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2670000 | OU      | $25603.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDUA53G4 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDUA53G4 IRS EUR P F  1.84500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5280000 | OU      | $-17601.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDUADX74 IRS EUR R F  1.58300 2 CCPINFLATIONZERO / Short: SYDUADX74 IRS EUR P V 12MFRCPX 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5280000 | OU      | $43016.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDUK4KH5 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDUK4KH5 IRS GBP P F  3.17750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5177000 | OU      | $-35060.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDUK4RU9 IRS GBP R F  3.07704 2 CCPINFLATIONZERO / Short: SYDUK4RU9 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5177000 | OU      | $47944.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDUWYRL0 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDUWYRL0 IRS GBP P F  3.17300 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5425000 | OU      | $-35177.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDUWYRP1 IRS GBP R F  3.07800 2 CCPINFLATIONZERO / Short: SYDUWYRP1 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5425000 | OU      | $50864.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDUZ2JH5 IRS USD R V 12MFEDL 1 CCPOIS / Short: BYDUZ2JH5 IRS USD P F  3.78900 2 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  176686000 | OU      | $-19751.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDUZ09X5 IRS USD R F  3.81750 2 CCPOIS / Short: SYDUZ09X5 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  176686000 | OU      | $23649.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDV8ZTE6 IRS USD R V 12MFEDL 1 CCPOIS / Short: BYDV8ZTE6 IRS USD P F  3.67950 2 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  176230000 | OU      | $-4767.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDV97UG0 IRS USD R V 12MFEDL 1 CCPOIS / Short: BYDV97UG0 IRS USD P F  3.68200 2 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   85816000 | OU      | $-2487.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDVLSRS8 IRS GBP R V 12MSONIA 1 CCPOIS / Short: BYDVLSRS8 IRS GBP P F  3.95300 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2715000 | OU      | $11552.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SYDVWEB62 IRS USD R F  3.23000 2 CCPOIS / Short: SYDVWEB62 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12900000 | OU      | $5669.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDW2P9K0 IRS USD R F  3.59000 2 CCPOIS / Short: SYDW2P9K0 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   89172000 | OU      | $-631.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDW8YFJ1 IRS USD R F  3.59200 2 CCPOIS / Short: SYDW8YFJ1 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  187045000 | OU      | $-819.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDWJJ8J0 IRS USD R F  3.61750 2 CCPOIS / Short: SYDWJJ8J0 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   93505000 | OU      | $2810.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   12710424 | PA      | $16751059.10  | 1.43%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3600000 | PA      | $3214755.91   | 0.27%             | 2035-08-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                       | Deutsche Bundesrepublik Inflation Linked Bond                                                                      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   13919310 | PA      | $16164622.19  | 1.38%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   12805415 | PA      | $15108938.86  | 1.29%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9343847 | PA      | $10732358.24  | 0.91%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   10355600 | PA      | $12279284.68  | 1.05%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  708773322 | PA      | $4594816.27   | 0.39%             | 2027-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   11292745 | PA      | $13282248.46  | 1.13%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    4343000 | PA      | $3703536.21   | 0.32%             | 2027-11-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DENMARK I/L GOVT BOND                                      | Denmark I/L Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |   11746825 | PA      | $1768220.04   | 0.15%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  795325212 | PA      | $5161241.23   | 0.44%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   14762060 | PA      | $16927016.01  | 1.44%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1091378382 | PA      | $7075119.55   | 0.60%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    9855000 | PA      | $1281888.11   | 0.11%             | 2030-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    8053487 | PA      | $8958506.85   | 0.76%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                       | Deutsche Bundesrepublik Inflation Linked Bond                                                                      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    6399009 | PA      | $7084896.60   | 0.60%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  409885272 | PA      | $2687299.85   | 0.23%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3129000 | PA      | $2213447.43   | 0.19%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   11848471 | PA      | $12598031.13  | 1.07%             | 2033-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  458459652 | PA      | $2947758.88   | 0.25%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DENMARK I/L GOVT BOND                                      | Denmark I/L Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |   12764265 | PA      | $1833929.80   | 0.16%             | 2034-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   10605756 | PA      | $12675396.17  | 1.08%             | 2029-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  491881036 | PA      | $3113044.23   | 0.27%             | 2033-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  607738100 | PA      | $3800815.18   | 0.32%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                         | Japan Government Thirty Year Bonds                                                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  468200000 | PA      | $2400122.80   | 0.20%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                         | Japan Government Thirty Year Bonds                                                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  354100000 | PA      | $1856696.58   | 0.16%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  248042250 | PA      | $1543543.22   | 0.13%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     554290 | PA      | $649362.71    | 0.06%             | 2031-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC26                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        337 | NC      | $27135.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC28                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -49 | NC      | $3497.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUND FUTURE MAR26                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         36 | NC      | $10119.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -87 | NC      | $66657.09     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         55 | NC      | $-28461.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -84 | NC      | $6273.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        250 | NC      | $-6235.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        262 | NC      | $18678.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -379 | NC      | $13028.41     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 10Y BOND FUT MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         17 | NC      | $-966.02      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                 | CAN 10YR BOND FUT MAR26                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         47 | NC      | $7954.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 3YR BOND FUT MAR26                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        187 | NC      | $-9171.14     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| U.K. Gilts                                                 | U.K. Gilts                                                                                                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1770000 | PA      | $2049283.07   | 0.17%             | 2055-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15096440 | PA      | $20558260.51  | 1.75%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6383655 | PA      | $8093309.73   | 0.69%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9254540 | PA      | $12207150.45  | 1.04%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   13764799 | PA      | $18539647.00  | 1.58%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3731000 | PA      | $3828618.35   | 0.33%             | 2030-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   12884011 | PA      | $16371168.01  | 1.39%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9678146 | PA      | $12218895.22  | 1.04%             | 2035-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   16515000 | PA      | $2303493.71   | 0.20%             | 2027-12-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     763374 | PA      | $876813.16    | 0.07%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                                        | New Zealand Government Inflation Linked Bond                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    2717000 | PA      | $2263147.14   | 0.19%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   12985122 | PA      | $14624226.63  | 1.25%             | 2033-11-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9543259 | PA      | $10914445.03  | 0.93%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6479702 | PA      | $7069715.61   | 0.60%             | 2034-07-25      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   10483777 | PA      | $13433878.55  | 1.14%             | 2033-11-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   10557228 | PA      | $12282164.84  | 1.05%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    9565011 | PA      | $12270112.77  | 1.05%             | 2031-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    4473475 | PA      | $4820693.52   | 0.41%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                                        | New Zealand Government Inflation Linked Bond                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    3695000 | PA      | $2861408.09   | 0.24%             | 2035-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    7487848 | PA      | $9648832.38   | 0.82%             | 2035-09-22      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   15300000 | PA      | $2118446.01   | 0.18%             | 2032-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   11687369 | PA      | $13727248.90  | 1.17%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   12384093 | PA      | $16467870.16  | 1.40%             | 2028-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | BYDSC85M6 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -54991000 | NC      | $-149063.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | BYDTGCWR0 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -9336000 | NC      | $-65391.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDUZ0R49 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -9218667 | NC      | $-1839.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDVT1FA1 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -10680000 | NC      | $-50046.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDVT2676 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -25360000 | NC      | $-16349.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDVT2668 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   25360000 | NC      | $26474.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDVT2650 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -25360000 | NC      | $-8326.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | BYDW90274 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2628200 | NC      | $-6234.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | BYDW90266 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2628200 | NC      | $-5888.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDW92K47 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -31175000 | NC      | $-83447.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDW8Z8N7 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1976800 | NC      | $-11789.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDW8Z8M9 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1976800 | NC      | $-14676.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                                                             | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2256000 | PA      | $732059.84    | 0.06%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                                                             | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2804000 | PA      | $897299.45    | 0.08%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-20

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP