# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-26-046953
**Filing Date:** 2026-5
**Character Count:** 224804
**Document Hash:** ebe1fb3898e553e379fc0e4a3755c56c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-046953.hdr.sgml**: 20260518

**ACCESSION NUMBER**: 0001410368-26-046953

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260518

**DATE AS OF CHANGE**: 20260518

**PERIOD START**: 20261231

**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:** 26992516

**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  |  |

## Nport-Ex

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments**

March 31, 2026 (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.94%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.94%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–0.94%** |
| •Federal Home Loan Mortgage Corp. REMICS  | •Federal Home Loan Mortgage Corp. REMICS  | •Federal Home Loan Mortgage Corp. REMICS  |
| &nbsp;&nbsp;&nbsp; Series 5468 Class WF 4.76% <br> (30 day USD SOFR Average <br> + 1.10%) 11/25/54<br>| 396566 | $397519 |
| &nbsp;&nbsp;&nbsp; Series 5478 Class FD 5.06% <br> (30 day USD SOFR Average <br> + 1.40%) 2/25/54<br>| 251489 | 253375 |
| &nbsp;&nbsp;&nbsp; Series 5479 Class FB 5.06% <br> (30 day USD SOFR Average <br> + 1.40%) 12/25/54<br>| 140986 | 142036 |
| &nbsp;&nbsp;&nbsp; Series 5482 Class FB 5.16% <br> (30 day USD SOFR Average <br> + 1.50%) 12/25/54<br>| 469734 | 475153 |
| &nbsp;&nbsp;&nbsp; Series 5500 Class DF 5.01% <br> (30 day USD SOFR Average <br> + 1.35%) 10/25/54<br>| 327125 | 328703 |
| &nbsp;&nbsp;&nbsp; Series 5508 Class FE 5.26% <br> (30 day USD SOFR Average <br> + 1.60%) 2/25/55<br>| 361194 | 365249 |
| &nbsp;&nbsp;&nbsp; Series 5513 Class FD 5.01% <br> (30 day USD SOFR Average <br> + 1.35%) 1/25/55<br>| 3421062 | 3446130 |
| &nbsp;&nbsp;&nbsp; Series 5515 Class FB 5.06% <br> (30 day USD SOFR Average <br> + 1.40%) 3/25/55<br>| 187366 | 189060 |
| &nbsp;&nbsp;&nbsp; Series 5516 Class FC 5.06% <br> (30 day USD SOFR Average <br> + 1.40%) 3/25/55<br>| 1312240 | 1323104 |
| &nbsp;&nbsp;&nbsp; Series 5539 Class FC 5.16% <br> (30 day USD SOFR Average <br> + 1.50%) 5/25/55<br>| 243285 | 246086 |
| &nbsp;&nbsp;&nbsp; Series 5543 Class FC 5.16% <br> (30 day USD SOFR Average <br> + 1.50%) 6/25/55<br>| 185606 | 187730 |
| &nbsp;&nbsp;&nbsp; Series 5543 Class FG 5.16% <br> (30 day USD SOFR Average <br> + 1.50%) 6/25/55<br>| 188505 | 190676 |
| &nbsp;&nbsp;&nbsp; Series 5543 Class FM 5.16% <br> (30 day USD SOFR Average <br> + 1.50%) 6/25/55<br>| 249245 | 252115 |
| &nbsp;&nbsp;&nbsp; Series 5563 Class FA 5.01% <br> (30 day USD SOFR Average <br> + 1.35%) 8/25/55<br>| 440248 | 443497 |
| &nbsp;&nbsp;&nbsp; Series 5570 Class FA 5.06% <br> (30 day USD SOFR Average <br> + 1.40%) 5/25/55<br>| 270018 | 272475 |
| •Federal National Mortgage Association REMICS  | •Federal National Mortgage Association REMICS  | •Federal National Mortgage Association REMICS  |
| &nbsp;&nbsp;&nbsp; Series 2024-88 Class FC <br> 5.06% (30 day USD SOFR <br> Average + 1.40%) 12/25/54<br>| 306800 | 309100 |
| &nbsp;&nbsp;&nbsp; Series 2024-95 Class FC <br> 5.06% (30 day USD SOFR <br> Average + 1.40%) 12/25/54<br>| 73884 | 74538 |
| &nbsp;&nbsp;&nbsp; Series 2025-13 Class FB <br> 4.96% (30 day USD SOFR <br> Average + 1.30%) 3/25/55<br>| 369400 | 371651 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •Federal National Mortgage Association REMICS (continued)  | •Federal National Mortgage Association REMICS (continued)  | •Federal National Mortgage Association REMICS (continued)  |
| &nbsp;&nbsp;&nbsp; Series 2025-18 Class FH <br> 5.06% (30 day USD SOFR <br> Average + 1.40%) 8/25/54<br>| 127232 | $128361 |
| &nbsp;&nbsp;&nbsp; Series 2025-2 Class FG 5.11% <br> (30 day USD SOFR Average <br> + 1.45%) 2/25/55<br>| 470759 | 475334 |
| &nbsp;&nbsp;&nbsp; Series 2025-35 Class FJ <br> 5.26% (30 day USD SOFR <br> Average + 1.60%) 5/25/55<br>| 293478 | 296684 |
| &nbsp;&nbsp;&nbsp; Series 2025-42 Class FA <br> 5.16% (30 day USD SOFR <br> Average + 1.50%) 6/25/55<br>| 175750 | 177762 |
| &nbsp;&nbsp;&nbsp; Series 2025-42 Class FE <br> 5.21% (30 day USD SOFR <br> Average + 1.55%) 6/25/55<br>| 326526 | 330823 |
| **Total Agency Collateralized** <br> **Mortgage Obligations** <br>**(Cost $10,631,754)**<br>|  | **10677161** |
| **AGENCY MORTGAGE-BACKED SECURITIES–1.97%** | **AGENCY MORTGAGE-BACKED SECURITIES–1.97%** | **AGENCY MORTGAGE-BACKED SECURITIES–1.97%** |
| Uniform Mortgage-Backed Security, TBA | Uniform Mortgage-Backed Security, TBA | Uniform Mortgage-Backed Security, TBA |
| &nbsp;&nbsp; 3.50% 4/1/56 | 4756000 | 4359559 |
| &nbsp;&nbsp; 3.50% 5/1/56 | 2300000 | 2105945 |
| &nbsp;&nbsp; 5.00% 4/1/56 | 12331000 | 12159928 |
| &nbsp;&nbsp; 5.50% 4/1/56 | 3739236 | 3756459 |
| **Total Agency** <br> **Mortgage-Backed** <br> **Securities** <br>**(Cost $22,523,947)**<br>|  | **22381891** |
| **NON-AGENCY ASSET-BACKED SECURITIES–2.60%** | **NON-AGENCY ASSET-BACKED SECURITIES–2.60%** | **NON-AGENCY ASSET-BACKED SECURITIES–2.60%** |
| AMSR Trust | AMSR Trust | AMSR Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E1 <br> 4.39% 3/17/39<br>| 2500000 | 2474433 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class D <br> 4.00% 10/17/39<br>| 2180000 | 2128597 |
| &nbsp;&nbsp; Enterprise Fleet <br> Financing LLC Series 2025-4 <br> Class A4 4.28% 6/20/32<br>| 508000 | 504649 |
| FirstKey Homes Trust | FirstKey Homes Trust | FirstKey Homes Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E1 <br> 5.00% 5/19/39<br>| 2500000 | 2487234 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E2 <br> 5.00% 5/19/39<br>| 2500000 | 2484036 |
| &nbsp;&nbsp; Foundation Finance Trust <br> Series 2025-3A Class A 4.56% <br> 8/15/52<br>| 571046 | 566552 |
| Progress Residential Trust | Progress Residential Trust | Progress Residential Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR8 Class E1 <br> 2.38% 10/17/38<br>| 2500000 | 2462134 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class E2 <br> 5.60% 4/17/39<br>| 968000 | 965408 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR4 Class D <br> 5.59% 5/17/41<br>| 2500000 | 2499047 |

---

*LVIP BlackRock Inflation Protected Bond Fund–1*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| Progress Residential Trust (continued) | Progress Residential Trust (continued) | Progress Residential Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR5 Class D <br> 5.73% 6/17/39<br>| 2500000 | $2503599 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR6 Class D <br> 6.04% 7/20/39<br>| 2150000 | 2150069 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR7 Class D <br> 5.50% 10/27/39<br>| 1615000 | 1613009 |
| &nbsp;&nbsp;&nbsp; Series 2026-SFR1 Class D <br> 4.00% 2/17/43<br>| 1075000 | 1003988 |
| QTS Issuer ABS II LLC | QTS Issuer ABS II LLC | QTS Issuer ABS II LLC |
| &nbsp;&nbsp;&nbsp; Series 2026-1A Class A2 <br> 5.36% 1/5/56<br>| 499000 | 487679 |
| &nbsp;&nbsp;&nbsp; Series 2026-3A Class A2 <br> 6.16% 1/5/56<br>| 590000 | 579464 |
| Tricon Residential Trust | Tricon Residential Trust | Tricon Residential Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E1 <br> 5.34% 4/17/39<br>| 1500000 | 1493663 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E2 <br> 5.74% 4/17/39<br>| 600000 | 599522 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class D <br> 6.23% 7/17/40<br>| 2500000 | 2532202 |
| **Total Non-Agency** <br> **Asset-Backed Securities** <br>**(Cost $28,960,854)**<br>|  | **29535285** |
| **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–1.96%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–1.96%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–1.96%** |
| &nbsp;&nbsp; ABN AMRO Mortgage Corp. <br> Series 2003-4 Class A4 5.50% <br> 3/25/33<br>| 2600 | 2561 |
| &nbsp;&nbsp; φAngel Oak Mortgage Trust <br> Series 2025-2 Class A1 5.64% <br> 2/25/70<br>| 1033183 | 1037818 |
| &nbsp;&nbsp; •Barclays Mortgage Loan Trust <br> Series 2025-NQM3 Class A1 <br> 5.64% 5/25/65<br>| 1190863 | 1197176 |
| &nbsp;&nbsp; φBRAVO Residential Funding <br> Trust Series 2023-NQM3 <br> Class A1 4.85% 9/25/62<br>| 1092825 | 1087506 |
| &nbsp;&nbsp; ♦CHL Mortgage Pass-Through <br> Trust Series 2004-5 Class <br> 2A4 5.50% 5/25/34<br>| 19162 | 18676 |
| &nbsp;&nbsp; •COLT Mortgage Loan Trust <br> Series 2025-12 Class A1 <br> 4.98% 1/26/71<br>| 715398 | 711270 |
| &nbsp;&nbsp; •COMM Mortgage Trust Series <br> 2024-WCL1 Class A 5.51% (1 <br> mo. USD Term SOFR + <br> 1.84%) 6/15/41<br>| 540000 | 538144 |
| •Cross Mortgage Trust | •Cross Mortgage Trust | •Cross Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-H1 Class A1 <br> 5.74% 2/25/70<br>| 1041108 | 1046976 |
| &nbsp;&nbsp;&nbsp; Series 2025-H10 Class A1 <br> 4.97% 1/25/71<br>| 555940 | 552487 |
| &nbsp;&nbsp; •CSMC Trust Series <br> 2022-NQM5 Class A1 5.17% <br> 5/25/67<br>| 2179211 | 2173278 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; φDeephaven Residential <br> Mortgage Trust Series <br> 2024-1 Class A1 5.74% <br> 7/25/69<br>| 448933 | $450824 |
| &nbsp;&nbsp; φEFMT Series 2025-NQM6 <br> Class A1A 5.00% 12/25/70<br>| 538118 | 535471 |
| &nbsp;&nbsp; •Ellington Financial Mortgage <br> Trust Series 2021-3 Class A1 <br> 1.24% 9/25/66<br>| 1410240 | 1179752 |
| φHOMES Trust | φHOMES Trust | φHOMES Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-AFC1 Class A1 <br> 5.73% 1/25/60<br>| 611260 | 614655 |
| &nbsp;&nbsp;&nbsp; Series 2025-AFC2 Class A1A <br> 5.47% 6/25/60<br>| 1142162 | 1145853 |
| &nbsp;&nbsp; •JP Morgan Mortgage Trust <br> Series 2023-DSC1 Class A1 <br> 4.63% 7/25/63<br>| 606248 | 588023 |
| &nbsp;&nbsp; •JW Commercial Mortgage <br> Trust Series 2024-MRCO <br> Class A 5.29% (1 mo. USD <br> Term SOFR + 1.62%) <br> 6/15/39<br>| 510000 | 510000 |
| &nbsp;&nbsp; •Morgan Stanley Residential <br> Mortgage Loan Trust Series <br> 2025-NQM1 Class A1 5.74% <br> 11/25/69<br>| 634345 | 637951 |
| &nbsp;&nbsp; •New Residential Mortgage <br> Loan Trust Series <br> 2025-NQM7 Class A1 5.01% <br> 10/26/65<br>| 1190840 | 1184498 |
| &nbsp;&nbsp; •PRKCM Trust Series <br> 2022-AFC2 Class A1 5.34% <br> 8/25/57<br>| 312161 | 311390 |
| PRPM Trust | PRPM Trust | PRPM Trust |
| &nbsp;&nbsp;&nbsp; φSeries 2025-NQM1 Class A1 <br> 5.80% 11/25/69<br>| 893059 | 898643 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-NQM2 Class A1 <br> 5.69% 4/25/70<br>| 716258 | 719998 |
| &nbsp;&nbsp;&nbsp; •Series 2025-NQM3 Class A1 <br> 5.61% 5/25/70<br>| 966505 | 971074 |
| •SG Residential Mortgage Trust | •SG Residential Mortgage Trust | •SG Residential Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A1 1.16% <br> 7/25/61<br>| 1734293 | 1439910 |
| &nbsp;&nbsp;&nbsp; Series 2025-1 Class A1 5.10% <br> 12/25/65<br>| 978335 | 974797 |
| Verus Securitization Trust | Verus Securitization Trust | Verus Securitization Trust |
| &nbsp;&nbsp;&nbsp; φSeries 2025-12 Class A1LC <br> 5.11% 12/25/70<br>| 781163 | 774286 |
| &nbsp;&nbsp;&nbsp; •Series 2026-1 Class A1 4.86% <br> 1/25/71<br>| 718997 | 713823 |
| &nbsp;&nbsp; ♦WaMu Mortgage Pass-Through <br> Certificates Trust Series <br> 2003-S11 Class 3A5 5.95% <br> 11/25/33<br>| 27582 | 27304 |

---

*LVIP BlackRock Inflation Protected Bond Fund–2*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Wells Fargo Commercial <br> Mortgage Trust Series <br> 2024-1CHI Class A 4.95% <br> 7/15/35<br>| 182000 | $182779 |
| **Total Non-Agency** <br> **Collateralized Mortgage** <br> **Obligations** <br>**(Cost $22,023,540)**<br>|  | **22226923** |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.52%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.52%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.52%** |
| &nbsp;&nbsp; •AREIT Ltd. Series 2024-CRE9 <br> Class A 5.36% (1 mo. USD <br> Term SOFR + 1.69%) <br> 5/17/41<br>| 281213 | 281234 |
| •ARES Commercial Mortgage Trust | •ARES Commercial Mortgage Trust | •ARES Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-IND Class A <br> 5.36% (1 mo. USD Term <br> SOFR + 1.69%) 7/15/41<br>| 1150000 | 1150360 |
| &nbsp;&nbsp;&nbsp; Series 2026-AZURE Class A <br> 5.00% (1 mo. USD Term <br> SOFR + 1.35%) 3/15/38<br>| 970000 | 970000 |
| &nbsp;&nbsp;&nbsp; Series 2026-GCP Class A <br> 4.92% (1 mo. USD Term <br> SOFR + 1.25%) 2/15/43<br>| 425000 | 423804 |
| &nbsp;&nbsp; •BAHA Trust Series 2024-MAR <br> Class A 5.57% 12/10/41<br>| 1150000 | 1171417 |
| &nbsp;&nbsp; •BAMLL Trust Series <br> 2024-BHP Class A 6.02% (1 <br> mo. USD Term SOFR + <br> 2.35%) 8/15/39<br>| 770000 | 772994 |
| &nbsp;&nbsp; •BFLD Commercial Mortgage <br> Trust Series 2025-660F <br> Class A 5.17% (1 mo. USD <br> Term SOFR + 1.50%) <br> 11/15/42<br>| 876000 | 874084 |
| &nbsp;&nbsp; •BFLD Trust Series <br> 2025-EWEST Class A 5.22% <br> (1 mo. USD Term SOFR + <br> 1.55%) 6/15/42<br>| 954000 | 953105 |
| •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-AIRC Class A <br> 5.36% (1 mo. USD Term <br> SOFR + 1.69%) 8/15/41<br>| 424953 | 425351 |
| &nbsp;&nbsp;&nbsp; Series 2024-KING Class A <br> 5.21% (1 mo. USD Term <br> SOFR + 1.54%) 5/15/34<br>| 1204147 | 1204147 |
| &nbsp;&nbsp;&nbsp; Series 2024-MDHS Class A <br> 5.31% (1 mo. USD Term <br> SOFR + 1.64%) 5/15/41<br>| 894477 | 894477 |
| &nbsp;&nbsp;&nbsp; Series 2024-XL4 Class D <br> 6.81% (1 mo. USD Term <br> SOFR + 3.14%) 2/15/39<br>| 443547 | 444655 |
| &nbsp;&nbsp;&nbsp; Series 2025-JDI Class A <br> 5.07% (1 mo. USD Term <br> SOFR + 1.40%) 11/15/42<br>| 1280452 | 1280451 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| •BX Trust | •BX Trust | •BX Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-VLT4 Class A <br> 5.16% (1 mo. USD Term <br> SOFR + 1.49%) 6/15/41<br>| 668000 | $663825 |
| &nbsp;&nbsp;&nbsp; Series 2025-ARIA Class A <br> 5.03% 12/13/42<br>| 1250000 | 1253535 |
| &nbsp;&nbsp;&nbsp; Series 2025-VOLT Class A <br> 5.37% (1 mo. USD Term <br> SOFR + 1.70%) 12/15/44<br>| 1086000 | 1082607 |
| &nbsp;&nbsp; •CIP Commercial Mortgage <br> Trust Series 2025-SBAY <br> Class A 5.07% (1 mo. USD <br> Term SOFR + 1.40%) <br> 10/15/37<br>| 1047000 | 1046999 |
| &nbsp;&nbsp; •CONE Trust Series <br> 2024-DFW1 Class A 5.31% (1 <br> mo. USD Term SOFR + <br> 1.64%) 8/15/41<br>| 210000 | 208490 |
| &nbsp;&nbsp; •CRSNT Trust Series <br> 2026-MOON Class A 5.07% (1 <br> mo. USD Term SOFR + <br> 1.40%) 2/15/31<br>| 1230000 | 1224619 |
| &nbsp;&nbsp; •DBC Mortgage Trust Series <br> 2025-DBC Class A 5.02% (1 <br> mo. USD Term SOFR + <br> 1.35%) 11/15/42<br>| 1445000 | 1442287 |
| •DBSG Mortgage Trust | •DBSG Mortgage Trust | •DBSG Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-ALTA Class A <br> 5.95% 6/10/37<br>| 215000 | 216936 |
| &nbsp;&nbsp;&nbsp; Series 2024-SBL Class A <br> 5.56% (1 mo. USD Term <br> SOFR + 1.88%) 8/15/34<br>| 1085000 | 1083642 |
| •ELM Trust | •ELM Trust | •ELM Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM Class A10 <br> 5.41% 6/10/39<br>| 430000 | 430772 |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM Class A15 <br> 5.41% 6/10/39<br>| 430000 | 430772 |
| •FS Trust | •FS Trust | •FS Trust |
| &nbsp;&nbsp;&nbsp; Series 2026-ORL Class A <br> 5.02% (1 mo. USD Term <br> SOFR + 1.35%) 2/15/41<br>| 1145000 | 1142853 |
| &nbsp;&nbsp;&nbsp; Series 2026-ORL Class C <br> 5.52% (1 mo. USD Term <br> SOFR + 1.85%) 2/15/41<br>| 790000 | 788519 |
| &nbsp;&nbsp; •HILT Commercial Mortgage <br> Trust Series 2024-ORL <br> Class A 5.21% (1 mo. USD <br> Term SOFR + 1.54%) <br> 5/15/37<br>| 475000 | 474703 |
| &nbsp;&nbsp; •HONO Mortgage Trust Series <br> 2021-LULU Class A 4.94% (1 <br> mo. USD Term SOFR + <br> 1.26%) 10/15/36<br>| 150000 | 148406 |

---

*LVIP BlackRock Inflation Protected Bond Fund–3*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| &nbsp;&nbsp; •LEX Trust Series 2026-450 <br> Class A 5.02% (1 mo. USD <br> Term SOFR + 1.35%) <br> 3/15/43<br>|  | 683000 | $679967 |
| &nbsp;&nbsp; •LQR Trust Series 2025-CALI <br> Class A 5.27% (1 mo. USD <br> Term SOFR + 1.60%) <br> 1/15/43<br>|  | 451000 | 450793 |
| &nbsp;&nbsp; •MLTI Trust Series 2026-SF75 <br> Class A 5.07% (1 mo. USD <br> Term SOFR + 1.40%) <br> 3/15/31<br>|  | 675000 | 671624 |
| &nbsp;&nbsp; •NYC Commercial Mortgage <br> Trust Series 2026-1PARK <br> Class A 4.93% (1 mo. USD <br> Term SOFR + 1.25%) <br> 2/15/43<br>|  | 750000 | 746953 |
| &nbsp;&nbsp; •NYCT Trust Series 2024-3ELV <br> Class A 5.66% (1 mo. USD <br> Term SOFR + 1.99%) <br> 8/15/29<br>|  | 183498 | 183498 |
| &nbsp;&nbsp; •One New York Plaza Trust <br> Series 2020-1NYP Class AJ <br> 5.04% (1 mo. USD Term <br> SOFR + 1.36%) 1/15/36<br>|  | 89000 | 86354 |
| &nbsp;&nbsp; •PENN Commercial Mortgage <br> Trust Series 2025-P11 <br> Class A 5.34% 8/10/42<br>|  | 680000 | 688835 |
| &nbsp;&nbsp; •PFP Ltd. Series 2026-13 <br> Class A 5.18% (1 mo. USD <br> Term SOFR + 1.50%) <br> 8/18/43<br>|  | 1315000 | 1316082 |
| &nbsp;&nbsp; •SHRN Trust Series 2025-MF18 <br> Class A 4.87% (1 mo. USD <br> Term SOFR + 1.20%) <br> 10/15/40<br>|  | 289000 | 288278 |
| &nbsp;&nbsp; •UNIV Trust Series 2025-APTS <br> Class A 5.32% (1 mo. USD <br> Term SOFR + 1.65%) <br> 11/15/42<br>|  | 1100000 | 1097939 |
| **Total Non-Agency** <br> **Commercial** <br> **Mortgage-Backed** <br> **Securities** <br>**(Cost $28,687,817)**<br>|  |  | **28695367** |
| **ΔSOVEREIGN BONDS–41.32%** | **ΔSOVEREIGN BONDS–41.32%** | **ΔSOVEREIGN BONDS–41.32%** | **ΔSOVEREIGN BONDS–41.32%** |
| **Australia–1.82%** | **Australia–1.82%** | **Australia–1.82%** | **Australia–1.82%** |
| Australia Government Bonds | Australia Government Bonds | Australia Government Bonds | Australia Government Bonds |
| &nbsp;&nbsp; 0.25% 11/21/32 | AUD | 10024000 | 7381027 |
| &nbsp;&nbsp; 0.75% 11/21/27 | AUD | 4343000 | 3872227 |
| &nbsp;&nbsp; 2.00% 8/21/35 | AUD | 5895000 | 5422060 |
| &nbsp;&nbsp; 2.50% 9/20/30 | AUD | 3731000 | 3986722 |
|  |  |  | **20662036** |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **Canada–0.37%** | **Canada–0.37%** | **Canada–0.37%** | **Canada–0.37%** |
| &nbsp;&nbsp; Canada Government Real <br> Return Bonds 4.00% 12/1/31<br>| CAD | 5001512 | $4196007 |
|  |  |  | **4196007** |
| **Denmark–0.31%** | **Denmark–0.31%** | **Denmark–0.31%** | **Denmark–0.31%** |
| Denmark I/L Government Bonds | Denmark I/L Government Bonds | Denmark I/L Government Bonds | Denmark I/L Government Bonds |
| &nbsp;&nbsp; 0.10% 11/15/30 | DKK | 11596353 | 1763972 |
| &nbsp;&nbsp; 0.10% 11/15/34 | DKK | 12600688 | 1800605 |
|  |  |  | **3564577** |
| **France–9.83%** | **France–9.83%** | **France–9.83%** | **France–9.83%** |
| French Republic Government Bonds O.A.T. | French Republic Government Bonds O.A.T. | French Republic Government Bonds O.A.T. | French Republic Government Bonds O.A.T. |
| &nbsp;&nbsp; 0.10% 3/1/28 | EUR | 9299638 | 10639403 |
| &nbsp;&nbsp; 0.10% 3/1/28 | EUR | 759763 | 869219 |
| &nbsp;&nbsp; 0.10% 3/1/29 | EUR | 14011128 | 16152335 |
| &nbsp;&nbsp; 0.10% 7/25/31 | EUR | 7801040 | 8739034 |
| &nbsp;&nbsp; 0.10% 3/1/32 | EUR | 5157249 | 5531832 |
| &nbsp;&nbsp; 0.10% 3/1/36 | EUR | 6864436 | 6748088 |
| &nbsp;&nbsp; 0.60% 7/25/34 | EUR | 6433766 | 7078567 |
| &nbsp;&nbsp; 0.70% 7/25/30 | EUR | 10482363 | 12258284 |
| &nbsp;&nbsp; 1.85% 7/25/27 | EUR | 16505321 | 19866045 |
| &nbsp;&nbsp; 3.15% 7/25/32 | EUR | 9188934 | 12122293 |
| &nbsp;&nbsp; 3.15% 7/25/32 | EUR | 1952905 | 2576326 |
| &nbsp;&nbsp; 3.40% 7/25/29 | EUR | 881590 | 1104469 |
| &nbsp;&nbsp; 3.40% 7/25/29 | EUR | 6353423 | 7959661 |
|  |  |  | **111645556** |
| **Germany–2.02%** | **Germany–2.02%** | **Germany–2.02%** | **Germany–2.02%** |
| Deutsche Bundesrepublik Inflation-Linked Bonds | Deutsche Bundesrepublik Inflation-Linked Bonds | Deutsche Bundesrepublik Inflation-Linked Bonds | Deutsche Bundesrepublik Inflation-Linked Bonds |
| &nbsp;&nbsp; 0.10% 4/15/33 | EUR | 6071521 | 6782920 |
| &nbsp;&nbsp; 0.50% 4/15/30 | EUR | 13820605 | 16152458 |
|  |  |  | **22935378** |
| **Italy–6.55%** | **Italy–6.55%** | **Italy–6.55%** | **Italy–6.55%** |
| Italy Buoni Poliennali Del Tesoro | Italy Buoni Poliennali Del Tesoro | Italy Buoni Poliennali Del Tesoro | Italy Buoni Poliennali Del Tesoro |
| &nbsp;&nbsp; 0.10% 5/15/33 | EUR | 11306724 | 11989691 |
| &nbsp;&nbsp; 0.40% 5/15/30 | EUR | 9475589 | 10843316 |
| &nbsp;&nbsp; 1.10% 8/15/31 | EUR | 2916895 | 3411041 |
| &nbsp;&nbsp; 1.25% 9/15/32 | EUR | 10077709 | 11801730 |
| &nbsp;&nbsp; 1.30% 5/15/28 | EUR | 10282185 | 12217079 |
| &nbsp;&nbsp; 1.50% 5/15/29 | EUR | 10530623 | 12586445 |
| &nbsp;&nbsp; 2.35% 9/15/35 | EUR | 9280787 | 11553194 |
|  |  |  | **74402496** |
| **Japan–2.26%** | **Japan–2.26%** | **Japan–2.26%** | **Japan–2.26%** |
| Japan Government CPI Linked Bonds | Japan Government CPI Linked Bonds | Japan Government CPI Linked Bonds | Japan Government CPI Linked Bonds |
| &nbsp;&nbsp; 0.01% 3/10/31 | JPY | 410588328 | 2599967 |
| &nbsp;&nbsp; 0.01% 3/10/32 | JPY | 459242370 | 2890688 |
| &nbsp;&nbsp; 0.01% 3/10/33 | JPY | 492718627 | 3079817 |
| &nbsp;&nbsp; 0.01% 3/10/34 | JPY | 608772720 | 3704182 |
| &nbsp;&nbsp; 0.10% 3/10/27 | JPY | 43302 | 272 |
| &nbsp;&nbsp; 0.10% 3/10/28 | JPY | 796683988 | 5032648 |
| &nbsp;&nbsp; 0.10% 3/10/29 | JPY | 1093236558 | 6861156 |

---

*LVIP BlackRock Inflation Protected Bond Fund–4*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **Japan (continued)** | **Japan (continued)** | **Japan (continued)** | **Japan (continued)** |
| &nbsp;&nbsp; Japan Government <br> CPI-Linked Bonds 0.01% <br> 3/10/35<br>| JPY | 248465070 | $1497785 |
|  |  |  | **25666515** |
| **Mexico–0.28%** | **Mexico–0.28%** | **Mexico–0.28%** | **Mexico–0.28%** |
| Mexico Bonos 8.00% 4/15/32 | MXN | 60042000 | 3178685 |
|  |  |  | **3178685** |
| **New Zealand–0.38%** | **New Zealand–0.38%** | **New Zealand–0.38%** | **New Zealand–0.38%** |
| New Zealand Government Bonds Inflation-Linked | New Zealand Government Bonds Inflation-Linked | New Zealand Government Bonds Inflation-Linked | New Zealand Government Bonds Inflation-Linked |
| &nbsp;&nbsp; 2.50% 9/20/35 | NZD | 3695000 | 2901886 |
| &nbsp;&nbsp; 3.00% 9/20/30 | NZD | 1752000 | 1467651 |
|  |  |  | **4369537** |
| **Peru–0.13%** | **Peru–0.13%** | **Peru–0.13%** | **Peru–0.13%** |
| Peru Government International Bonds | Peru Government International Bonds | Peru Government International Bonds | Peru Government International Bonds |
| &nbsp;&nbsp; 6.85% 8/12/35 | PEN | 2804000 | 820129 |
| &nbsp;&nbsp; 7.60% 8/12/39 | PEN | 2256000 | 669648 |
|  |  |  | **1489777** |
| **Spain–3.79%** | **Spain–3.79%** | **Spain–3.79%** | **Spain–3.79%** |
| Spain Government Bonds Inflation-Linked | Spain Government Bonds Inflation-Linked | Spain Government Bonds Inflation-Linked | Spain Government Bonds Inflation-Linked |
| &nbsp;&nbsp; 0.65% 11/30/27 | EUR | 11212701 | 13258028 |
| &nbsp;&nbsp; 0.70% 11/30/33 | EUR | 13031207 | 14728483 |
| &nbsp;&nbsp; 1.00% 11/30/30 | EUR | 12714626 | 15060228 |
|  |  |  | **43046739** |
| **Sweden–0.67%** | **Sweden–0.67%** | **Sweden–0.67%** | **Sweden–0.67%** |
| Sweden Bonds Inflation-Linked | Sweden Bonds Inflation-Linked | Sweden Bonds Inflation-Linked | Sweden Bonds Inflation-Linked |
| &nbsp;&nbsp; 0.13% 12/1/27 | SEK | 16515000 | 2247780 |
| &nbsp;&nbsp; 0.13% 6/1/30 | SEK | 9855000 | 1248449 |
| &nbsp;&nbsp; 0.13% 6/1/32 | SEK | 11230000 | 1516562 |
| &nbsp;&nbsp; 3.50% 12/1/28 | SEK | 14075000 | 2577269 |
|  |  |  | **7590060** |
| **United Kingdom–12.91%** | **United Kingdom–12.91%** | **United Kingdom–12.91%** | **United Kingdom–12.91%** |
| U.K. Inflation-Linked Gilts | U.K. Inflation-Linked Gilts | U.K. Inflation-Linked Gilts | U.K. Inflation-Linked Gilts |
| &nbsp;&nbsp; 0.13% 8/10/28 | GBP | 12357098 | 16570141 |
| &nbsp;&nbsp; 0.13% 3/22/29 | GBP | 12682644 | 16834932 |
| &nbsp;&nbsp; 0.13% 8/10/31 | GBP | 10381691 | 13451518 |
| &nbsp;&nbsp; 0.75% 11/22/33 | GBP | 9368931 | 12124365 |
| &nbsp;&nbsp; 0.75% 3/22/34 | GBP | 12269533 | 15702686 |
| &nbsp;&nbsp; 1.13% 9/22/35 | GBP | 7783502 | 10079539 |
| &nbsp;&nbsp; 1.25% 11/22/27 | GBP | 15063428 | 20662147 |
| &nbsp;&nbsp; 1.25% 11/22/32 | GBP | 12808087 | 17394353 |
| &nbsp;&nbsp; 2.00% 1/26/35 | GBP | 4245000 | 13714328 |
| &nbsp;&nbsp; 4.13% 7/22/30 | GBP | 2219000 | 10148717 |
|  |  |  | **146682726** |
| **Total Sovereign Bonds** <br>**(Cost $461,946,236)**<br>|  |  | **469430089** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS–52.70%** | **U.S. TREASURY OBLIGATIONS–52.70%** | **U.S. TREASURY OBLIGATIONS–52.70%** |
| U.S. Treasury Inflation Indexed Bonds | U.S. Treasury Inflation Indexed Bonds | U.S. Treasury Inflation Indexed Bonds |
| &nbsp;&nbsp; 1.75% 1/15/28 | 11487464 | $11650923 |
| &nbsp;&nbsp; 2.50% 1/15/29 | 6307377 | 6542213 |
| &nbsp;&nbsp; 3.38% 4/15/32 | 4633609 | 5111615 |
| &nbsp;&nbsp; 3.63% 4/15/28 | 15830399 | 16642528 |
| &nbsp;&nbsp; 3.88% 4/15/29 | 18647079 | 20112238 |
| U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes |
| &nbsp;&nbsp; 0.13% 4/15/27 | 22272743 | 22146391 |
| &nbsp;&nbsp; 0.13% 1/15/30 | 19670835 | 18824911 |
| &nbsp;&nbsp; 0.13% 7/15/30 | 24875181 | 23676266 |
| &nbsp;&nbsp; 0.13% 1/15/31 | 17817517 | 16750156 |
| &nbsp;&nbsp; 0.13% 7/15/31 | 26578095 | 24830307 |
| &nbsp;&nbsp; 0.13% 1/15/32 | 16855364 | 15510757 |
| &nbsp;&nbsp; 0.25% 7/15/29 | 23783893 | 23129346 |
| &nbsp;&nbsp; 0.38% 7/15/27 | 20919210 | 20909989 |
| &nbsp;&nbsp; 0.50% 1/15/28 | 303241 | 300842 |
| &nbsp;&nbsp; 0.63% 7/15/32 | 25079260 | 23660756 |
| &nbsp;&nbsp; 0.75% 7/15/28 | 21397964 | 21332164 |
| &nbsp;&nbsp; 1.13% 10/15/30 | 26130346 | 25895816 |
| &nbsp;&nbsp; 1.13% 1/15/33 | 25902243 | 24946042 |
| &nbsp;&nbsp; 1.25% 4/15/28 | 21023220 | 21102070 |
| &nbsp;&nbsp; 1.38% 7/15/33 | 23846939 | 23309290 |
| &nbsp;&nbsp; 1.63% 10/15/29 | 22639913 | 22995395 |
| &nbsp;&nbsp; 1.63% 4/15/30 | 27006789 | 27275376 |
| &nbsp;&nbsp; 1.75% 1/15/34 | 21964194 | 21870314 |
| &nbsp;&nbsp; 1.88% 7/15/34 | 26569919 | 26699221 |
| &nbsp;&nbsp; 1.88% 7/15/35 | 32526714 | 32366836 |
| &nbsp;&nbsp; 1.88% 1/15/36 | 23848149 | 23560205 |
| &nbsp;&nbsp; 2.13% 4/15/29 | 21753880 | 22331180 |
| &nbsp;&nbsp; 2.13% 1/15/35 | 31229302 | 31755799 |
| &nbsp;&nbsp; 2.38% 10/15/28 | 8234026 | 8523733 |
| U.S. Treasury Notes | U.S. Treasury Notes | U.S. Treasury Notes |
| &nbsp;&nbsp; 1.88% 2/15/32 | 11725000 | 10397235 |
| &nbsp;&nbsp; 4.50% 11/15/33 | 4420000 | 4511508 |
| **Total U.S. Treasury** <br> **Obligations** <br>**(Cost $597,714,437)**<br>|  | **598671422** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Shares**<br>|  |
| **MONEY MARKET FUND–0.49%** | **MONEY MARKET FUND–0.49%** | **MONEY MARKET FUND–0.49%** |
| &nbsp;&nbsp; State Street Institutional <br> U.S. Government Money <br> Market Fund - Premier Class <br> (seven-day effective yield <br> 3.60%)<br>| 5560516 | 5560516 |
| **Total Money Market Fund** <br>**(Cost $5,560,516)** | **Total Money Market Fund** <br>**(Cost $5,560,516)** | **5560516** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Notional** <br>**Amount**<br>|
| **OPTIONS PURCHASED–0.00%** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

*LVIP BlackRock Inflation Protected Bond Fund–5*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  |  | **Value**<br> **(U.S. $)**<br>|
| **Over-The-Counter–0.00%** | **Over-The-Counter–0.00%** | **Over-The-Counter–0.00%** |
| **Call Swaptions–0.00%** | **Call Swaptions–0.00%** | **Call Swaptions–0.00%** |
| &nbsp;&nbsp; 1 Year Interest Rate Swap, <br> expiration date 6/8/26, <br> notional amount $25,360,000 <br> GS<br>| 25360000 | $6953 |
| **Total Options Purchased** <br>**(Cost $30,739)** | **Total Options Purchased** <br>**(Cost $30,739)** | **6953** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **TOTAL INVESTMENTS–104.50% (Cost $1,178,079,840)** | **$1187185607** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Notional** <br>**Amount**<br>| **Value** <br>**(U.S. $)**<br>|
| **OPTIONS WRITTEN–(0.06)%** | **OPTIONS WRITTEN–(0.06)%** | **OPTIONS WRITTEN–(0.06)%** |
| **Over-The-Counter–(0.06)%** | **Over-The-Counter–(0.06)%** | **Over-The-Counter–(0.06)%** |
| **Call Options–(0.00)%** | **Call Options–(0.00)%** | **Call Options–(0.00)%** |
| USD vs BRL Strike price BRL5.650, expiration date 5/4/26, notional amount BRL(7164200) BRC | (1268000)<br>| $(3032)<br>|
| USD vs MXN Strike price MXN18.050, expiration date 5/4/26, notional amount MXN(23049850) MSC | (1277000)<br>| (17308)<br>|
|  |  | **(20340)**<br>|
| **Put Options–(0.00)%** | **Put Options–(0.00)%** | **Put Options–(0.00)%** |
| USD vs BRL Strike price BRL5.150, expiration date 5/4/26, notional amount BRL(6530200) BRC | (1268000)<br>| (13762)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Call Swaptions–(0.00)%** | **Call Swaptions–(0.00)%** | **Call Swaptions–(0.00)%** |
| 1 Year Interest Rate Swap, expiration date 6/8/26, notional amount $(25360000) GS | (25360000)<br>| (2116)<br>|
| 10 Year Interest Rate Swap, expiration date 12/16/26, notional amount $(1976800) DB | (1976800)<br>| (10463)<br>|
|  |  | **(12579)**<br>|
| **Put Swaptions–(0.06)%** | **Put Swaptions–(0.06)%** | **Put Swaptions–(0.06)%** |
| 1 Year Interest Rate Swap, expiration date 6/8/26, notional amount $(25360000) GS | (25360000)<br>| (74544)<br>|
| 10 Year Interest Rate Swap, expiration date 12/16/26, notional amount $(988400) DB | (988400)<br>| (6878)<br>|
| 2 Year Interest Rate Swap, expiration date 10/21/26, notional amount $(46050000) GS | (46050000)<br>| (175362)<br>|
| 2 Year Interest Rate Swap, expiration date 9/20/27, notional amount $(54991000) CBK | (54991000)<br>| (214372)<br>|
| 2 Year Interest Rate Swap, expiration date 12/8/27, notional amount $(10680000) DB | (10680000)<br>| (62960)<br>|
| 2 Year Interest Rate Swap, expiration date 12/16/27, notional amount $(31175000) DB | (31175000)<br>| (111907)<br>|
|  |  | **(646023)**<br>|
| **Total Options Written** <br>**(Premiums received $(420854))** | **Total Options Written** <br>**(Premiums received $(420854))** | **(692704)**<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(4.44%)** | **(50453959)**<br>|
| **NET ASSETS APPLICABLE TO 119,026,942 SHARES OUTSTANDING –100.00%** | **$1136038944** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

---

| |
|:---|
| °Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; •Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2026. For securities based on a <br> published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps <br> and/or floors or include a multiplier. Certain variable rate securities are not based on a published reference rate and spread but are <br> determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments <br> on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. |
| φStep coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at March 31, 2026. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ♦Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the <br> counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| ΔSecurities have been classified by country of origin. |

---

*LVIP BlackRock Inflation Protected Bond Fund–6*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The following foreign currency exchange contracts, futures contracts, reverse repurchase agreements and swap contracts were outstanding at <br> March 31, 2026:<br>

**Foreign Currency Exchange Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to**<br> **Receive (Deliver)** | **Contracts to**<br> **Receive (Deliver)** | **In Exchange For** | **In Exchange For** | **Settlement Date** | **Unrealized**<br> **Appreciation**<br>| **Unrealized**<br> **Depreciation**<br>|
| BNP | EUR | &nbsp;&nbsp; 1172000 | USD | &nbsp;&nbsp; (1350944)<br>| 4/2/26 | &nbsp;&nbsp; $3839 | &nbsp;&nbsp; $— |
| BNP | GBP | &nbsp;&nbsp; (112025000)<br>| USD | &nbsp;&nbsp; 151673347 | 4/2/26 | &nbsp;&nbsp; 3397710 | &nbsp;&nbsp; — |
| BNP | MXN | &nbsp;&nbsp; 106262000 | USD | &nbsp;&nbsp; (5825238)<br>| 6/17/26 | &nbsp;&nbsp; 63609 | &nbsp;&nbsp; — |
| BOA | AUD | &nbsp;&nbsp; (2417000)<br>| USD | &nbsp;&nbsp; 1715615 | 4/2/26 | &nbsp;&nbsp; 48051 | &nbsp;&nbsp; — |
| BOA | CAD | &nbsp;&nbsp; (5697000)<br>| USD | &nbsp;&nbsp; 4170946 | 4/2/26 | &nbsp;&nbsp; 75258 | &nbsp;&nbsp; — |
| BRC | AUD | &nbsp;&nbsp; (24979000)<br>| USD | &nbsp;&nbsp; 17780537 | 4/2/26 | &nbsp;&nbsp; 546735 | &nbsp;&nbsp; — |
| BRC | EUR | &nbsp;&nbsp; (1012000)<br>| USD | &nbsp;&nbsp; 1175674 | 4/2/26 | &nbsp;&nbsp; 5844 | &nbsp;&nbsp; — |
| BRC | EUR | &nbsp;&nbsp; 1043690 | USD | &nbsp;&nbsp; (1204388)<br>| 5/4/26 | &nbsp;&nbsp; 4010 | &nbsp;&nbsp; — |
| BRC | GBP | &nbsp;&nbsp; 1611000 | USD | &nbsp;&nbsp; (2149842)<br>| 4/2/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (17532)<br>|
| BRC | JPY | &nbsp;&nbsp; (4906511364)<br>| USD | &nbsp;&nbsp; 31515866 | 4/2/26 | &nbsp;&nbsp; 594709 | &nbsp;&nbsp; — |
| BRC | JPY | &nbsp;&nbsp; 4841193000 | USD | &nbsp;&nbsp; (30355162)<br>| 4/2/26 | &nbsp;&nbsp; 154355 | &nbsp;&nbsp; — |
| BRC | JPY | &nbsp;&nbsp; (4841193000)<br>| USD | &nbsp;&nbsp; 30446721 | 5/7/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (163973)<br>|
| BRC | MXN | &nbsp;&nbsp; (152293000)<br>| USD | &nbsp;&nbsp; 8495308 | 6/17/26 | &nbsp;&nbsp; 55506 | &nbsp;&nbsp; — |
| BRC | PEN | &nbsp;&nbsp; (5303775)<br>| USD | &nbsp;&nbsp; 1518000 | 6/17/26 | &nbsp;&nbsp; 197 | &nbsp;&nbsp; — |
| CBA | NZD | &nbsp;&nbsp; (7615000)<br>| USD | &nbsp;&nbsp; 4564732 | 4/2/26 | &nbsp;&nbsp; 188488 | &nbsp;&nbsp; — |
| CBK | EUR | &nbsp;&nbsp; 214901000 | USD | &nbsp;&nbsp; (246830192)<br>| 4/2/26 | &nbsp;&nbsp; 1586319 | &nbsp;&nbsp; — |
| CBK | EUR | &nbsp;&nbsp; (219688000)<br>| USD | &nbsp;&nbsp; 252733323 | 5/4/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (1624269)<br>|
| CBK | GBP | &nbsp;&nbsp; 493000 | USD | &nbsp;&nbsp; (656227)<br>| 4/2/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (3695)<br>|
| DB | BRL | &nbsp;&nbsp; (13993459)<br>| USD | &nbsp;&nbsp; 2642000 | 6/17/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (13224)<br>|
| DB | MXN | &nbsp;&nbsp; (20304671)<br>| USD | &nbsp;&nbsp; 1130000 | 6/17/26 | &nbsp;&nbsp; 4752 | &nbsp;&nbsp; — |
| DB | MXN | &nbsp;&nbsp; (16541592)<br>| USD | &nbsp;&nbsp; 922000 | 6/22/26 | &nbsp;&nbsp; 5669 | &nbsp;&nbsp; — |
| DB | NZD | &nbsp;&nbsp; 7565000 | USD | &nbsp;&nbsp; (4330940)<br>| 4/2/26 | &nbsp;&nbsp; 16569 | &nbsp;&nbsp; — |
| DB | NZD | &nbsp;&nbsp; (7565000)<br>| USD | &nbsp;&nbsp; 4335753 | 5/4/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (16690)<br>|
| GSI | BRL | &nbsp;&nbsp; 15452952 | USD | &nbsp;&nbsp; (2884000)<br>| 6/17/26 | &nbsp;&nbsp; 48159 | &nbsp;&nbsp; — |
| GSI | EUR | &nbsp;&nbsp; (212134000)<br>| USD | &nbsp;&nbsp; 250825544 | 4/2/26 | &nbsp;&nbsp; 5607569 | &nbsp;&nbsp; — |
| GSI | GBP | &nbsp;&nbsp; 111174000 | USD | &nbsp;&nbsp; (147080011)<br>| 4/2/26 | &nbsp;&nbsp; 69247 | &nbsp;&nbsp; — |
| GSI | GBP | &nbsp;&nbsp; (111174000)<br>| USD | &nbsp;&nbsp; 147075431 | 5/5/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (66262)<br>|
| GSI | SEK | &nbsp;&nbsp; (71995000)<br>| USD | &nbsp;&nbsp; 7970976 | 4/2/26 | &nbsp;&nbsp; 365049 | &nbsp;&nbsp; — |
| HSBC | AUD | &nbsp;&nbsp; 223662 | USD | &nbsp;&nbsp; (153129)<br>| 5/4/26 | &nbsp;&nbsp; 1119 | &nbsp;&nbsp; — |
| HSBC | DKK | &nbsp;&nbsp; (23014000)<br>| USD | &nbsp;&nbsp; 3642415 | 4/1/26 | &nbsp;&nbsp; 82537 | &nbsp;&nbsp; — |
| HSBC | EUR | &nbsp;&nbsp; (2051000)<br>| USD | &nbsp;&nbsp; 2426884 | 4/2/26 | &nbsp;&nbsp; 56014 | &nbsp;&nbsp; — |
| HSBC | GBP | &nbsp;&nbsp; 257014 | USD | &nbsp;&nbsp; (338913)<br>| 5/5/26 | &nbsp;&nbsp; 1252 | &nbsp;&nbsp; — |
| HSBC | JPY | &nbsp;&nbsp; 65318000 | USD | &nbsp;&nbsp; (408561)<br>| 4/2/26 | &nbsp;&nbsp; 3077 | &nbsp;&nbsp; — |
| JPM | JPY | &nbsp;&nbsp; 768926489 | USD | &nbsp;&nbsp; (4854338)<br>| 5/7/26 | &nbsp;&nbsp; 7558 | &nbsp;&nbsp; — |
| MSC | AUD | &nbsp;&nbsp; (2654873)<br>| USD | &nbsp;&nbsp; 1888216 | 4/2/26 | &nbsp;&nbsp; 56535 | &nbsp;&nbsp; — |
| MSC | CAD | &nbsp;&nbsp; (213514)<br>| USD | &nbsp;&nbsp; 156756 | 4/2/26 | &nbsp;&nbsp; 3256 | &nbsp;&nbsp; — |
| MSC | DKK | &nbsp;&nbsp; 23014000 | USD | &nbsp;&nbsp; (3545668)<br>| 4/1/26 | &nbsp;&nbsp; 14209 | &nbsp;&nbsp; — |
| MSC | DKK | &nbsp;&nbsp; (23014000)<br>| USD | &nbsp;&nbsp; 3552535 | 5/4/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (14110)<br>|
| MSC | EUR | &nbsp;&nbsp; (789129)<br>| USD | &nbsp;&nbsp; 933053 | 4/2/26 | &nbsp;&nbsp; 20853 | &nbsp;&nbsp; — |
| MSC | GBP | &nbsp;&nbsp; (1310492)<br>| USD | &nbsp;&nbsp; 1762008 | 4/2/26 | &nbsp;&nbsp; 27449 | &nbsp;&nbsp; — |
| NWMP | AUD | &nbsp;&nbsp; 30039000 | USD | &nbsp;&nbsp; (20610359)<br>| 4/2/26 | &nbsp;&nbsp; 114497 | &nbsp;&nbsp; — |
| NWMP | AUD | &nbsp;&nbsp; (30039000)<br>| USD | &nbsp;&nbsp; 20602669 | 5/4/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (113687)<br>|
| RBC | CAD | &nbsp;&nbsp; 5911000 | USD | &nbsp;&nbsp; (4246649)<br>| 4/2/26 | &nbsp;&nbsp; 2888 | &nbsp;&nbsp; — |
| RBC | CAD | &nbsp;&nbsp; (5911000)<br>| USD | &nbsp;&nbsp; 4252545 | 5/4/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (2975)<br>|
| SCB | EUR | &nbsp;&nbsp; (457937)<br>| USD | &nbsp;&nbsp; 537870 | 4/2/26 | &nbsp;&nbsp; 8514 | &nbsp;&nbsp; — |
| SCB | GBP | &nbsp;&nbsp; (441715)<br>| USD | &nbsp;&nbsp; 592092 | 4/2/26 | &nbsp;&nbsp; 7440 | &nbsp;&nbsp; — |
| SCB | SEK | &nbsp;&nbsp; 71995000 | USD | &nbsp;&nbsp; (7582397)<br>| 4/2/26 | &nbsp;&nbsp; 23530 | &nbsp;&nbsp; — |
| SCB | SEK | &nbsp;&nbsp; (71995000)<br>| USD | &nbsp;&nbsp; 7594946 | 5/4/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (24276)<br>|
| TDB | MXN | &nbsp;&nbsp; 68409400 | USD | &nbsp;&nbsp; (3806214)<br>| 6/17/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (15089)<br>|
| UBS | GBP | &nbsp;&nbsp; 456000 | USD | &nbsp;&nbsp; (608008)<br>| 4/2/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (4449)<br>|
| **Total Foreign Currency Exchange Contracts** | **Total Foreign Currency Exchange Contracts** | **Total Foreign Currency Exchange Contracts** | **Total Foreign Currency Exchange Contracts** | **Total Foreign Currency Exchange Contracts** | **Total Foreign Currency Exchange Contracts** | &nbsp;&nbsp; $13272372 | &nbsp;&nbsp; $(2080231)<br>|

---

*LVIP BlackRock Inflation Protected Bond Fund–7*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**Futures Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts to Buy (Sell)** | **Contracts to Buy (Sell)** | **Notional** <br>**Amount**<br>| **Notional** <br>**Cost (Proceeds)**<br>| **Expiration** <br>**Date**<br>| **Value/** <br>**Unrealized** <br>**Appreciation**<sup>1</sup> <br>| **Value/** <br>**Unrealized** <br>**Depreciation**<sup>1</sup> <br>|
| **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** |
| 301 | CBOT 2 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; $62441039 | &nbsp;&nbsp; $62520740 | &nbsp;&nbsp; 6/30/26 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(79701)<br>|
| 226 | CBOT 5 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 24448609 | &nbsp;&nbsp; 24404309 | &nbsp;&nbsp; 6/30/26 | &nbsp;&nbsp; 44300 | &nbsp;&nbsp; — |
| (39) | CBOT U.S. Long Bond Futures | &nbsp;&nbsp; (4441125)<br>| &nbsp;&nbsp; (4558154)<br>| &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; 117029 | &nbsp;&nbsp; — |
| (15) | Eurex 30 Year Euro BUXL Futures | &nbsp;&nbsp; (1911661)<br>| &nbsp;&nbsp; (1911323)<br>| &nbsp;&nbsp; 6/8/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (338)<br>|
| 38 | SFE 10 Year Australian Bond Futures | &nbsp;&nbsp; 2825100 | &nbsp;&nbsp; 2852763 | &nbsp;&nbsp; 6/15/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (27663)<br>|
| 72 | SFE 3 Year Australian Bond Futures | &nbsp;&nbsp; 5149204 | &nbsp;&nbsp; 5175969 | &nbsp;&nbsp; 6/15/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (26765)<br>|
| 53 | Three-Month SOFR Futures | &nbsp;&nbsp; 12768363 | &nbsp;&nbsp; 12827975 | &nbsp;&nbsp; 3/16/27 | &nbsp;&nbsp; — | &nbsp;&nbsp; (59612)<br>|
| 114 | Three-Month SOFR Futures | &nbsp;&nbsp; 27469725 | &nbsp;&nbsp; 27583299 | &nbsp;&nbsp; 6/15/27 | &nbsp;&nbsp; — | &nbsp;&nbsp; (113574)<br>|
| 142 | Three-Month SOFR Futures | &nbsp;&nbsp; 34237975 | &nbsp;&nbsp; 34321756 | &nbsp;&nbsp; 9/14/27 | &nbsp;&nbsp; — | &nbsp;&nbsp; (83781)<br>|
| 48 | Three-Month SOFR Futures | &nbsp;&nbsp; 11591400 | &nbsp;&nbsp; 11618473 | &nbsp;&nbsp; 3/14/28 | &nbsp;&nbsp; — | &nbsp;&nbsp; (27073)<br>|
| (247) | Ultra 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; (28038359)<br>| &nbsp;&nbsp; (28404833)<br>| &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; 366474 | &nbsp;&nbsp; — |
| (15) | Ultra U.S. Treasury Bond Futures | &nbsp;&nbsp; (1748438)<br>| &nbsp;&nbsp; (1745820)<br>| &nbsp;&nbsp; 6/18/26 | &nbsp;&nbsp; — | &nbsp;&nbsp; (2618)<br>|
|  |  |  |  |  | &nbsp;&nbsp; 527803 | &nbsp;&nbsp; (421125)<br>|
| **Sovereign Bond:** | **Sovereign Bond:** | **Sovereign Bond:** | **Sovereign Bond:** | **Sovereign Bond:** | **Sovereign Bond:** | **Sovereign Bond:** |
| 57 | Montreal Exchange 10 Year Canadian Bond Futures | &nbsp;&nbsp; 4917382 | &nbsp;&nbsp; 4907420 | &nbsp;&nbsp; 6/19/26 | &nbsp;&nbsp; 9962 | &nbsp;&nbsp; — |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | &nbsp;&nbsp; $537766 | &nbsp;&nbsp; $(421125)<br>|

---

**Reverse Repurchase Agreements** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Interest** <br>**Rate**<br>| **Trade** <br>**Date**<br>| **Maturity** <br>**Date**<br>| **Principal** <br>**Amount**<br>| **Face Value Including** <br>**Accrued Interest**<br>|
| BNP-collateralized by U.S. Treasury Inflation <br> Indexed Notes 1.125%-1.875% <br> 10/15/30-7/15/35; market value $22,243,400<br>| 3.75<br> %<br>| &nbsp;&nbsp; 3/31/26 | &nbsp;&nbsp; 4/1/26 | &nbsp;&nbsp; $(22180376)<br>| &nbsp;&nbsp; $(22180376)<br>|
| HSBC-collateralized by U.S. Treasury Inflation <br> Indexed Notes 1.875% 1/15/36; market value <br> $13,896,224<br>| 3.75<br> %<br>| &nbsp;&nbsp; 3/31/26 | &nbsp;&nbsp; 4/1/26 | &nbsp;&nbsp; (13835250)<br>| &nbsp;&nbsp; (13835250)<br>|
| **Total Reverse Repurchase Agreements** |  |  |  | &nbsp;&nbsp; $(36015626)<br>| &nbsp;&nbsp; $(36015626)<br>|

---

**Swap Contracts**

**Inflation Swap Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Notional**<br> **Amount**<sup>2</sup> <br>| **Fixed**<br> **Interest**<br> **Rate Paid**<br> **(Received)**<br>| **Termination**<br> **Date**<br>| **Value** | **Unrealized**<br> **Appreciation**<sup>1</sup> <br>| **Unrealized**<br> **Depreciation**<sup>1</sup> <br>|
| **Centrally Cleared:** |  |  |  |  |  |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 12150000 | 2.56% | 10/2/28 | $107831 | $107831 | $— |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 25080000 | 2.71% | 1/15/29 | (12899) |  | (12899) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 1727375 | 2.43% | 4/15/30 | 8753 | 8753 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 3506571 | 2.43% | 4/15/30 | 17936 | 17936 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 5,595,000 | 3.34% | 7/15/29 | 164930 | 164930 |  |

---

*LVIP BlackRock Inflation Protected Bond Fund–8*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**Swap Contracts**

**Inflation Swap Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Notional**<br> **Amount**<sup>2</sup><br>| **Fixed**<br> **Interest**<br> **Rate Paid**<br> **(Received)**<br>| **Termination**<br> **Date**<br>| **Value** | **Unrealized**<br> **Appreciation**<sup>1</sup><br>| **Unrealized**<br> **Depreciation**<sup>1</sup><br>|
| **Centrally Cleared:**<br> **(continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 2,570,000 | 3.32% | 7/15/30 | $80208 | $80208 | $— |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 5,600,000 | 3.36% | 7/15/29 | 159050 | 159050 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 2,570,000 | 3.35% | 7/15/30 | 76858 | 76858 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 3,274,200 | 3.41% | 7/15/29 | 85480 | 85480 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 1,428,900 | 3.39% | 7/15/30 | 38439 | 38439 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 3,339,684 | 3.42% | 7/15/29 | 84968 | 84968 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 1,457,478 | 3.40% | 7/15/30 | 38284 | 38284 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 6,542,070 | 3.43% | 7/15/29 | 164702 | 164702 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 2,855,037 | 3.41% | 7/15/30 | 74542 | 74542 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 3,208,657 | 3.49% | 7/15/29 | 70617 | 70617 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 1,400,296 | 3.46% | 7/15/30 | 32376 | 32376 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 5,463,389 | 3.37% | 8/15/29 | 146011 | 146011 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 2,384,289 | 3.35% | 8/15/30 | 65395 | 65395 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 7100000 | 2.63% | 9/9/30 | (24619) |  | (24619) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 5,595,000 | (3.20%) | 7/15/27 | (148970) |  | (148970) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 2,570,000 | (3.20%) | 7/15/35 | (84780) |  | (84780) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 5,600,000 | (3.23%) | 7/15/27 | (145872) |  | (145872) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 2,570,000 | (3.21%) | 7/15/35 | (80463) |  | (80463) |

---

*LVIP BlackRock Inflation Protected Bond Fund–9*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**Swap Contracts**

**Inflation Swap Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Notional**<br> **Amount**<sup>2</sup><br>| **Fixed**<br> **Interest**<br> **Rate Paid**<br> **(Received)**<br>| **Termination**<br> **Date**<br>| **Value** | **Unrealized**<br> **Appreciation**<sup>1</sup><br>| **Unrealized**<br> **Depreciation**<sup>1</sup><br>|
| **Centrally Cleared:**<br> **(continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 3,274,200 | (3.28%) | 7/15/27 | $(80660) | $— | $(80660) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 1,428,900 | (3.24%) | 7/15/35 | (39931) |  | (39931) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 1,457,478 | (3.24%) | 7/15/35 | (41079) |  | (41079) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 3,339,684 | (3.30%) | 7/15/27 | (80543) |  | (80543) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 2,855,037 | (3.24%) | 7/15/35 | (80817) |  | (80817) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 6,542,070 | (3.32%) | 7/15/27 | (155655) |  | (155655) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 1,400,296 | (3.27%) | 7/15/35 | (35100) |  | (35100) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 3,208,657 | (3.43%) | 7/15/27 | (67014) |  | (67014) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 5,463,389 | (3.26%) | 8/15/27 | (124557) |  | (124557) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 2,384,289 | (3.20%) | 8/15/35 | (73051) |  | (73051) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 22500000 | 2.83% | 10/15/27 | (5849) |  | (5849) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 25100000 | 2.75% | 1/15/28 | 38675 | 38675 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 6,265,000 | 3.08% | 1/15/36 | 289811 | 289811 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 28107000 | 2.38% | 2/24/28 | 239255 | 239255 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 14053500 | 2.36% | 2/26/28 | 123607 | 123607 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 17,830,000 | 4.21% | 3/15/28 | 242991 | 242991 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 4,150,000 | 3.45% | 3/15/36 | 40608 | 40608 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 42160500 | 2.75% | 3/11/27 | 191054 | 191054 |  |

---

*LVIP BlackRock Inflation Protected Bond Fund–10*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**Swap Contracts**

**Inflation Swap Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Notional**<br> **Amount**<sup>2</sup><br>| **Fixed**<br> **Interest**<br> **Rate Paid**<br> **(Received)**<br>| **Termination**<br> **Date**<br>| **Value** | **Unrealized**<br> **Appreciation**<sup>1</sup><br>| **Unrealized**<br> **Depreciation**<sup>1</sup><br>|
| **Centrally Cleared:**<br> **(continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 4520000 | 2.50% | 3/12/30 | $13561 | $13561 | $— |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 3008000 | 2.58% | 3/16/30 | (262) |  | (262) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 3008000 | 2.57% | 3/17/30 | 667 | 667 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 4095000 | 2.46% | 1/15/34 | (12440) |  | (12440) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 5305000 | 2.50% | 1/15/32 | (10359) |  | (10359) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion UK-RPI Index and pay fixed <br> rate coupon at maturity<br>| GBP 4,485,000 | 4.10% | 3/15/28 | 44823 | 44823 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 2307692 | 2.55% | 3/19/31 | (3099) |  | (3099) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 4615384 | 2.64% | 3/23/31 | (19377) |  | (19377) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 2439000 | 2.52% | 3/26/31 | 775 | 775 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 5305000 | 2.42% | 1/15/32 | 11393 | 11393 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 3008000 | 2.61% | 3/30/30 | (3371) |  | (3371) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 3760000 | 2.66% | 3/31/29 | (1182) |  | (1182) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 6,265,000 | (3.13%) | 1/15/56 | (283449) |  | (283449) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> USA-CPI-U Index and receive <br> fixed rate coupon at maturity<br>| 28107000 | (2.41%) | 2/24/27 | (220891) |  | (220891) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> USA-CPI-U Index and receive <br> fixed rate coupon at maturity<br>| 14053500 | (2.42%) | 2/26/27 | (108811) |  | (108811) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 17,830,000 | (3.99%) | 3/15/30 | (243744) |  | (243744) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 4,150,000 | (3.75%) | 3/15/31 | (43434) |  | (43434) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> USA-CPI-U Index and receive <br> fixed rate coupon at maturity<br>| 21080250 | (2.58%) | 3/11/28 | (96804) |  | (96804) |

---

*LVIP BlackRock Inflation Protected Bond Fund–11*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**Swap Contracts**

**Inflation Swap Contracts (continued)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Notional**<br> **Amount**<sup>2</sup><br>| **Fixed**<br> **Interest**<br> **Rate Paid**<br> **(Received)**<br>| **Termination**<br> **Date**<br>| **Value** | **Unrealized**<br> **Appreciation**<sup>1</sup><br>| **Unrealized**<br> **Depreciation**<sup>1</sup><br>|
| **Centrally Cleared:**<br> **(continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> USA-CPI-U Index and receive <br> fixed rate coupon at maturity<br>| 21080250 | (2.58%) | 3/11/28 | $(98811) | $— | $(98811) |
| &nbsp;&nbsp; Pay amounts based on Inflation <br> UK-RPI Index and receive fixed <br> rate coupon at maturity<br>| GBP 4,485,000 | (3.86%) | 3/15/30 | (50586) |  | (50586) |
| **Total Inflation Swap Contracts** | **Total Inflation Swap Contracts** | **Total Inflation Swap Contracts** | **Total Inflation Swap Contracts** | $175121 | $2653600 | $(2478479) |

---

**Swap Contracts**

**Interest Rate Swap (IRS) Contracts** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Notional**<br> **Amount**<sup>2</sup> <br>| **Fixed**<br> **Interest**<br> **Rate**<br>| **Floating**<br> **Rate Index**<br>| **Pay/Receive**<br> **Floating**<br> **Rate**<br>| **Payment**<br> **Frequency (Fixed**<br> **Rate/Floating Rate)**<br>| **Termination**<br> **Date**<br>| **Value** | **Upfront**<br> **Payments**<br> **Paid**<br> **(Received)**<br>| **Unrealized**<br> **Appreciation**<sup>1</sup> <br>| **Unrealized**<br> **Depreciation**<sup>1</sup> <br>|
| **Centrally Cleared** |  |  |  |  |  |  |  |  |  |
| 22150000 | 3.79 | SOFR12M | Receive | At Maturity | 5/16/26 | $49696 | $5 | $49691 | $— |
| 22150000 | 3.80 | SOFR12M | Pay | At Maturity | 5/16/26 | (48276) | 4 |  | (48280) |
| 16998000 | 3.81 | SOFR12M | Receive | At Maturity | 5/16/26 | 34626 | 1311 | 33315 |  |
| 16998000 | 3.90 | SOFR12M | Pay | At Maturity | 5/16/26 | (19756) | 3 |  | (19759) |
| EUR 976,000 | 3.10 | EURIBOR06M | Receive | Annual/Semiannual | 3/24/56 | 424 | 40 | 384 |  |
| 12900000 | 3.23 | SOFR12M | Pay | At Maturity | 12/9/27 | (47929) | 369 |  | (48298) |
| EUR 1,039,000 | 2.98 | EURIBOR06M | Receive | Annual/Semiannual | 3/17/66 | (9265) | 835 |  | (10100) |
| EUR 2,820,000 | 2.98 | EURIBOR06M | Pay | Annual/Semiannual | 3/17/36 | (21970) | (678) |  | (21292) |
| **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** |  | $1889 | $83390 | $(147729) |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of <br> the amounts recognized in the financial statements. The foreign currency exchange contracts and notional amounts presented above represent <br> the Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund's net assets.<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>1</sup> Includes cumulative appreciation (depreciation) of futures and centrally cleared swap contracts from the date the contracts were opened <br> through March 31, 2026. |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>2</sup> Notional amount shown is stated in U.S. dollars unless noted that the swap is denominated in another currency. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Summary of Abbreviations:** |
| AUD–Australian Dollar |
| BAMLL–Bank of America Merrill Lynch Large Loan |
| BNP–BNP Paribas |
| BOA–Bank of America |
| BRC–Barclays Bank |
| BRL–Brazilian Real |
| BUXL–Bundesanleihe |
| CAD–Canadian Dollar |
| CBA–Commonwealth Bank of Australia |
| CBK–Citibank NA |
| CBOT–Chicago Board of Trade |
| CPI–Consumer Price Index |
| DB–Deutsche Bank |
| DKK–Danish Krone |
| EUR–Euro |
| EURIBOR06M–Euro InterBank Offered Rate EUR 6 Month |
| GBP–British Pound Sterling |
| GS–Goldman Sachs |
| GSI–Goldman Sachs International |
| HSBC–Hong Kong and Shanghai Banking Corporation |
| IRS–Interest Rate Swap |

---

*LVIP BlackRock Inflation Protected Bond Fund–12*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| |
|:---|
| **Summary of Abbreviations: (continued)** |
| JPM–JPMorgan Chase Bank NA |
| JPY–Japanese Yen |
| MSC–Morgan Stanley & Co. |
| MXN–Mexican Peso |
| NWMP–Natwest Markets PLC |
| NZD–New Zealand Dollar |
| O.A.T.–Obligations Assimilables du Trésor (French Treasury Bond) |
| PEN–Peruvian Nuevo Sol |
| RBC–Royal Bank of Canada |
| REMIC–Real Estate Mortgage Investment Conduits |
| SCB–Standard Chartered Bank |
| SEK–Swedish Krona |
| SFE–Sydney Futures Exchange |
| SOFR–Secured Overnight Financing Rate |
| SOFR12M–Secured Overnight Financing Rate 12 Months |
| TBA–To be announced |
| TDB–Toronto-Dominion Bank |
| UK-RPI–United Kingdom Retail Price Index |
| USA-CPI-U–United States Consumer Price Index for All Urban Consumers |
| USD–United States Dollar |
| WF–Wells Fargo |

---

*LVIP BlackRock Inflation Protected Bond Fund–13*

------

## 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:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $1225147166.10

**Total Liabilities:** $87792984.13

**Net Assets:** $1137354181.97

**Delayed Delivery Securities:** $10298871.87

**Cash Not Reported:** $987713.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -127.45000000 | **1-Year:** -1559.88000000 | **5-Year:** -3628.00000000 | **10-Year:** -3169.38000000 | **30-Year:** -1596.95000000

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

- **3-Month:** -73.23000000 | **1-Year:** -1101.46000000 | **5-Year:** -484.34000000 | **10-Year:** -1893.97000000 | **30-Year:** -984.10000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087492 | 0.82%                | 0.83%                | -0.64%               |
| Class ID C000087493 | 0.80%                | 0.81%                | -0.67%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-39346.71               | $17579909.00                               |
| Month 2  | $-1281708.43             | $7251176.26                                |
| Month 3  | $-1850098.74             | $-18143965.33                              |

**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        |       2600 | PA      | $2561.29      | 0.00%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR1 Trust                                                                                               | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2474433.00   | 0.22%             | 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        |     281213 | PA      | $281234.02    | 0.02%             | 2041-05-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5956000 | PA      | $5459531.84   | 0.48%             | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -7056000 | PA      | $-6467840.28  | -0.57%            | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1007191.24   | 0.09%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12331000 | PA      | $12159927.60  | 1.07%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3739236 | PA      | $3756458.58   | 0.33%             | 2056-04-01      | 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        |    1033183 | PA      | $1037818.37   | 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      | $1150360.30   | 0.10%             | 2041-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                             | ARES Commercial Mortgage Trust 2026-AZURE                                                                          | CUSIP: 03990QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     970000 | PA      | $969999.71    | 0.09%             | 2038-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                             | ARES Commercial Mortgage Trust 2026-GCP                                                                            | CUSIP: 04021QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425000 | PA      | $423804.01    | 0.04%             | 2043-02-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc               | BAMLL Trust 2024-BHP                                                                                               | CUSIP: 05493WAA0<br>LEI: 549300BOMGFOVRYRQK33 | Long             | ABS-MBS          | CORP              | US        |     770000 | PA      | $772993.68    | 0.07%             | 2039-08-15      | Floating      | 6.02%                 | 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      | $1171416.57   | 0.10%             | 2041-12-10      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Trust 2025-EWEST                                                                                              | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954000 | PA      | $953104.67    | 0.08%             | 2042-06-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Commercial Mortgage Trust 2025-660F                                                                           | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     876000 | PA      | $874083.66    | 0.08%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2025-JDI                                                                              | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1280452 | PA      | $1280451.32   | 0.11%             | 2042-11-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-XL4                                                                              | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443547 | PA      | $444655.37    | 0.04%             | 2039-02-15      | Floating      | 6.81%                 | 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      | $1204146.55   | 0.11%             | 2034-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2024-VLT4                                                                                                 | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     668000 | PA      | $663825.20    | 0.06%             | 2041-06-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2025-VOLT                                                                                                 | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1086000 | PA      | $1082607.12   | 0.10%             | 2044-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2025-ARIA                                                                                                 | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1253535.00   | 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        |    1190863 | PA      | $1197176.42   | 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        |    2219000 | PA      | $10148717.03  | 0.89%             | 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        |    1092825 | PA      | $1087506.01   | 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        |     894477 | PA      | $894477.46    | 0.08%             | 2041-05-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-AIRC                                                                             | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     424953 | PA      | $425351.47    | 0.04%             | 2041-08-15      | Floating      | 5.36%                 | 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      | $1046999.37   | 0.09%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CRSNT Trust                                                | CRSNT Trust 2026-MOON                                                                                              | CUSIP: 12642SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230000 | PA      | $1224618.50   | 0.11%             | 2031-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-NQM5 Trust                                                                                               | CUSIP: 12663DAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2179211 | PA      | $2173278.15   | 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        |      19162 | PA      | $18676.44     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5001512 | PA      | $4196006.46   | 0.37%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                           | COLT 2025-12 Mortgage Loan Trust                                                                                   | CUSIP: 19688UAD4<br>LEI: 213800A53WDNKWGEVL75 | Long             | ABS-MBS          | CORP              | US        |     715398 | PA      | $711269.83    | 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      | $538143.70    | 0.05%             | 2041-06-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CART                                                       | CONE Trust 2024-DFW1                                                                                               | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $208490.42    | 0.02%             | 2041-08-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                       | Cross 2025-H1 Mortgage Trust                                                                                       | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1041108 | PA      | $1046976.27   | 0.09%             | 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        |     555940 | PA      | $552487.12    | 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      | $1442287.16   | 0.13%             | 2042-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                        | DBGS 2024-SBL                                                                                                      | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1085000 | PA      | $1083642.34   | 0.10%             | 2034-08-15      | Floating      | 5.56%                 | 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      | $216936.35    | 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        |     448933 | PA      | $450824.19    | 0.04%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAA9<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $430772.37    | 0.04%             | 2039-06-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                                | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $430772.37    | 0.04%             | 2039-06-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $365049.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $546735.03    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                             | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | US        |          1 | NC      | $188487.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $3397710.17   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $82537.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $75257.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $5607569.30   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $592458.74    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $2250.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $20852.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $5634.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $27448.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $50900.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $56014.23     | 0.00%             |  |  |  | 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      | $3256.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $8513.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $7440.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $5844.29      | 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      | $-5589.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |          1 | NC      | $7105.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD MXN                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $55505.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD PEN                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $197.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD BRL                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-13223.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $-17531.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD MXN                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $4752.00      | 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      | $-9499.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | GB        |          1 | NC      | $-4449.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |          1 | NC      | $3839.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD MXN                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $5668.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $48050.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |          1 | NC      | $41053.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |          1 | NC      | $-3695.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $3126.20      | 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      | $3077.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED DKK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | DK        |          1 | NC      | $14209.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-14110.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-163973.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | JP        |          1 | NC      | $154354.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SE        |          1 | NC      | $23529.87     | 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      | $-24276.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-2975.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |          1 | NC      | $2887.70      | 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      | $-113686.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED AUD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | AU        |          1 | NC      | $114497.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-16689.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED NZD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | NZ        |          1 | NC      | $16568.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1600288.54  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $1583192.83   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | GB        |          1 | NC      | $69247.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-66262.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED MXN / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |          1 | NC      | $63609.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | EFMT 2025-NQM6                                                                                                     | CUSIP: 281916AC0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |     538118 | PA      | $535470.57    | 0.05%             | 2070-12-25      | Variable      | 5.00%                 | 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      | $504648.57    | 0.04%             | 2032-06-20      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FS Trust                                                   | FS 2026-ORL                                                                                                        | CUSIP: 30343YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1145000 | PA      | $1142853.13   | 0.10%             | 2041-02-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FS Trust                                                   | FS 2026-ORL                                                                                                        | CUSIP: 30343YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     790000 | PA      | $788518.59    | 0.07%             | 2041-02-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306800 | PA      | $309100.23    | 0.03%             | 2054-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73884 | PA      | $74538.44     | 0.01%             | 2054-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369400 | PA      | $371650.90    | 0.03%             | 2055-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470759 | PA      | $475333.50    | 0.04%             | 2055-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127232 | PA      | $128360.95    | 0.01%             | 2054-08-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293479 | PA      | $296684.10    | 0.03%             | 2055-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175750 | PA      | $177761.91    | 0.02%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                                                                  | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326526 | PA      | $330823.36    | 0.03%             | 2055-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     396566 | PA      | $397518.79    | 0.03%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHLV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469734 | PA      | $475153.21    | 0.04%             | 2054-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140986 | PA      | $142035.74    | 0.01%             | 2054-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HHSB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251489 | PA      | $253374.58    | 0.02%             | 2054-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HJAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327125 | PA      | $328702.87    | 0.03%             | 2054-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HJGG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     361194 | PA      | $365249.23    | 0.03%             | 2055-02-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1312240 | PA      | $1323104.23   | 0.12%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3421062 | PA      | $3446130.00   | 0.30%             | 2055-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187366 | PA      | $189059.69    | 0.02%             | 2055-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243285 | PA      | $246086.40    | 0.02%             | 2055-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185606 | PA      | $187729.65    | 0.02%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188505 | PA      | $190676.17    | 0.02%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249245 | PA      | $252114.73    | 0.02%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HMKA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440248 | PA      | $443497.46    | 0.04%             | 2055-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270018 | PA      | $272475.01    | 0.02%             | 2055-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | Ellington Financial Mortgage Trust 2021-3                                                                          | CUSIP: 31573JAA8<br>LEI: 254900UDLJF220C8I638 | Long             | ABS-MBS          | CORP              | US        |    1410240 | PA      | $1179751.73   | 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        |    4245000 | PA      | $13714328.57  | 1.21%             | 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      | $2487234.25   | 0.22%             | 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      | $2484036.00   | 0.22%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                   | Foundation Finance Trust 2025-3                                                                                    | CUSIP: 35042TAA0<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |     571046 | PA      | $566552.03    | 0.05%             | 2052-08-15      | Fixed         | 4.56%                 | 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      | $148406.10    | 0.01%             | 2036-10-15      | Floating      | 4.94%                 | 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      | $474702.89    | 0.04%             | 2037-05-15      | Floating      | 5.21%                 | 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        |     611260 | PA      | $614655.29    | 0.05%             | 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        |    1142162 | PA      | $1145852.80   | 0.10%             | 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        |     606248 | PA      | $588023.24    | 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      | $509999.64    | 0.04%             | 2039-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LEX Trust                                                  | LEX Trust 2026-450                                                                                                 | CUSIP: 501970AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     683000 | PA      | $679966.87    | 0.06%             | 2043-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                  | LQR Trust 2025-CALI                                                                                                | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451000 | PA      | $450792.49    | 0.04%             | 2043-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MLTI Trust                                                 | MLTI Trust 2026-SF75                                                                                               | CUSIP: 55318JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675000 | PA      | $671624.19    | 0.06%             | 2031-03-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   14075000 | PA      | $2577268.97   | 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        |     881590 | PA      | $1104468.48   | 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        |     634346 | PA      | $637950.44    | 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      | $183497.72    | 0.02%             | 2029-08-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                     | NYC Commercial Mortgage Trust 2026-1PARK                                                                           | CUSIP: 62979QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $746953.13    | 0.07%             | 2043-02-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2025-NQM7                                                                      | CUSIP: 64831YAE6<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |    1190840 | PA      | $1184498.39   | 0.10%             | 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      | $2128597.34   | 0.19%             | 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      | $86354.25     | 0.01%             | 2036-01-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2022-AFC2 Trust                                                                                              | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312161 | PA      | $311389.46    | 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        |     966505 | PA      | $971073.90    | 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      | $688834.56    | 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        |     716258 | PA      | $719998.35    | 0.06%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| PFP III                                                    | PFP 2026-13 Ltd                                                                                                    | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1315000 | PA      | $1316081.59   | 0.12%             | 2043-08-18      | Floating      | 5.18%                 | 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      | $965407.70    | 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      | $2499047.25   | 0.22%             | 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      | $2503599.50   | 0.22%             | 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      | $1613008.71   | 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      | $2462133.75   | 0.22%             | 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      | $2150068.80   | 0.19%             | 2039-07-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2026-SFR1 Trust                                                                               | CUSIP: 74334HAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1075000 | PA      | $1003988.51   | 0.09%             | 2043-02-17      | Fixed         | 4.00%                 | 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        |     893059 | PA      | $898642.73    | 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        |    1952906 | PA      | $2576326.33   | 0.23%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                                      | QTS Issuer ABS II LLC                                                                                              | CUSIP: 74690FAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     499000 | PA      | $487678.64    | 0.04%             | 2056-01-05      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                                      | QTS Issuer ABS II LLC                                                                                              | CUSIP: 74690FAY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     590000 | PA      | $579463.72    | 0.05%             | 2056-01-05      | Fixed         | 6.16%                 | 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        |    5560516 | NS      | $5560516.17   | 0.49%             |  |  |  | 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        |    1734293 | PA      | $1439909.95   | 0.13%             | 2061-07-25      | Variable      | 1.16%                 | 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        |     978335 | PA      | $974797.37    | 0.09%             | 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      | $1511212.95   | 0.13%             | 2040-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAE1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1493662.80   | 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      | $599522.34    | 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      | $2532202.25   | 0.22%             | 2040-07-17      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15830399 | PA      | $16642527.61  | 1.46%             | 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        |   18647079 | PA      | $20112238.10  | 1.77%             | 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        |    4633609 | PA      | $5111615.04   | 0.45%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11487464 | PA      | $11650923.03  | 1.02%             | 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        |    6307377 | PA      | $6542213.19   | 0.58%             | 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        |   20919210 | PA      | $20909988.63  | 1.84%             | 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        |     303241 | PA      | $300842.01    | 0.03%             | 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        |   23783893 | PA      | $23129345.49  | 2.03%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21397964 | PA      | $21332164.20  | 1.88%             | 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        |   19670835 | PA      | $18824911.26  | 1.66%             | 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        |   24875181 | PA      | $23676265.92  | 2.08%             | 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        |   17817517 | PA      | $16750156.13  | 1.47%             | 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        |   26578095 | PA      | $24830306.84  | 2.18%             | 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        |   16855364 | PA      | $15510757.37  | 1.36%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11725000 | PA      | $10397235.32  | 0.91%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22272743 | PA      | $22146391.18  | 1.95%             | 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        |   25079260 | PA      | $23660755.86  | 2.08%             | 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        |   25902243 | PA      | $24946041.74  | 2.19%             | 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        |   21023220 | PA      | $21102070.23  | 1.86%             | 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        |   23846939 | PA      | $23309290.39  | 2.05%             | 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        |    8234026 | PA      | $8523732.99   | 0.75%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4420000 | PA      | $4511507.79   | 0.40%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21964194 | PA      | $21870314.43  | 1.92%             | 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        |   21753880 | PA      | $22331179.69  | 1.96%             | 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        |   26569919 | PA      | $26699220.66  | 2.35%             | 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        |   22639913 | PA      | $22995394.70  | 2.02%             | 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        |   31229302 | PA      | $31755799.18  | 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        |   27006789 | PA      | $27275375.62  | 2.40%             | 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        |   32526714 | PA      | $32366836.39  | 2.85%             | 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        |   26130346 | PA      | $25895815.69  | 2.28%             | 2030-10-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13987018 | PA      | $13818138.26  | 1.21%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                 | UNIV Trust 2025-APTS                                                                                               | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1097939.15   | 0.10%             | 2042-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                  | REVERSE REPO HSBC                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -13835250 | PA      | $-13835250.00 | -1.22%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                               | REVERSE REPO PARIBAS                                                                                               | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Short            | RA               | CORP              | US        |  -22180376 | PA      | $-22180375.50 | -1.95%            |  |  |  | No            |                  2 | On Loan: No      |
| SWAP CCPC CITIGROUP COC                                    | SWAP CCPC CITIGROUP COC                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    6342000 | NS      | $6342000.00   | 0.56%             |  |  |  | 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      | $774286.03    | 0.07%             | 2070-12-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2026-1                                                                                  | CUSIP: 92541JAF8<br>LEI: 2138009KJR7Q44BI8668 | Long             | ABS-MBS          | CORP              | US        |     718997 | PA      | $713823.08    | 0.06%             | 2071-01-25      | Variable      | 4.86%                 | 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        |      27582 | PA      | $27303.95     | 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: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     182000 | PA      | $182778.58    | 0.02%             | 2035-07-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   16505321 | PA      | $19866045.26  | 1.75%             | 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      | $107911.32    | 0.01%             |  |  |  | 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      | $392.50       | 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      | $-213.30      | -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      | $2483.41      | 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      | $-606.83      | -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      | $-14384.88    | -0.00%            |  |  |  | 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      | $8772.27      | 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      | $17974.68     | 0.00%             |  |  |  | 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      | $81135.52     | 0.01%             |  |  |  | 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      | $-85351.94    | -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      | $-149391.53   | -0.01%            |  |  |  | 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      | $165310.12    | 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      | $160310.02    | 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      | $76665.07     | 0.01%             |  |  |  | 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      | $-81576.98    | -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      | $-145755.65   | -0.01%            |  |  |  | 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      | $-80641.14    | -0.01%            |  |  |  | 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      | $-41035.48    | -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      | $38306.67     | 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      | $85017.61     | 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      | $-80523.47    | -0.01%            |  |  |  | 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      | $-39889.16    | -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      | $38461.64     | 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      | $85528.43     | 0.01%             |  |  |  | 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      | $164799.05    | 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      | $-80734.16    | -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      | $-155617.47   | -0.01%            |  |  |  | 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      | $74585.76     | 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      | $32091.83     | 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      | $70258.42     | 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      | $-34304.64    | -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      | $-66974.02    | -0.01%            |  |  |  | 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      | $-72981.80    | -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      | $65436.71     | 0.01%             |  |  |  | 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      | $-124525.69   | -0.01%            |  |  |  | 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      | $146091.51    | 0.01%             |  |  |  | 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      | $-24535.90    | -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      | $-5738.63     | -0.00%            |  |  |  | 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      | $38805.35     | 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      | $-47928.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDXF42W2 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDXF42W2 IRS GBP P F  3.08253 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6265000 | OU      | $323151.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDXF3U45 IRS GBP R F  3.13246 2 CCPINFLATIONZERO / Short: SYDXF3U45 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6265000 | OU      | $-307680.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDZAQ9X4 IRS USD R F  2.41000 2 CCPINFLATIONZERO / Short: SYDZAQ9X4 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   28107000 | OU      | $-220824.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDZAQ6Q2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDZAQ6Q2 IRS USD P F  2.38250 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   28107000 | OU      | $239428.36    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDZERL89 IRS USD R F  2.42000 2 CCPINFLATIONZERO / Short: SYDZERL89 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14053500 | OU      | $-108777.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDZERLJ5 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDZERLJ5 IRS USD P F  2.35749 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14053500 | OU      | $123694.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0MH243 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYJ0MH243 IRS GBP P F  4.20500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   17830000 | OU      | $128587.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYJ0MH2A9 IRS GBP R F  3.99300 2 CCPINFLATIONZERO / Short: SYJ0MH2A9 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   17830000 | OU      | $-81103.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYJ0MMFN6 IRS GBP R F  3.75289 2 CCPINFLATIONZERO / Short: SYJ0MMFN6 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4150000 | OU      | $-28600.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0MMKX8 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYJ0MMKX8 IRS GBP P F  3.44830 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4150000 | OU      | $26932.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYJ0NBLH5 IRS USD R F  2.57990 2 CCPINFLATIONZERO / Short: SYJ0NBLH5 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21080250 | OU      | $-98678.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYJ0NAZK5 IRS USD R F  2.58486 2 CCPINFLATIONZERO / Short: SYJ0NAZK5 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21080250 | OU      | $-96671.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0NARK4 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ0NARK4 IRS USD P F  2.75000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   42160500 | OU      | $191156.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0QVS81 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ0QVS81 IRS USD P F  2.49920 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4520000 | OU      | $13620.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0XASV8 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ0XASV8 IRS USD P F  2.58370 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3008000 | OU      | $-222.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYJ0YXBM5 IRS EUR R F  2.97500 2 CCPVANILLA / Short: SYJ0YXBM5 IRS EUR P V 06MEURIB 1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2820000 | OU      | $-22632.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0YXBC7 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BYJ0YXBC7 IRS EUR P F  2.97800 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1039000 | OU      | $-9019.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0Z7LF5 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ0Z7LF5 IRS USD P F  2.57420 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3008000 | OU      | $706.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0ZNZL2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ0ZNZL2 IRS USD P F  2.46320 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4095000 | OU      | $-12354.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ0ZR205 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ0ZR205 IRS USD P F  2.49750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5305000 | OU      | $-10278.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYJ16B333 IRS GBP R F  3.86000 2 CCPINFLATIONZERO / Short: SYJ16B333 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4485000 | OU      | $-50507.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ16AXW8 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYJ16AXW8 IRS GBP P F  4.09500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4485000 | OU      | $44861.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ16QBX5 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ16QBX5 IRS USD P F  2.55220 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2307692 | OU      | $-3068.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ1B1WT0 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ1B1WT0 IRS USD P F  2.63900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4615384 | OU      | $-24394.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ1DHPU8 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BYJ1DHPU8 IRS EUR P F  3.09670 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     976000 | OU      | $501.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ1K2YP4 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ1K2YP4 IRS USD P F  2.51670 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2439000 | OU      | $807.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ1MKXE8 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ1MKXE8 IRS USD P F  2.42270 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5305000 | OU      | $11474.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ1P76Y0 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ1P76Y0 IRS USD P F  2.60670 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3008000 | OU      | $-3331.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYJ1R6BR9 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYJ1R6BR9 IRS USD P F  2.66320 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3760000 | OU      | $-1141.87     | -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        |   12682644 | PA      | $16834931.60  | 1.48%             | 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        |    5895000 | PA      | $5422059.43   | 0.48%             | 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        |   13820605 | PA      | $16152457.64  | 1.42%             | 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        |   12714626 | PA      | $15060227.68  | 1.32%             | 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        |    9299638 | PA      | $10639402.51  | 0.94%             | 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        |   10282184 | PA      | $12217079.31  | 1.07%             | 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        |  709979592 | PA      | $4466697.89   | 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        |   11212701 | PA      | $13258028.39  | 1.17%             | 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      | $3872227.17   | 0.34%             | 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        |   11596353 | PA      | $1763972.23   | 0.16%             | 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        |  796683988 | PA      | $5032647.81   | 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        |   14011128 | PA      | $16152335.30  | 1.42%             | 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        | 1093236558 | PA      | $6861155.53   | 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      | $1248449.26   | 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        |    7801040 | PA      | $8739033.94   | 0.77%             | 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        |    6071522 | PA      | $6782919.80   | 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        |  410588328 | PA      | $2599966.73   | 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        |   10024000 | PA      | $7381027.42   | 0.65%             | 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        |   11306724 | PA      | $11989690.89  | 1.05%             | 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        |  459242370 | PA      | $2890688.45   | 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        |   12600688 | PA      | $1800605.06   | 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        |   10530624 | PA      | $12586444.49  | 1.11%             | 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        |  492718627 | PA      | $3079816.63   | 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        |  608772720 | PA      | $3704181.86   | 0.33%             | 2034-03-10      | 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        |  248465070 | PA      | $1497785.42   | 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        |    2916895 | PA      | $3411041.06   | 0.30%             | 2031-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                    | Mexican Bonos                                                                                                      | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   60042000 | PA      | $3178685.42   | 0.28%             | 2032-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT MAR27                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        114 | NC      | $-113574.42   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT JUN27                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        142 | NC      | $-83780.54    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC26                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         53 | NC      | $-59611.94    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC27                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         48 | NC      | $-27073.44    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUXL 30Y BND JUN26                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -15 | NC      | $-337.87      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -39 | NC      | $117029.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -2 | NC      | $-565.68      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 10Y BOND FUT JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         38 | NC      | $-27662.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                   | CAN 10YR BOND FUT JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |         57 | NC      | $9962.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        173 | NC      | $44784.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        301 | NC      | $-79701.26    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -247 | NC      | $366473.89    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 3YR BOND FUT JUN26                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         72 | NC      | $-26764.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15063428 | PA      | $20662147.12  | 1.82%             | 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        |    6353423 | PA      | $7959660.98   | 0.70%             | 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        |    9188934 | PA      | $12122293.33  | 1.07%             | 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        |   12808087 | PA      | $17394352.91  | 1.53%             | 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      | $3986721.44   | 0.35%             | 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        |   12269533 | PA      | $15702686.46  | 1.38%             | 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        |    9280787 | PA      | $11553194.32  | 1.02%             | 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      | $2247779.75   | 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        |     759763 | PA      | $869218.85    | 0.08%             | 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        |    1752000 | PA      | $1467650.99   | 0.13%             | 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        |   13031208 | PA      | $14728482.95  | 1.29%             | 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        |    9475589 | PA      | $10843315.90  | 0.95%             | 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        |    6433766 | PA      | $7078567.43   | 0.62%             | 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        |    9368931 | PA      | $12124365.09  | 1.07%             | 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        |   10482363 | PA      | $12258283.77  | 1.08%             | 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        |   10381691 | PA      | $13451517.94  | 1.18%             | 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        |    5157249 | PA      | $5531832.42   | 0.49%             | 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      | $2901886.24   | 0.26%             | 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        |    7783502 | PA      | $10079538.66  | 0.89%             | 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        |   11230000 | PA      | $1516561.76   | 0.13%             | 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        |   10077709 | PA      | $11801730.33  | 1.04%             | 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        |   12357098 | PA      | $16570140.80  | 1.46%             | 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      | $-214372.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDVT1FA1 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -10680000 | NC      | $-62960.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDVT2676 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -25360000 | NC      | $-74543.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDVT2668 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   25360000 | NC      | $6952.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDVT2650 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -25360000 | NC      | $-2116.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDW92K47 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -31175000 | NC      | $-111907.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDW8Z8N7 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -1976800 | NC      | $-10462.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BYDW8Z8M9 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -988400 | NC      | $-6877.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDXQZ110 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -46050000 | NC      | $-175362.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | BYDYHQ316 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | KY        |   -1277000 | OU      | $-17308.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | BYDYJ4KL0 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -1268000 | OU      | $-3031.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | BYDYJ4M79 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   -1268000 | OU      | $-13761.60    | -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      | $669648.48    | 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      | $820128.49    | 0.07%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

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

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP