# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-25-027786
**Filing Date:** 2025-11
**Character Count:** 205262
**Document Hash:** 6dbcf23a4f59c04dfae905e3db16d1c4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027786.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027786

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 251504977

**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**

September 30, 2025 (unaudited)

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

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–1.05%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–1.05%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–1.05%** |
| •Federal Home Loan Mortgage Corp. REMICS  | •Federal Home Loan Mortgage Corp. REMICS  | •Federal Home Loan Mortgage Corp. REMICS  |
| &nbsp;&nbsp;&nbsp; Series 5513 Class FD 5.71% <br> (30 day USD SOFR Average <br> + 1.35%) 1/25/55<br>| 4317701 | $4335004 |
| &nbsp;&nbsp;&nbsp; Series 5516 Class FC 5.76% <br> (30 day USD SOFR Average <br> + 1.40%) 3/25/55<br>| 8006280 | 8037604 |
| **Total Agency Collateralized** <br> **Mortgage Obligations** <br>**(Cost $12,324,850)**<br>|  | **12372608** |
| **AGENCY MORTGAGE-BACKED SECURITIES–6.93%** | **AGENCY MORTGAGE-BACKED SECURITIES–6.93%** | **AGENCY MORTGAGE-BACKED SECURITIES–6.93%** |
| Uniform Mortgage-Backed Security, TBA | Uniform Mortgage-Backed Security, TBA | Uniform Mortgage-Backed Security, TBA |
| &nbsp;&nbsp; 3.50% 10/1/55 | 6435000 | 5878509 |
| &nbsp;&nbsp; 5.00% 10/1/55 | 12331000 | 12228124 |
| &nbsp;&nbsp; 5.50% 10/1/54 | 41314236 | 41654582 |
| &nbsp;&nbsp; 6.00% 10/1/54 | 21517132 | 21981637 |
| **Total Agency** <br> **Mortgage-Backed** <br> **Securities** <br>**(Cost $81,979,509)**<br>|  | **81742852** |
| **CORPORATE BONDS–1.10%** | **CORPORATE BONDS–1.10%** | **CORPORATE BONDS–1.10%** |
| **United States–1.10%** | **United States–1.10%** | **United States–1.10%** |
| &nbsp;&nbsp; AEP Texas, Inc. 5.70% <br> 5/15/34<br>| 805000 | 837737 |
| &nbsp;&nbsp; Cheniere Energy Partners LP <br> 5.75% 8/15/34<br>| 980000 | 1018798 |
| μCitigroup, Inc. 5.45% 6/11/35 | 1050000 | 1088827 |
| &nbsp;&nbsp; Diamondback Energy, Inc. <br> 5.40% 4/18/34<br>| 1740000 | 1776335 |
| &nbsp;&nbsp; Energy Transfer LP 5.60% <br> 9/1/34<br>| 825000 | 846706 |
| &nbsp;&nbsp; μGoldman Sachs Group, Inc. <br> 5.33% 7/23/35<br>| 1185000 | 1219891 |
| HCA, Inc. |  |  |
| &nbsp;&nbsp; 5.45% 9/15/34 | 715000 | 733440 |
| &nbsp;&nbsp; 5.60% 4/1/34 | 1005000 | 1043275 |
| &nbsp;&nbsp; μMorgan Stanley 5.32% <br> 7/19/35<br>| 1180000 | 1217581 |
| Oracle Corp. 4.90% 2/6/33 | 1025000 | 1034275 |
| &nbsp;&nbsp; Vistra Operations Co. LLC <br> 6.00% 4/15/34<br>| 875000 | 922519 |
| &nbsp;&nbsp; μWells Fargo & Co. 5.50% <br> 1/23/35<br>| 1165000 | 1215201 |
| **Total Corporate Bonds** <br>**(Cost $12,653,265)**<br>|  | **12954585** |
| **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 | 2467825 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class D <br> 4.00% 10/17/39<br>| 2180000 | 2129539 |
| 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 | 2489220 |

---

---

| | | |
|:---|:---|:---|
|  | **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)** |
| FirstKey Homes Trust (continued) | FirstKey Homes Trust (continued) | FirstKey Homes Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E2 <br> 5.00% 5/19/39<br>| 2500000 | $2461621 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class D <br> 4.50% 7/17/39<br>| 2000000 | 1980010 |
| &nbsp;&nbsp; New Residential Mortgage <br> Loan Trust Series 2022-SFR2 <br> Class D 4.00% 9/4/39<br>| 2210000 | 2158694 |
| 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 | 2451324 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class E2 <br> 5.60% 4/17/39<br>| 968000 | 953220 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR4 Class D <br> 5.59% 5/17/41<br>| 2500000 | 2537206 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR5 Class D <br> 5.73% 6/17/39<br>| 2500000 | 2523002 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR6 Class D <br> 6.04% 7/20/39<br>| 2150000 | 2181774 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR7 Class D <br> 5.50% 10/27/39<br>| 1615000 | 1626251 |
| 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 | 1491761 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1 Class E2 <br> 5.74% 4/17/39<br>| 600000 | 601663 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class D <br> 6.23% 7/17/40<br>| 2500000 | 2556090 |
| **Total Non-Agency** <br> **Asset-Backed Securities** <br>**(Cost $29,646,669)**<br>|  | **30609200** |
| **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–1.69%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–1.69%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–1.69%** |
| &nbsp;&nbsp; ABN AMRO Mortgage Corp. <br> Series 2003-4 Class A4 5.50% <br> 3/25/33<br>| 3375 | 3329 |
| &nbsp;&nbsp; φAngel Oak Mortgage Trust <br> Series 2025-2 Class A1 5.64% <br> 2/25/70<br>| 1141343 | 1153269 |
| &nbsp;&nbsp; φBarclays Mortgage Loan Trust <br> Series 2025-NQM3 Class A1 <br> 5.64% 5/25/65<br>| 1320617 | 1336642 |
| &nbsp;&nbsp; •BFLD Mortgage Trust Series <br> 2024-VICT Class A 6.04% (1 <br> mo. USD Term SOFR + <br> 1.89%) 7/15/41<br>| 365000 | 366140 |
| &nbsp;&nbsp; φBRAVO Residential Funding <br> Trust Series 2023-NQM3 <br> Class A1 4.85% 9/25/62<br>| 1157153 | 1156133 |
| &nbsp;&nbsp; ♦CHL Mortgage Pass-Through <br> Trust Series 2004-5 Class <br> 2A4 5.50% 5/25/34<br>| 19926 | 19564 |
| &nbsp;&nbsp; •COMM Mortgage Trust Series <br> 2024-WCL1 Class A 5.99% (1 <br> mo. USD Term SOFR + <br> 1.84%) 6/15/41<br>| 540000 | 541063 |

---

*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 COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •Cross Mortgage Trust Series <br> 2025-H1 Class A1 5.74% <br> 2/25/70<br>| 1289731 | $1305131 |
| &nbsp;&nbsp; •CSMC Trust Series <br> 2022-NQM5 Class A1 5.17% <br> 5/25/67<br>| 2281978 | 2357287 |
| &nbsp;&nbsp; φDeephaven Residential <br> Mortgage Trust Series <br> 2024-1 Class A1 5.74% <br> 7/25/69<br>| 528512 | 533129 |
| &nbsp;&nbsp; •Ellington Financial Mortgage <br> Trust Series 2021-3 Class A1 <br> 1.24% 9/25/66<br>| 1477653 | 1242611 |
| φHOMES Trust | φHOMES Trust | φHOMES Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-AFC1 Class A1 <br> 5.73% 1/25/60<br>| 676534 | 685567 |
| &nbsp;&nbsp;&nbsp; Series 2025-AFC2 Class A1A <br> 5.47% 6/25/60<br>| 1334289 | 1342611 |
| &nbsp;&nbsp; •JP Morgan Mortgage Trust <br> Series 2023-DSC1 Class A1 <br> 4.63% 7/25/63<br>| 651770 | 643091 |
| &nbsp;&nbsp; •JW Commercial Mortgage <br> Trust Series 2024-MRCO <br> Class A 5.77% (1 mo. USD <br> Term SOFR + 1.62%) <br> 6/15/39<br>| 510000 | 511434 |
| &nbsp;&nbsp; •Morgan Stanley Residential <br> Mortgage Loan Trust Series <br> 2025-NQM1 Class A1 5.74% <br> 11/25/69<br>| 713339 | 722959 |
| &nbsp;&nbsp; •PRKCM Trust Series <br> 2022-AFC2 Class A1 5.34% <br> 8/25/57<br>| 338932 | 339235 |
| φPRPM Trust | φPRPM Trust | φPRPM Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM1 Class A1 <br> 5.80% 11/25/69<br>| 1032023 | 1045049 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2 Class A1 <br> 5.69% 4/25/70<br>| 797082 | 806690 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM3 Class A1 <br> 5.61% 5/25/70<br>| 1043911 | 1053561 |
| 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>| 1811025 | 1528933 |
| &nbsp;&nbsp;&nbsp; φSeries 2022-2 Class A1 5.35% <br> 8/25/62<br>| 580753 | 579309 |
| &nbsp;&nbsp; φVerus Securitization Trust <br> Series 2022-INV2 Class A1 <br> 6.79% 10/25/67<br>| 440459 | 445559 |
| &nbsp;&nbsp; ♦WaMu Mortgage Pass-Through <br> Certificates Trust Series <br> 2003-S11 Class 3A5 5.95% <br> 11/25/33<br>| 31203 | 31265 |

---

---

| | | |
|:---|:---|:---|
|  | **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 5.48% <br> 7/15/35<br>| 182000 | $184122 |
| **Total Non-Agency** <br> **Collateralized Mortgage** <br> **Obligations** <br>**(Cost $19,469,189)**<br>|  | **19933683** |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.42%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.42%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.42%** |
| &nbsp;&nbsp; •AREIT Ltd. Series 2024-CRE9 <br> Class A 5.84% (1 mo. USD <br> Term SOFR + 1.69%) <br> 5/17/41<br>| 933689 | 934097 |
| &nbsp;&nbsp; •ARES Commercial Mortgage <br> Trust Series 2024-IND <br> Class A 5.84% (1 mo. USD <br> Term SOFR + 1.69%) <br> 7/15/41<br>| 1150000 | 1152876 |
| &nbsp;&nbsp; •BAHA Trust Series 2024-MAR <br> Class A 6.17% 12/10/41<br>| 1150000 | 1187783 |
| &nbsp;&nbsp; •BAMLL Trust Series <br> 2024-BHP Class A 6.50% (1 <br> mo. USD Term SOFR + <br> 2.35%) 8/15/39<br>| 770000 | 773130 |
| &nbsp;&nbsp; •BFLD Trust Series <br> 2025-EWEST Class A 5.70% <br> (1 mo. USD Term SOFR + <br> 1.55%) 6/15/42<br>| 954000 | 955191 |
| •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-AIRC Class A <br> 5.84% (1 mo. USD Term <br> SOFR + 1.69%) 8/15/39<br>| 458736 | 459596 |
| &nbsp;&nbsp;&nbsp; Series 2024-KING Class A <br> 5.69% (1 mo. USD Term <br> SOFR + 1.54%) 5/15/34<br>| 1204148 | 1204522 |
| &nbsp;&nbsp;&nbsp; Series 2024-MDHS Class A <br> 5.79% (1 mo. USD Term <br> SOFR + 1.64%) 5/15/41<br>| 1026560 | 1027844 |
| &nbsp;&nbsp;&nbsp; Series 2024-XL4 Class D <br> 7.29% (1 mo. USD Term <br> SOFR + 3.14%) 2/15/39<br>| 515060 | 516669 |
| &nbsp;&nbsp; •BX Trust Series 2024-VLT4 <br> Class A 5.64% (1 mo. USD <br> Term SOFR + 1.49%) <br> 6/15/41<br>| 1078000 | 1078338 |
| &nbsp;&nbsp; •CONE Trust Series <br> 2024-DFW1 Class A 5.79% (1 <br> mo. USD Term SOFR + <br> 1.64%) 8/15/41<br>| 210000 | 209608 |
| •DBSG Mortgage Trust | •DBSG Mortgage Trust | •DBSG Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-ALTA Class A <br> 6.14% 6/10/37<br>| 215000 | 218507 |

---

*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 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)** |
| •DBSG Mortgage Trust (continued) | •DBSG Mortgage Trust (continued) | •DBSG Mortgage Trust (continued) | •DBSG Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2024-SBL Class A <br> 6.03% (1 mo. USD Term <br> SOFR + 1.88%) 8/15/34<br>|  | 1085000 | $1088390 |
| •ELM Trust | •ELM Trust | •ELM Trust | •ELM Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM Class A10 <br> 5.99% 6/10/39<br>|  | 430000 | 432733 |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM Class A15 <br> 5.99% 6/10/39<br>|  | 430000 | 432733 |
| &nbsp;&nbsp; •Extended Stay America Trust <br> Series 2025-ESH Class A <br> 5.45% (1 mo. USD Term <br> SOFR + 1.30%) 10/15/42<br>|  | 1267000 | 1269375 |
| &nbsp;&nbsp; •GWT Trust Series 2024-WLF2 <br> Class A 5.84% (1 mo. USD <br> Term SOFR + 1.69%) <br> 5/15/41<br>|  | 1250000 | 1252343 |
| &nbsp;&nbsp; •HILT Commercial Mortgage <br> Trust Series 2024-ORL <br> Class A 5.69% (1 mo. USD <br> Term SOFR + 1.54%) <br> 5/15/37<br>|  | 475000 | 475743 |
| &nbsp;&nbsp; •HONO Mortgage Trust Series <br> 2021-LULU Class A 5.42% (1 <br> mo. USD Term SOFR + <br> 1.26%) 10/15/36<br>|  | 150000 | 149344 |
| &nbsp;&nbsp; •LBA Trust Series 2024-BOLT <br> Class A 5.74% (1 mo. USD <br> Term SOFR + 1.59%) <br> 6/15/39<br>|  | 810000 | 811014 |
| &nbsp;&nbsp; •NYCT Trust Series 2024-3ELV <br> Class A 6.14% (1 mo. USD <br> Term SOFR + 1.99%) <br> 8/15/29<br>|  | 183498 | 183957 |
| &nbsp;&nbsp; •One New York Plaza Trust <br> Series 2020-1NYP Class AJ <br> 5.52% (1 mo. USD Term <br> SOFR + 1.36%) 1/15/36<br>|  | 215000 | 211437 |
| &nbsp;&nbsp; •PENN Commercial Mortgage <br> Trust Series 2025-P11 <br> Class A 5.52% 8/10/42<br>|  | 680000 | 688908 |
| **Total Non-Agency** <br> **Commercial** <br> **Mortgage-Backed** <br> **Securities** <br>**(Cost $16,615,835)**<br>|  |  | **16714138** |
| **ΔSOVEREIGN BONDS–40.82%** | **ΔSOVEREIGN BONDS–40.82%** | **ΔSOVEREIGN BONDS–40.82%** | **ΔSOVEREIGN BONDS–40.82%** |
| **Australia–1.10%** | **Australia–1.10%** | **Australia–1.10%** | **Australia–1.10%** |
| Australia Government Bonds | Australia Government Bonds | Australia Government Bonds | Australia Government Bonds |
| &nbsp;&nbsp; 0.25% 11/21/32 | AUD | 3129000 | 2234812 |
| &nbsp;&nbsp; 0.75% 11/21/27 | AUD | 4343000 | 3653702 |
| &nbsp;&nbsp; 2.00% 8/21/35 | AUD | 3600000 | 3286325 |
| &nbsp;&nbsp; 2.50% 9/20/30 | AUD | 3731000 | 3850246 |
|  |  |  | **13025085** |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **Canada–0.68%** | **Canada–0.68%** | **Canada–0.68%** | **Canada–0.68%** |
| Canada Government Real Return Bonds | Canada Government Real Return Bonds | Canada Government Real Return Bonds | Canada Government Real Return Bonds |
| &nbsp;&nbsp; 4.00% 12/1/31 | CAD | 4997966 | $4238414 |
| &nbsp;&nbsp; 4.25% 12/1/26 | CAD | 5121520 | 3835454 |
|  |  |  | **8073868** |
| **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 | 11781090 | 1780009 |
| &nbsp;&nbsp; 0.10% 11/15/34 | DKK | 12801487 | 1847161 |
|  |  |  | **3627170** |
| **France–9.20%** | **France–9.20%** | **France–9.20%** | **France–9.20%** |
| 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 | 9390161 | 10776870 |
| &nbsp;&nbsp; 0.10% 3/1/28 | EUR | 767158 | 880450 |
| &nbsp;&nbsp; 0.10% 3/1/29 | EUR | 14696691 | 16869881 |
| &nbsp;&nbsp; 0.10% 7/25/31 | EUR | 8017789 | 8925504 |
| &nbsp;&nbsp; 0.10% 3/1/32 | EUR | 4495560 | 4850601 |
| &nbsp;&nbsp; 0.60% 7/25/34 | EUR | 6412064 | 7016373 |
| &nbsp;&nbsp; 0.70% 7/25/30 | EUR | 10510396 | 12245832 |
| &nbsp;&nbsp; 1.85% 7/25/27 | EUR | 17365317 | 20938191 |
| &nbsp;&nbsp; 3.15% 7/25/32 | EUR | 9213573 | 12245396 |
| &nbsp;&nbsp; 3.15% 7/25/32 | EUR | 1958142 | 2602489 |
| &nbsp;&nbsp; 3.40% 7/25/29 | EUR | 890174 | 1136411 |
| &nbsp;&nbsp; 3.40% 7/25/29 | EUR | 7788271 | 9942629 |
|  |  |  | **108430627** |
| **Germany–2.08%** | **Germany–2.08%** | **Germany–2.08%** | **Germany–2.08%** |
| &nbsp;&nbsp; Bundesrepublik Deutschland <br> Bundesanleihe 2.90% <br> 8/15/56<br>| EUR | 828000 | 900720 |
| 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 | 6665841 | 7446606 |
| &nbsp;&nbsp; 0.50% 4/15/30 | EUR | 13857606 | 16203477 |
|  |  |  | **24550803** |
| **Israel–0.05%** | **Israel–0.05%** | **Israel–0.05%** | **Israel–0.05%** |
| &nbsp;&nbsp; Israel Government <br> International Bonds 5.75% <br> 3/12/54<br>|  | 633000 | 598782 |
|  |  |  | **598782** |
| **Italy–6.40%** | **Italy–6.40%** | **Italy–6.40%** | **Italy–6.40%** |
| 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 | 12093956 | 12816255 |
| &nbsp;&nbsp; 0.40% 5/15/30 | EUR | 9500927 | 10856296 |
| &nbsp;&nbsp; 1.25% 9/15/32 | EUR | 11635595 | 13669248 |
| &nbsp;&nbsp; 1.30% 5/15/28 | EUR | 10309716 | 12265476 |
| &nbsp;&nbsp; 1.50% 5/15/29 | EUR | 10558810 | 12639378 |
| &nbsp;&nbsp; 2.35% 9/15/35 | EUR | 10486226 | 13220579 |
|  |  |  | **75467232** |
| **Japan–3.14%** | **Japan–3.14%** | **Japan–3.14%** | **Japan–3.14%** |
| 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 | 408638616 | 2843170 |

---

*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>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **Japan (continued)** | **Japan (continued)** | **Japan (continued)** | **Japan (continued)** |
| Japan Government CPI Linked Bonds (continued) | Japan Government CPI Linked Bonds (continued) | Japan Government CPI Linked Bonds (continued) | Japan Government CPI Linked Bonds (continued) |
| &nbsp;&nbsp; 0.01% 3/10/32 | JPY | 457062234 | $3141197 |
| &nbsp;&nbsp; 0.01% 3/10/33 | JPY | 490379780 | 3350826 |
| &nbsp;&nbsp; 0.01% 3/10/34 | JPY | 494454808 | 3335500 |
| &nbsp;&nbsp; 0.01% 3/10/35 | JPY | 247286520 | 1663876 |
| &nbsp;&nbsp; 0.10% 3/10/27 | JPY | 706614408 | 4873461 |
| &nbsp;&nbsp; 0.10% 3/10/28 | JPY | 792901828 | 5444008 |
| &nbsp;&nbsp; 0.10% 3/10/29 | JPY | 770898225 | 5311120 |
| &nbsp;&nbsp; 0.20% 3/10/30 | JPY | 311433640 | 2219359 |
| Japan Government Thirty Year Bonds | Japan Government Thirty Year Bonds | Japan Government Thirty Year Bonds | Japan Government Thirty Year Bonds |
| &nbsp;&nbsp; 2.30% 12/20/54 | JPY | 468200000 | 2699404 |
| &nbsp;&nbsp; 2.40% 3/20/55 | JPY | 354100000 | 2087103 |
|  |  |  | **36969024** |
| **Mexico–0.40%** | **Mexico–0.40%** | **Mexico–0.40%** | **Mexico–0.40%** |
| Mexico Government International Bonds | Mexico Government International Bonds | Mexico Government International Bonds | Mexico Government International Bonds |
| &nbsp;&nbsp; 3.50% 2/12/34 |  | 1762000 | 1530297 |
| &nbsp;&nbsp; 4.88% 5/19/33 |  | 400000 | 386972 |
| &nbsp;&nbsp; 6.35% 2/9/35 |  | 1321000 | 1395003 |
| &nbsp;&nbsp; 6.88% 5/13/37 |  | 1294000 | 1395579 |
|  |  |  | **4707851** |
| **New Zealand–0.44%** | **New Zealand–0.44%** | **New Zealand–0.44%** | **New Zealand–0.44%** |
| 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 | 2891633 |
| &nbsp;&nbsp; 3.00% 9/20/30 | NZD | 2717000 | 2281467 |
|  |  |  | **5173100** |
| **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 | 852312 |
| &nbsp;&nbsp; 7.60% 8/12/39 | PEN | 2256000 | 709966 |
|  |  |  | **1562278** |
| **Spain–3.70%** | **Spain–3.70%** | **Spain–3.70%** | **Spain–3.70%** |
| 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 | 11242695 | 13242260 |
| &nbsp;&nbsp; 0.70% 11/30/33 | EUR | 13557333 | 15290551 |
| &nbsp;&nbsp; 1.00% 11/30/30 | EUR | 12748672 | 15074530 |
|  |  |  | **43607341** |
| **Sweden–0.70%** | **Sweden–0.70%** | **Sweden–0.70%** | **Sweden–0.70%** |
| 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 | 2259972 |
| &nbsp;&nbsp; 0.13% 6/1/30 | SEK | 9855000 | 1264197 |
| &nbsp;&nbsp; 0.13% 6/1/32 | SEK | 15300000 | 2095020 |
| &nbsp;&nbsp; 3.50% 12/1/28 | SEK | 14075000 | 2645624 |
|  |  |  | **8264813** |
| **United Kingdom–12.49%** | **United Kingdom–12.49%** | **United Kingdom–12.49%** | **United Kingdom–12.49%** |
| 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 | 13299856 | 17658869 |
| &nbsp;&nbsp; 0.13% 3/22/29 | GBP | 13459394 | 17701829 |
| &nbsp;&nbsp; 0.13% 8/10/31 | GBP | 8713470 | 11150691 |
| &nbsp;&nbsp; 0.75% 11/22/33 | GBP | 10212509 | 13060762 |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** | **ΔSOVEREIGN BONDS (continued)** |
| **United Kingdom (continued)** | **United Kingdom (continued)** | **United Kingdom (continued)** | **United Kingdom (continued)** |
| U.K. Inflation-Linked Gilts (continued) | U.K. Inflation-Linked Gilts (continued) | U.K. Inflation-Linked Gilts (continued) | U.K. Inflation-Linked Gilts (continued) |
| &nbsp;&nbsp; 0.75% 3/22/34 | GBP | 12845597 | $16248544 |
| &nbsp;&nbsp; 1.13% 9/22/35 | GBP | 6188290 | 7904067 |
| &nbsp;&nbsp; 1.25% 11/22/27 | GBP | 15051418 | 20559422 |
| &nbsp;&nbsp; 1.25% 11/22/32 | GBP | 13723785 | 18491663 |
| &nbsp;&nbsp; 2.00% 1/26/35 | GBP | 4115000 | 13150235 |
| &nbsp;&nbsp; 4.13% 7/22/30 | GBP | 2464000 | 11291034 |
|  |  |  | **147217116** |
| **Total Sovereign Bonds** <br>**(Cost $477,694,089)**<br>|  |  | **481275090** |
| **U.S. TREASURY OBLIGATIONS–57.70%** | **U.S. TREASURY OBLIGATIONS–57.70%** | **U.S. TREASURY OBLIGATIONS–57.70%** | **U.S. TREASURY OBLIGATIONS–57.70%** |
| U.S. Treasury Inflation Indexed Bonds | 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 |  | 12011632 | 12207806 |
| &nbsp;&nbsp; 2.38% 1/15/27 |  | 12953999 | 13182017 |
| &nbsp;&nbsp; 2.50% 1/15/29 |  | 10838922 | 11324804 |
| &nbsp;&nbsp; 3.38% 4/15/32 |  | 4602527 | 5150252 |
| &nbsp;&nbsp; 3.63% 4/15/28 |  | 16732793 | 17798732 |
| &nbsp;&nbsp; 3.88% 4/15/29 |  | 19504491 | 21321801 |
| U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes | U.S. Treasury Inflation Indexed Notes |
| &nbsp;&nbsp; 0.13% 10/15/26 |  | 22301260 | 22177785 |
| &nbsp;&nbsp; 0.13% 4/15/27 |  | 17541238 | 17298211 |
| &nbsp;&nbsp; 0.13% 1/15/30 |  | 20800697 | 19856555 |
| &nbsp;&nbsp; 0.13% 7/15/30 |  | 27366609 | 26018056 |
| &nbsp;&nbsp; 0.13% 1/15/31 |  | 26527147 | 24907120 |
| &nbsp;&nbsp; 0.13% 7/15/31 |  | 29111608 | 27183795 |
| &nbsp;&nbsp; 0.13% 1/15/32 |  | 29875565 | 27506489 |
| &nbsp;&nbsp; 0.25% 7/15/29 |  | 25089240 | 24336165 |
| &nbsp;&nbsp; 0.38% 1/15/27 |  | 17415397 | 17279212 |
| &nbsp;&nbsp; 0.38% 7/15/27 |  | 22429542 | 22277077 |
| &nbsp;&nbsp; 0.50% 1/15/28 |  | 25878808 | 25577990 |
| &nbsp;&nbsp; 0.63% 7/15/32 |  | 27306920 | 25842777 |
| &nbsp;&nbsp; 0.75% 7/15/28 |  | 24124040 | 24012490 |
| &nbsp;&nbsp; 0.88% 1/15/29 |  | 313433 | 311031 |
| &nbsp;&nbsp; 1.13% 1/15/33 |  | 24936853 | 24167579 |
| &nbsp;&nbsp; 1.25% 4/15/28 |  | 21910548 | 21994204 |
| &nbsp;&nbsp; 1.38% 7/15/33 |  | 25638801 | 25242378 |
| &nbsp;&nbsp; 1.63% 10/15/27 |  | 22305127 | 22662620 |
| &nbsp;&nbsp; 1.63% 10/15/29 |  | 24228232 | 24707457 |
| &nbsp;&nbsp; 1.63% 4/15/30 |  | 36445465 | 37003632 |
| &nbsp;&nbsp; 1.75% 1/15/34 |  | 27257725 | 27384640 |
| &nbsp;&nbsp; 1.88% 7/15/34 |  | 27498173 | 27897221 |
| &nbsp;&nbsp; 1.88% 7/15/35 |  | 19351191 | 19507862 |
| &nbsp;&nbsp; 2.13% 4/15/29 |  | 22694160 | 23424561 |
| &nbsp;&nbsp; 2.13% 1/15/35 |  | 33415096 | 34399044 |
| &nbsp;&nbsp; 2.38% 10/15/28 |  | 6122188 | 6376756 |
| **Total U.S. Treasury** <br> **Obligations** <br>**(Cost $678,295,647)**<br>|  |  | **680338119** |

---

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

*LVIP BlackRock Inflation Protected Bond Fund–4*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Shares**<br>| **Value**<br> **(U.S. $)**<br>|
| **MONEY MARKET FUND–0.50%** | **MONEY MARKET FUND–0.50%** | **MONEY MARKET FUND–0.50%** |
| &nbsp;&nbsp; State Street Institutional <br> U.S. Government Money <br> Market Fund - Premier Class <br> (seven-day effective yield <br> 4.09%)<br>| 5903745 | $5903745 |
| **Total Money Market Fund** <br>**(Cost $5,903,745)** | **Total Money Market Fund** <br>**(Cost $5,903,745)** | **5903745** |

---

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

---

| |
|:---|
| **Number of** <br>**Contracts**<br>|
| **OPTIONS PURCHASED–0.01%** |

---

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

**Over-The-Counter–0.01%**<br>

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

---

| | | |
|:---|:---|:---|
| **Barrier Options–0.00%** | **Barrier Options–0.00%** | **Barrier Options–0.00%** |
| &nbsp;&nbsp; USD vs JPY, Strike price <br> $150.000, expiration date <br> 11/20/25, notional amount <br> $1,837,950,000 BRC<br>| 12253000 | 2831 |
| **Put Options–0.01%** | **Put Options–0.01%** | **Put Options–0.01%** |
| &nbsp;&nbsp; USD vs JPY Strike price <br> $7.000, expiration date <br> 1/16/26, notional amount <br> $184,597,000 SCB<br>| 26371000 | 77926 |

---

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

---

| | | |
|:---|:---|:---|
|  | **Notional** <br>**Amount**<br>| **Value**<br> **(U.S. $)**<br>|
| **Put Swaptions–0.00%** | **Put Swaptions–0.00%** | **Put Swaptions–0.00%** |
| &nbsp;&nbsp; 30 Year Interest Rate Swap, <br> expiration date 10/14/25, <br> notional amount $16,479,000 <br> CBK<br>| 16479000 | $1028 |
|  |  | **81785** |

---

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

---

| |
|:---|
| **Number of** <br>**Contracts**<br>|
| **Centrally Cleared–0.00%** |

---

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

---

| | | |
|:---|:---|:---|
| **Put Options–0.00%** | **Put Options–0.00%** | **Put Options–0.00%** |
| &nbsp;&nbsp; CBOT U.S. Long Bond Futures <br> Strike price $111.000, <br> expiration date 10/24/25, <br> notional amount <br> $30,636,000<br>| 276 | 21562 |
| **Total Options Purchased** <br>**(Cost $698,628)** | **Total Options Purchased** <br>**(Cost $698,628)** | **103347** |

---

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

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

---

| | |
|:---|:---|
| **TOTAL INVESTMENTS–113.82% (Cost $1,335,281,426)** | **1341947367** |

---

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

---

| | |
|:---|:---|
| **Number of** <br>**Contracts**<br>| **Value** <br>**(U.S. $)**<br>|
| **OPTIONS WRITTEN–(0.02)%** | **OPTIONS WRITTEN–(0.02)%** |
| **Over-The-Counter–(0.02)%** | **Over-The-Counter–(0.02)%** |

---

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

---

| | | |
|:---|:---|:---|
| **Put Options–(0.00)%** | **Put Options–(0.00)%** | **Put Options–(0.00)%** |
| USD vs JPY Strike price $6.850, expiration date 1/16/26, notional amount $(180641350) SCB | (26371000)<br>| $(17167)<br>|

---

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

---

| | | |
|:---|:---|:---|
|  | **Notional** <br>**Amount**<br>|  |
| **Call Swaptions–(0.00)%** | **Call Swaptions–(0.00)%** | **Call Swaptions–(0.00)%** |
| 10 Year Interest Rate Swap, expiration date 12/30/25, notional amount $(3300000) DB | (3300000)<br>| (12141)<br>|
| **Put Swaptions–(0.02)%** | **Put Swaptions–(0.02)%** | **Put Swaptions–(0.02)%** |
| 10 Year Interest Rate Swap, expiration date 12/30/25, notional amount $(3300000) DB | (3300000)<br>| (11949)<br>|
| 2 Year Interest Rate Swap, expiration date 9/20/27, notional amount $(54991000) CBK | (54991000)<br>| (152875)<br>|
|  |  | **(164824)**<br>|

---

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

---

| |
|:---|
| **Number of** <br>**Contracts**<br>|
| **Centrally Cleared–(0.00)%** |

---

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

---

| | | |
|:---|:---|:---|
| **Put Options–(0.00)%** | **Put Options–(0.00)%** | **Put Options–(0.00)%** |
| CBOT U.S. Long Bond Futures Strike price $106.000, expiration date 10/24/25, notional amount $(29256000) | (276)<br>| (4313)<br>|
| **Total Options Written** <br>**(Premiums received $(303592))** | **Total Options Written** <br>**(Premiums received $(303592))** | **(198445)**<br>|

---

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

---

| | |
|:---|:---|
| **LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(13.80%)** | **(162753028)**<br>|
| **NET ASSETS APPLICABLE TO 124,696,141 SHARES OUTSTANDING –100.00%** | **$1178995894** |

---

&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)**

------

---

| |
|:---|
| °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 September 30, 2025. 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. |
| μFixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2025. Rate will reset at a future date. |
| φStep coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at September 30, 2025. |
| &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. |

---

&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> September 30, 2025:<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; 213344000 | USD | &nbsp;&nbsp; (250112580)<br>| 10/2/25 | &nbsp;&nbsp; $394858 | &nbsp;&nbsp; $— |
| BNP | EUR | &nbsp;&nbsp; (213344000)<br>| USD | &nbsp;&nbsp; 250616306 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (401112)<br>|
| BNY | EUR | &nbsp;&nbsp; (1592000)<br>| USD | &nbsp;&nbsp; 1875367 | 11/4/25 | &nbsp;&nbsp; 2243 | &nbsp;&nbsp; — |
| BNY | GBP | &nbsp;&nbsp; (5256000)<br>| USD | &nbsp;&nbsp; 7063951 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (6070)<br>|
| BOA | AUD | &nbsp;&nbsp; 19646000 | USD | &nbsp;&nbsp; (12893856)<br>| 10/2/25 | &nbsp;&nbsp; 106299 | &nbsp;&nbsp; — |
| BOA | AUD | &nbsp;&nbsp; (19646000)<br>| USD | &nbsp;&nbsp; 12900031 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (106268)<br>|
| BOA | GBP | &nbsp;&nbsp; 681000 | USD | &nbsp;&nbsp; (920998)<br>| 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (5110)<br>|
| BOA | JPY | &nbsp;&nbsp; (87496000)<br>| USD | &nbsp;&nbsp; 596290 | 10/2/25 | &nbsp;&nbsp; 4516 | &nbsp;&nbsp; — |
| BOA | NZD | &nbsp;&nbsp; (3838000)<br>| USD | &nbsp;&nbsp; 2255689 | 10/2/25 | &nbsp;&nbsp; 30454 | &nbsp;&nbsp; — |
| BRC | BRL | &nbsp;&nbsp; 24596052 | USD | &nbsp;&nbsp; (4450002)<br>| 12/17/25 | &nbsp;&nbsp; 86713 | &nbsp;&nbsp; — |
| BRC | CAD | &nbsp;&nbsp; (225778)<br>| USD | &nbsp;&nbsp; 162530 | 11/4/25 | &nbsp;&nbsp; 13 | &nbsp;&nbsp; — |
| BRC | EUR | &nbsp;&nbsp; 1113000 | USD | &nbsp;&nbsp; (1304383)<br>| 10/2/25 | &nbsp;&nbsp; 2496 | &nbsp;&nbsp; — |
| BRC | GBP | &nbsp;&nbsp; 395343 | USD | &nbsp;&nbsp; (534286)<br>| 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (2583)<br>|
| BRC | GBP | &nbsp;&nbsp; 104077000 | USD | &nbsp;&nbsp; (139869080)<br>| 10/2/25 | &nbsp;&nbsp; 105716 | &nbsp;&nbsp; — |
| BRC | GBP | &nbsp;&nbsp; (104077000)<br>| USD | &nbsp;&nbsp; 139894163 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (103300)<br>|
| BRC | JPY | &nbsp;&nbsp; (21003524)<br>| USD | &nbsp;&nbsp; 143526 | 10/2/25 | &nbsp;&nbsp; 1470 | &nbsp;&nbsp; — |
| BRC | NZD | &nbsp;&nbsp; (131110)<br>| USD | &nbsp;&nbsp; 76228 | 11/4/25 | &nbsp;&nbsp; 111 | &nbsp;&nbsp; — |
| BRC | NZD | &nbsp;&nbsp; (4991000)<br>| USD | &nbsp;&nbsp; 2894063 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (3477)<br>|
| CBA | AUD | &nbsp;&nbsp; (14558000)<br>| USD | &nbsp;&nbsp; 9505777 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (127546)<br>|
| CBA | EUR | &nbsp;&nbsp; 7484000 | USD | &nbsp;&nbsp; (8810463)<br>| 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (22788)<br>|
| CBK | NZD | &nbsp;&nbsp; 3811000 | USD | &nbsp;&nbsp; (2203112)<br>| 10/2/25 | &nbsp;&nbsp; 6468 | &nbsp;&nbsp; — |
| CBK | NZD | &nbsp;&nbsp; (3811000)<br>| USD | &nbsp;&nbsp; 2205953 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (6535)<br>|
| CBK | PEN | &nbsp;&nbsp; (5309205)<br>| USD | &nbsp;&nbsp; 1518000 | 12/17/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (8012)<br>|
| DB | CAD | &nbsp;&nbsp; (11205000)<br>| USD | &nbsp;&nbsp; 8154268 | 10/2/25 | &nbsp;&nbsp; 102189 | &nbsp;&nbsp; — |
| DB | EUR | &nbsp;&nbsp; (226823000)<br>| USD | &nbsp;&nbsp; 265329061 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (1005351)<br>|
| DB | JPY | &nbsp;&nbsp; (36468000)<br>| USD | &nbsp;&nbsp; 247858 | 10/2/25 | &nbsp;&nbsp; 1209 | &nbsp;&nbsp; — |
| DB | JPY | &nbsp;&nbsp; 5494860000 | USD | &nbsp;&nbsp; (36958870)<br>| 10/2/25 | &nbsp;&nbsp; 205310 | &nbsp;&nbsp; — |
| DB | JPY | &nbsp;&nbsp; (5494860000)<br>| USD | &nbsp;&nbsp; 37087488 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (211303)<br>|
| GSI | CAD | &nbsp;&nbsp; 11174000 | USD | &nbsp;&nbsp; (8018647)<br>| 10/2/25 | &nbsp;&nbsp; 11156 | &nbsp;&nbsp; — |
| GSI | CAD | &nbsp;&nbsp; (11174000)<br>| USD | &nbsp;&nbsp; 8031342 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (11768)<br>|
| GSI | DKK | &nbsp;&nbsp; 23038000 | USD | &nbsp;&nbsp; (3615704)<br>| 10/2/25 | &nbsp;&nbsp; 8248 | &nbsp;&nbsp; — |
| GSI | DKK | &nbsp;&nbsp; (23038000)<br>| USD | &nbsp;&nbsp; 3624130 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (8406)<br>|
| GSI | GBP | &nbsp;&nbsp; (109761000)<br>| USD | &nbsp;&nbsp; 148354416 | 10/2/25 | &nbsp;&nbsp; 735118 | &nbsp;&nbsp; — |
| HSBC | AUD | &nbsp;&nbsp; (145207)<br>| USD | &nbsp;&nbsp; 95087 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (999)<br>|
| HSBC | AUD | &nbsp;&nbsp; (142511)<br>| USD | &nbsp;&nbsp; 94493 | 11/4/25 | &nbsp;&nbsp; 146 | &nbsp;&nbsp; — |
| HSBC | DKK | &nbsp;&nbsp; (23038000)<br>| USD | &nbsp;&nbsp; 3609026 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (14926)<br>|
| HSBC | EUR | &nbsp;&nbsp; (203606)<br>| USD | &nbsp;&nbsp; 238114 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (959)<br>|
| HSBC | EUR | &nbsp;&nbsp; 3445000 | USD | &nbsp;&nbsp; (4071861)<br>| 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (26759)<br>|
| HSBC | EUR | &nbsp;&nbsp; 1920000 | USD | &nbsp;&nbsp; (2251515)<br>| 10/2/25 | &nbsp;&nbsp; 2939 | &nbsp;&nbsp; — |
| JPM | EUR | &nbsp;&nbsp; (279581)<br>| USD | &nbsp;&nbsp; 327878 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (404)<br>|
| JPM | EUR | &nbsp;&nbsp; (499566)<br>| USD | &nbsp;&nbsp; 588161 | 11/4/25 | &nbsp;&nbsp; 379 | &nbsp;&nbsp; — |

---

*LVIP BlackRock Inflation Protected Bond Fund–6*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**Foreign Currency Exchange Contracts (continued)**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **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>|
| JPM | JPY | &nbsp;&nbsp; 22055207 | USD | &nbsp;&nbsp; (149859)<br>| 11/4/25 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(150)<br>|
| JPM | MXN | &nbsp;&nbsp; 42890949 | USD | &nbsp;&nbsp; (2283000)<br>| 12/17/25 | &nbsp;&nbsp; 39533 | &nbsp;&nbsp; — |
| MSC | GBP | &nbsp;&nbsp; 742000 | USD | &nbsp;&nbsp; (1002506)<br>| 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (4578)<br>|
| MSC | GBP | &nbsp;&nbsp; (430337)<br>| USD | &nbsp;&nbsp; 579439 | 11/4/25 | &nbsp;&nbsp; 578 | &nbsp;&nbsp; — |
| NWMP | SEK | &nbsp;&nbsp; (78654000)<br>| USD | &nbsp;&nbsp; 8306102 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (49679)<br>|
| RBC | AUD | &nbsp;&nbsp; (4943000)<br>| USD | &nbsp;&nbsp; 3238239 | 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (32644)<br>|
| UBS | JPY | &nbsp;&nbsp; (5365065000)<br>| USD | &nbsp;&nbsp; 36636509 | 10/2/25 | &nbsp;&nbsp; 350190 | &nbsp;&nbsp; — |
| UBS | SEK | &nbsp;&nbsp; 78654000 | USD | &nbsp;&nbsp; (8350702)<br>| 10/2/25 | &nbsp;&nbsp; 5079 | &nbsp;&nbsp; — |
| UBS | SEK | &nbsp;&nbsp; (78654000)<br>| USD | &nbsp;&nbsp; 8368609 | 11/4/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (5442)<br>|
| WBC | GBP | &nbsp;&nbsp; 3847000 | USD | &nbsp;&nbsp; (5216244)<br>| 10/2/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (42353)<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; $2203431 | &nbsp;&nbsp; $(2208522)<br>|

---

**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:** |
| (171) | CBOT 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; $(19237500)<br>| &nbsp;&nbsp; $(19265663)<br>| &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; $28164 | &nbsp;&nbsp; $— |
| (327) | CBOT 2 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; (68146289)<br>| &nbsp;&nbsp; (68110233)<br>| &nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (36056)<br>|
| (23) | CBOT 5 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; (2511492)<br>| &nbsp;&nbsp; (2510882)<br>| &nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (610)<br>|
| (66) | CBOT U.S. Long Bond Futures | &nbsp;&nbsp; (7695188)<br>| &nbsp;&nbsp; (7540667)<br>| &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (154521)<br>|
| 63 | Eurex 10 Year Euro BUND Futures | &nbsp;&nbsp; 9509705 | &nbsp;&nbsp; 9499904 | &nbsp;&nbsp; 12/8/25 | &nbsp;&nbsp; 9801 | &nbsp;&nbsp; — |
| 38 | Montreal Exchange 10 Year Canadian Bond Futures | &nbsp;&nbsp; 3343738 | &nbsp;&nbsp; 3337519 | &nbsp;&nbsp; 12/18/25 | &nbsp;&nbsp; 6219 | &nbsp;&nbsp; — |
| 201 | SFE 10 Year Australian Bond Futures | &nbsp;&nbsp; 15075961 | &nbsp;&nbsp; 15133398 | &nbsp;&nbsp; 12/15/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (57437)<br>|
| (413) | Ultra 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; (47527266)<br>| &nbsp;&nbsp; (47249734)<br>| &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; — | &nbsp;&nbsp; (277532)<br>|
| (8) | Ultra U.S. Treasury Bond Futures | &nbsp;&nbsp; (960500)<br>| &nbsp;&nbsp; (967409)<br>| &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; 6909 | &nbsp;&nbsp; — |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | &nbsp;&nbsp; $51093 | &nbsp;&nbsp; $(526156)<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>|
| BOA-collateralized by U.S. Treasury Inflation <br> Indexed Notes 1.875% 7/15/35; market value <br> $11,523,432<br>| 4.28<br> %<br>| &nbsp;&nbsp; 9/30/25 | &nbsp;&nbsp; 10/1/25 | &nbsp;&nbsp; $(11522063)<br>| &nbsp;&nbsp; $(11523432)<br>|
| FRB-collateralized by U.S. Treasury Inflation <br> Indexed Notes 0.625% 7/15/32; market value <br> $21,077,506<br>| 4.28<br> %<br>| &nbsp;&nbsp; 9/30/25 | &nbsp;&nbsp; 10/1/25 | &nbsp;&nbsp; (21075000)<br>| &nbsp;&nbsp; (21077506)<br>|
| FRB-collateralized by U.S. Treasury Inflation <br> Indexed Notes 1.625% 4/15/30; market value <br> $36,316,736<br>| 4.20<br> %<br>| &nbsp;&nbsp; 9/30/25 | &nbsp;&nbsp; 10/1/25 | &nbsp;&nbsp; (36312500)<br>| &nbsp;&nbsp; (36316736)<br>|
| FRB-collateralized by U.S. Treasury Inflation <br> Indexed Notes 2.125% 1/15/35; market value <br> $15,883,156<br>| 4.32<br> %<br>| &nbsp;&nbsp; 9/30/25 | &nbsp;&nbsp; 10/1/25 | &nbsp;&nbsp; (15881250)<br>| &nbsp;&nbsp; (15883156)<br>|
| **Total Reverse Repurchase Agreements** |  |  |  | &nbsp;&nbsp; $(84790813)<br>| &nbsp;&nbsp; $(84800830)<br>|

---

*LVIP BlackRock Inflation Protected Bond Fund–7*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**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 | $126900 | $126900 | $— |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 8260000 | 2.59% | 1/29/27 | 76944 | 76944 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 1524000 | 2.54% | 4/15/29 | 12512 | 12512 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| EUR 1,440,000 | 2.06% | 3/15/35 | (19644) |  | (19644) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity Eurostat Eurozone <br> HICP ex-Tobacco NSA Pay <br> amounts based on Inflation<br>| EUR 1,440,000 | (2.02%) | 3/15/35 | 30677 | 30677 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 1516000 | 2.69% | 4/15/29 | 1127 | 1127 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 1516000 | 2.68% | 4/15/29 | 1202 | 1202 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 3032000 | 2.72% | 4/15/29 | (3520) |  | (3520) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 1985000 | 2.67% | 4/15/29 | 2996 | 2996 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 2022175 | 2.65% | 4/15/29 | 5199 | 5199 |  |
| &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 | 37651 | 37651 |  |
| &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 | 14775 | 14775 |  |
| &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 | 30158 | 30158 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 7270000 | 2.69% | 7/17/30 | (6558) |  | (6558) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 2385000 | 2.70% | 7/22/30 | (3413) |  | (3413) |
| &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 | 46357 | 46357 |  |
| &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 | 17994 | 17994 |  |
| &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 | 40186 | 40186 |  |

---

*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 | 3.35% | 7/15/30 | $14718 | $14718 | $— |
| &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 | 15999 | 15999 |  |
| &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 | 3825 | 3825 |  |
| &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 | 14074 | 14074 |  |
| &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 | 2966 | 2966 |  |
| &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 | 25810 | 25810 |  |
| &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 | 5352 | 5352 |  |
| &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 | 2447 | 2447 |  |
| &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 | (1578) |  | (1578) |
| &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 | 28307 | 28307 |  |
| &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 | 7863 | 7863 |  |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion USA-CPI-U Index and pay <br> fixed rate coupon at maturity<br>| 2394000 | 2.75% | 4/15/29 | (5984) |  | (5984) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion Eurostat Eurozone HICP <br> ex-Tobacco NSA and pay fixed <br> rate coupon at maturity<br>| EUR 344,883 | 2.24% | 8/15/55 | (2245) |  | (2245) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion Eurostat Eurozone HICP <br> ex-Tobacco NSA and pay fixed <br> rate coupon at maturity<br>| EUR 679,470 | 2.23% | 8/15/55 | (3056) |  | (3056) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion Eurostat Eurozone HICP <br> ex-Tobacco NSA and pay fixed <br> rate coupon at maturity<br>| EUR 517,324 | 2.24% | 8/15/55 | (2996) |  | (2996) |
| &nbsp;&nbsp; Receive amounts based on Infla-<br> tion Eurostat Eurozone HICP <br> ex-Tobacco NSA and pay fixed <br> rate coupon at maturity<br>| EUR 517,323 | 2.24% | 8/15/55 | (2773) |  | (2773) |

---

*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; 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 | $4183 | $4183 | $— |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 5,595,000 | (3.20%) | 7/15/27 | (39688) |  | (39688) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 2,570,000 | (3.20%) | 7/15/35 | (12137) |  | (12137) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 5,600,000 | (3.23%) | 7/15/27 | (36683) |  | (36683) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 2,570,000 | (3.21%) | 7/15/35 | (7726) |  | (7727) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 3,274,200 | (3.28%) | 7/15/27 | (16784) |  | (16784) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 1,428,900 | (3.24%) | 7/15/35 | 569 | 569 |  |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 1,457,478 | (3.24%) | 7/15/35 | 226 | 226 |  |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 3,339,684 | (3.30%) | 7/15/27 | (15383) |  | (15383) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 2,855,037 | (3.24%) | 7/15/35 | 86 | 86 |  |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 6,542,070 | (3.32%) | 7/15/27 | (28006) |  | (28006) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 1,400,296 | (3.27%) | 7/15/35 | 4630 | 4630 |  |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 3,208,657 | (3.43%) | 7/15/27 | (4380) |  | (4380) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 5,463,389 | (3.26%) | 8/15/27 | (19229) |  | (19229) |
| &nbsp;&nbsp; and receive fixed rate coupon at <br> maturity UK-RPI Index Pay <br> amounts based on Inflation<br>| GBP 2,384,289 | (3.20%) | 8/15/35 | (5937) |  | (5937) |
| **Total Inflation Swap Contracts** | **Total Inflation Swap Contracts** | **Total Inflation Swap Contracts** | **Total Inflation Swap Contracts** | $338013 | $575733 | $(237721) |

---

*LVIP BlackRock Inflation Protected Bond Fund–10*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

**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 | Annual | 5/16/26 | $51546 | $21 | $51525 | $— |
| JPY 1,550,827,780 | 1.00 | TONAR12M | Receive | At Maturity | 3/12/27 | (3080) | 25 |  | (3105) |
| JPY 3,795,163,587 | 1.03 | TONAR12M | Receive | At Maturity | 3/12/27 | (14888) | 60 |  | (14948) |
| JPY 3,515,881,659 | 1.02 | TONAR12M | Receive | At Maturity | 3/12/27 | (11905) | 55 |  | (11960) |
| 22150000 | 3.80 | SOFR12M | Pay | Annual | 5/16/26 | (50153) | 21 |  | (50174) |
| 16998000 | 3.81 | SOFR12M | Receive | Annual | 5/16/26 | 36112 | 6615 | 29497 |  |
| 16998000 | 3.90 | SOFR12M | Pay | Annual | 5/16/26 | (21521) | 17 |  | (21538) |
| JPY 873,615,000 | 1.01 | TONAR12M | Pay | At Maturity | 9/11/27 | (6621) | 19 |  | (6640) |
| JPY 1,488,149,736 | 0.68 | TONAR12M | Receive | At Maturity | 4/21/27 | 32169 | 27 | 32142 |  |
| JPY 1,505,547,170 | 0.69 | TONAR12M | Receive | At Maturity | 4/21/27 | 32344 | 27 | 32317 |  |
| JPY 1,188,378,566 | 0.70 | TONAR12M | Receive | At Maturity | 5/11/27 | 25943 | 21 | 25922 |  |
| JPY 181,514,970 | 1.30 | TONAR12M | Receive | Annual | 8/13/35 | 20289 | 21 | 20268 |  |
| JPY 182,609,644 | 1.30 | TONAR12M | Receive | Annual | 8/13/35 | 20640 | 21 | 20619 |  |
| JPY 101,298,386 | 1.29 | TONAR12M | Receive | Annual | 8/13/35 | 11755 | 12 | 11743 |  |
| JPY 101,693,700 | 2.04 | TONAR12M | Pay | Annual | 8/12/45 | (10792) | 19 |  | (10811) |
| JPY 102,273,889 | 2.04 | TONAR12M | Pay | Annual | 8/12/45 | (11876) | 19 |  | (11895) |
| JPY 63,647,411 | 2.03 | TONAR12M | Pay | Annual | 8/12/45 | (7206) | 12 |  | (7218) |
| **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** | **Total IRS Contracts** |  | $7012 | $224033 | $(138289) |

---

&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 September 30, 2025. |
| &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 |
| BNY–BNY Mellon |
| BOA–Bank of America |
| BRC–Barclays Bank |
| BRL–Brazilian Real |
| 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 |
| FRB–Federal Reserve Bank of Boston  |
| GBP–British Pound Sterling |
| GSI–Goldman Sachs International |
| HSBC–Hong Kong and Shanghai Banking Corporation |
| IRS–Interest Rate Swap |
| 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 |

---

*LVIP BlackRock Inflation Protected Bond Fund–11*

------

**LVIP BlackRock Inflation Protected Bond Fund**

**Schedule of Investments (continued)**

---

| |
|:---|
| **Summary of Abbreviations: (continued)** |
| SEK–Swedish Krona |
| SFE–Sydney Futures Exchange |
| SOFR–Secured Overnight Financing Rate |
| SOFR12M–Secured Overnight Financing Rate 12 Months |
| TBA–To be announced |
| TONAR12M–Tokyo Overnight Average Rate 12 Month |
| UK-RPI–United Kingdom Retail Price Index |
| USA-CPI-U–United States Consumer Price Index for All Urban Consumers |
| USD–United States Dollar |
| WBC–Westpac Banking Corporation |

---

*LVIP BlackRock Inflation Protected Bond Fund–12*

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $1375607903.66

**Total Liabilities:** $197169998.34

**Net Assets:** $1178437905.32

**Delayed Delivery Securities:** $1267000.00

**Cash Not Reported:** $3291199.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -324.52000000 | **1-Year:** -2177.77000000 | **5-Year:** -7205.21000000 | **10-Year:** -11491.35000000 | **30-Year:** -2178.24000000

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

- **3-Month:** -27.53000000 | **1-Year:** -684.94000000 | **5-Year:** -124.50000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087492 | 0.22%                | 1.18%                | 0.03%                |
| Class ID C000087493 | 0.20%                | 1.16%                | 0.01%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-56573.51               | $-17784591.76                              |
| Month 2  | $1458612.02              | $18798301.12                               |
| Month 3  | $1706871.07              | $-2310069.46                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    8017790 | PA      | $8925503.75   | 0.76%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24055444 | PA      | $24440989.54  | 2.07%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDQH5939 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDQH5939 IRS EUR P F  2.23300 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     679470 | OU      | $-3017.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7287632 | PA      | $7590659.60   | 0.64%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     644211 | PA      | $822826.23    | 0.07%             | 2035-09-22      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                                                            | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $1043275.10   | 0.09%             | 2034-04-01      | Fixed         | 5.60%                 | 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      | $-27954.10    | -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        |   12845597 | PA      | $16248543.50  | 1.38%             | 2034-03-22      | Fixed         | 0.75%                 | 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      | $174.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DENMARK I/L GOVT BOND                                      | Denmark I/L Government Bond                                                                                        | CUSIP: 000000000<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |   11781090 | PA      | $1780009.04   | 0.15%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $386972.00    | 0.03%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGRZ9U4 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGRZ9U4 IRS USD P F  2.68500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1516000 | OU      | $1144.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc               | BAMLL Trust 2024-BHP                                                                                               | CUSIP: 05493WAA0<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |     770000 | PA      | $773129.74    | 0.07%             | 2039-08-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                             | REVERSE REPO FEDERAL RESERVE B                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -36312500 | PA      | $-36312500.00 | -3.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDHW9XP8 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDHW9XP8 IRS JPY P F   .68500 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1505547170 | OU      | $32344.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR1 Trust                                                                                               | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2467824.75   | 0.21%             | 2039-03-17      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                                                             | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2804000 | PA      | $852312.67    | 0.07%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2022-2                                                                               | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     580753 | PA      | $579309.35    | 0.05%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29111608 | PA      | $27183795.28  | 2.31%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                | Extended Stay America Trust 2025-ESH                                                                               | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267000 | PA      | $1269375.50   | 0.11%             | 2042-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDP8EZM1 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDP8EZM1 IRS JPY P F  1.29875 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  181514970 | OU      | $21644.50     | 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      | $3849.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDDYL1J7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDDYL1J7 IRS USD P F  2.58900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8260000 | OU      | $63002.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $2495.69      | 0.00%             |  |  |  | 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      | $511434.38    | 0.04%             | 2039-06-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                             | REVERSE REPO FEDERAL RESERVE B                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -21075000 | PA      | $-21075000.00 | -1.79%            |  |  |  | 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      | $1152876.38   | 0.10%             | 2041-07-15      | Floating      | 5.84%                 | 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      | $28398.89     | 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      | $709965.69    | 0.06%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |          1 | NC      | $5078.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  494454808 | PA      | $3335499.49   | 0.28%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                             | REVERSE REPO FEDERAL RESERVE B                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -15881250 | PA      | $-15881250.00 | -1.35%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25089240 | PA      | $24336164.52  | 2.07%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12953999 | PA      | $13182017.19  | 1.12%             | 2027-01-15      | 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      | $2181774.21   | 0.19%             | 2039-07-20      | Fixed         | 6.04%                 | 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      | $16054.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | USD/JPY Up-and-in barrier option; Barrier price USD 155.00000                                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |   12253000 | OU      | $2830.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-211302.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27257725 | PA      | $27384640.14  | 2.32%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                            | BRAVO Residential Funding Trust 2023-NQM3                                                                          | CUSIP: 10568EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1157153 | PA      | $1156133.22   | 0.10%             | 2062-09-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUND FUTURE DEC25                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         63 | NC      | $9800.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDQH4GE0 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDQH4GE0 IRS EUR P F  2.24000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     344883 | OU      | $-2225.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   17365317 | PA      | $20938190.69  | 1.78%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26558180 | PA      | $25738890.91  | 2.18%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   10510396 | PA      | $12245832.30  | 1.04%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                           | GWT 2024-WLF2                                                                                                      | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1252342.63   | 0.11%             | 2041-05-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-908.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5184308 | PA      | $5593744.26   | 0.47%             | 2032-03-01      | Fixed         | 0.10%                 | 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      | $-4325.07     | -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      | $14131.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | GB        |          1 | NC      | $-4578.10     | -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        |   15051418 | PA      | $20559422.28  | 1.74%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                         | Japan Government Thirty Year Bonds                                                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  354100000 | PA      | $2087103.26   | 0.18%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGS8CU9 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGS8CU9 IRS USD P F  2.68400 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1516000 | OU      | $1219.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  408638616 | PA      | $2843169.80   | 0.24%             | 2031-03-10      | 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        |   12801486 | PA      | $1847160.62   | 0.16%             | 2034-11-15      | Fixed         | 0.10%                 | 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      | $953219.80    | 0.08%             | 2039-04-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                                                        | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1219891.29   | 0.10%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   10309716 | PA      | $12265476.35  | 1.04%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                        | SG Residential Mortgage Trust 2021-1                                                                               | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1811024 | PA      | $1528933.24   | 0.13%             | 2061-07-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                                                             | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1740000 | PA      | $1776335.36   | 0.15%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDG1F4H0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDG1F4H0 IRS JPY P F  1.02650 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3795163587 | OU      | $-14887.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDP8GJ77 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDP8GJ77 IRS JPY P F  1.29200 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  101298386 | OU      | $12504.96     | 0.00%             |  |  |  | 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      | $2523002.50   | 0.21%             | 2039-06-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4602527 | PA      | $5150251.99   | 0.44%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $4516.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9500927 | PA      | $10856296.10  | 0.92%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $1469.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNH8KS2 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNH8KS2 IRS GBP P F  3.40650 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2855037 | OU      | $5401.35      | 0.00%             |  |  |  | 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      | $1626250.90   | 0.14%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -79 | NC      | $-4020.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   14075000 | PA      | $2645623.50   | 0.22%             | 2028-12-01      | Fixed         | 3.50%                 | 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      | $2886.94      | 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      | $394858.05    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                                                            | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     715000 | PA      | $733440.16    | 0.06%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDJKNYN0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDJKNYN0 IRS JPY P F   .69800 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1188378566 | OU      | $25943.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -66 | NC      | $-154520.84   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-26759.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDL21QS1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDL21QS1 IRS USD P F  2.56150 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2980000 | OU      | $20396.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDNB5XC5 IRS GBP R V 12MUKRPI 1 CCPINFLATIONZERO / Short: BYDNB5XC5 IRS GBP P F  3.34200 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5595000 | OU      | $46793.94     | 0.00%             |  |  |  | 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      | $2451323.75   | 0.21%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | 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      | $126996.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LBA Trust                                                  | LBA Trust 2024-BOLT                                                                                                | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     810000 | PA      | $811013.72    | 0.07%             | 2039-06-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                                     | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1217581.36   | 0.10%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2024-CRE9 Ltd                                                                                                | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     933689 | PA      | $934096.71    | 0.08%             | 2041-05-17      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGX3ML3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGX3ML3 IRS USD P F  2.66950 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1985000 | OU      | $3019.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   12748672 | PA      | $15074529.80  | 1.28%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | 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      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41314236 | PA      | $41654581.44  | 3.53%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | BYDN2ZUL2 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |   26371000 | OU      | $77926.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1321000 | PA      | $1395002.42   | 0.12%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1762000 | PA      | $1530297.00   | 0.13%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-8405.70     | -0.00%            |  |  |  | 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      | $1204522.24   | 0.10%             | 2034-05-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                         | Ellington Financial Mortgage Trust 2021-3                                                                          | CUSIP: 31573JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1477653 | PA      | $1242610.41   | 0.11%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    7788271 | PA      | $9942628.92   | 0.84%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDQK7X83 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDQK7X83 IRS EUR P F  2.23600 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     517323 | OU      | $-2743.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDK3G6C6 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDK3G6C6 IRS USD P F  2.64100 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3032000 | OU      | $8877.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                             | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAA9<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $432733.12    | 0.04%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                        | DBGS 2024-SBL                                                                                                      | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1085000 | PA      | $1088389.87   | 0.09%             | 2034-08-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                             | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $432733.12    | 0.04%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10838922 | PA      | $11324803.96  | 0.96%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-6534.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   15300000 | PA      | $2095020.07   | 0.18%             | 2032-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD 2024-VICT Mortgage Trust                                                                                      | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365000 | PA      | $366140.37    | 0.03%             | 2041-07-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | BYDMX23P4 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   16479000 | NC      | $1027.80      | 0.00%             |  |  |  | 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      | $7910.24      | 0.00%             |  |  |  | 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        |     713339 | PA      | $722958.96    | 0.06%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24124040 | PA      | $24012490.14  | 2.04%             | 2028-07-15      | Fixed         | 0.75%                 | 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      | $-15356.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22694160 | PA      | $23424560.98  | 1.99%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-NQM2 Trust                                                                                               | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797082 | PA      | $806690.32    | 0.07%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | GB        |          1 | NC      | $-5109.98     | -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      | $35900.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | J.P. Morgan Mortgage Trust 2023-DSC1                                                                               | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651770 | PA      | $643090.63    | 0.05%             | 2063-07-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |          1 | NC      | $40764.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 10Y BOND FUT DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        201 | NC      | $-57436.79    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGR9WY8 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGR9WY8 IRS USD P F  2.68750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3032000 | OU      | $1914.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16732793 | PA      | $17798732.26  | 1.51%             | 2028-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-11768.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDG16C73 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDG16C73 IRS JPY P F   .99750 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1550827780 | OU      | $-3080.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $350189.57    | 0.03%             |  |  |  | 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        |    5903745 | NS      | $5903745.33   | 0.50%             |  |  |  | No            |                  1 | 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      | $-40269.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDP8G994 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDP8G994 IRS JPY P F  1.29800 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  182609644 | OU      | $22002.35     | 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      | $30201.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDRGZC95 IRS JPY R F  1.00700 2 CCPOIS / Short: SYDRGZC95 IRS JPY P V 12MTONAR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  873615000 | OU      | $-6621.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR3 Trust                                                                                               | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2180000 | PA      | $2129538.67   | 0.18%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNB5YT7 IRS GBP R F  3.19900 2 CCPINFLATIONZERO / Short: SYDNB5YT7 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570000 | OU      | $-12739.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US BOND FUTR OPTN NOV25P 106                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -276 | NC      | $-4312.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    9855000 | PA      | $1264197.05   | 0.11%             | 2030-06-01      | Fixed         | 0.13%                 | 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      | $612.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDN7R6V0 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDN7R6V0 IRS USD P F  2.70200 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2385000 | OU      | $-3382.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -8 | NC      | $6909.26      | 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        |    8713470 | PA      | $11150690.85  | 0.95%             | 2031-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED MXN / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |          1 | NC      | $39532.83     | 0.00%             |  |  |  | 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      | $688908.14    | 0.06%             | 2042-08-10      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  457062234 | PA      | $3141196.79   | 0.27%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | BYDN2ZY04 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |  -26371000 | OU      | $-17167.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED AUD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |          1 | NC      | $106299.22    | 0.01%             |  |  |  | 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      | $218507.32    | 0.02%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $102188.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20800697 | PA      | $19856554.68  | 1.68%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                | HOMES 2025-AFC1 Trust                                                                                              | CUSIP: 403969AC2<br>LEI: 2549006ZK3R8WZLA9S73 | Long             | ABS-MBS          | CORP              | US        |     676534 | PA      | $685566.48    | 0.06%             | 2060-01-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3731000 | PA      | $3850245.63   | 0.33%             | 2030-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  490379780 | PA      | $3350825.70   | 0.28%             | 2033-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3600000 | PA      | $3286324.85   | 0.28%             | 2035-08-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17415397 | PA      | $17279212.34  | 1.47%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   10212509 | PA      | $13060762.46  | 1.11%             | 2033-11-22      | Fixed         | 0.75%                 | 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      | $149343.68    | 0.01%             | 2036-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe                   | Bundesrepublik Deutschland Bundesanleihe                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     828000 | PA      | $900719.95    | 0.08%             | 2056-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4317701 | PA      | $4335004.59   | 0.37%             | 2055-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   16515000 | PA      | $2259972.43   | 0.19%             | 2027-12-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                              | AEP Texas Inc                                                                                                      | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     805000 | PA      | $837737.22    | 0.07%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   14696691 | PA      | $16869880.93  | 1.43%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-999.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | JP        |          1 | NC      | $205310.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HOMES Trust                                                | HOMES 2025-AFC2 Trust                                                                                              | CUSIP: 43761YAA2<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |    1334289 | PA      | $1342610.42   | 0.11%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22429542 | PA      | $22277076.94  | 1.89%             | 2027-07-15      | Fixed         | 0.38%                 | 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      | $1187783.14   | 0.10%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    4115000 | PA      | $13150235.02  | 1.12%             | 2035-01-26      | Fixed         | 2.00%                 | 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        |     528512 | PA      | $533128.50    | 0.05%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2022-SFR1 Trust                                                                                     | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2489220.25   | 0.21%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $735118.47    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-14925.56    | -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      | $6100.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6435000 | PA      | $5878508.86   | 0.50%             | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-NQM1 Trust                                                                                               | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1032023 | PA      | $1045049.12   | 0.09%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                       | Deutsche Bundesrepublik Inflation Linked Bond                                                                      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   13857606 | PA      | $16203477.23  | 1.37%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                      | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                                    | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182000 | PA      | $184121.76    | 0.02%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mortgage Corp                                     | ABN Amro Mortgage Corp                                                                                             | CUSIP: 000780BZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3375 | PA      | $3329.21      | 0.00%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   11635595 | PA      | $13669248.28  | 1.16%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                             | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | XX        |          1 | NC      | $-4846.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYC Trust                                                  | NYCT Trust 2024-3ELV                                                                                               | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183498 | PA      | $183957.08    | 0.02%             | 2029-08-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | Israel Government International Bond                                                                               | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     633000 | PA      | $598782.17    | 0.05%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27498173 | PA      | $27897220.61  | 2.37%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    4343000 | PA      | $3653702.11   | 0.31%             | 2027-11-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   13557333 | PA      | $15290550.98  | 1.30%             | 2033-11-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2022-INV2                                                                               | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440459 | PA      | $445558.88    | 0.04%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-AIRC                                                                             | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458736 | PA      | $459595.93    | 0.04%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CA        |          1 | NC      | $11155.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-49678.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1294000 | PA      | $1395579.00   | 0.12%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-5755.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-NQM5 Trust                                                                                               | CUSIP: 12663DAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    2281978 | PA      | $2357286.98   | 0.20%             | 2067-05-25      | Variable      | 5.17%                 | 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      | $5469.16      | 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      | $19028.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |          1 | NC      | $45948.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   10558810 | PA      | $12639377.85  | 1.07%             | 2029-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9213573 | PA      | $12245396.52  | 1.04%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Trust 2025-EWEST                                                                                              | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954000 | PA      | $955191.16    | 0.08%             | 2042-06-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-404.31      | -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      | $2032.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   11242695 | PA      | $13242260.29  | 1.12%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9390161 | PA      | $10776869.83  | 0.91%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    4997966 | PA      | $4238413.42   | 0.36%             | 2031-12-01      | Fixed         | 4.00%                 | 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      | $2991.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD PEN                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-8012.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-NQM3 Trust                                                                                               | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1043911 | PA      | $1053561.38   | 0.09%             | 2070-05-25      | Variable      | 5.61%                 | 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      | $-5668.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -201 | NC      | $4812.67      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDP8GJB8 IRS JPY R F  2.03000 2 CCPOIS / Short: SYDP8GJB8 IRS JPY P V 12MTONAR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   63647411 | OU      | $-8122.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2022-SFR1 Trust                                                                                     | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2461621.00   | 0.21%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED NZD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NZ        |          1 | NC      | $6467.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                   | Cheniere Energy Partners LP                                                                                        | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     980000 | PA      | $1018797.63   | 0.09%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-32644.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33415096 | PA      | $34399044.14  | 2.92%             | 2035-01-15      | Fixed         | 2.13%                 | 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        |    1320617 | PA      | $1336642.27   | 0.11%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26527147 | PA      | $24907119.92  | 2.11%             | 2031-01-15      | Fixed         | 0.13%                 | 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      | $2537206.00   | 0.22%             | 2041-05-17      | Fixed         | 5.59%                 | 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      | $25921.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  792901828 | PA      | $5444008.14   | 0.46%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2464000 | PA      | $11291033.53  | 0.96%             | 2030-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $1208.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21910548 | PA      | $21994203.54  | 1.87%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2024-WCL1 MORTGAGE TRUST                                                                                      | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     540000 | PA      | $541063.15    | 0.05%             | 2041-06-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2024-VLT4                                                                                                 | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1078000 | PA      | $1078338.17   | 0.09%             | 2041-06-15      | Floating      | 5.64%                 | 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      | $-1895.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-XL4                                                                              | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515060 | PA      | $516669.14    | 0.04%             | 2039-02-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  770898225 | PA      | $5311120.48   | 0.45%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                             | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | XX        |          1 | NC      | $-17942.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  706614408 | PA      | $4873460.59   | 0.41%             | 2027-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8006280 | PA      | $8037603.85   | 0.68%             | 2055-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                      | REVERSE REPO BANK OF AMERICA                                                                                       | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Short            | RA               | CORP              | US        |  -11522062 | PA      | $-11522062.50 | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13569072 | PA      | $13790682.49  | 1.17%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                       | Cross 2025-H1 Mortgage Trust                                                                                       | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1289731 | PA      | $1305131.24   | 0.11%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                         | Japan Government Thirty Year Bonds                                                                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  468200000 | PA      | $2699404.04   | 0.23%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25638801 | PA      | $25242378.11  | 2.14%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  311433640 | PA      | $2219359.28   | 0.19%             | 2030-03-10      | Fixed         | 0.20%                 | 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      | $-19185.97    | -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        |   13723785 | PA      | $18491663.05  | 1.57%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDG38RU0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDG38RU0 IRS JPY P F  1.01846 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3515881659 | OU      | $-11904.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  247286520 | PA      | $1663876.17   | 0.14%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25878808 | PA      | $25577989.62  | 2.17%             | 2028-01-15      | Fixed         | 0.50%                 | 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        |     215000 | PA      | $211437.04    | 0.02%             | 2036-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -201 | NC      | $-30603.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     313433 | PA      | $311031.25    | 0.03%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   13299857 | PA      | $17658868.76  | 1.50%             | 2028-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR2 Trust                                                                                 | CUSIP: 89616TAD7<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2556090.25   | 0.22%             | 2040-07-17      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                                        | New Zealand Government Inflation Linked Bond                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    2717000 | PA      | $2281467.24   | 0.19%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                        | New Residential Mortgage Loan Trust 2022-SFR2                                                                      | CUSIP: 64830RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2210000 | PA      | $2158693.97   | 0.18%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   12093956 | PA      | $12816254.86  | 1.09%             | 2033-05-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGTYS59 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGTYS59 IRS USD P F  2.72350 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3032000 | OU      | $-3484.86     | -0.00%            |  |  |  | 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        |    1141343 | PA      | $1153268.79   | 0.10%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22301260 | PA      | $22177785.26  | 1.88%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36445465 | PA      | $37003632.31  | 3.14%             | 2030-04-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6412064 | PA      | $7016373.30   | 0.60%             | 2034-07-25      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1958142 | PA      | $2602489.20   | 0.22%             | 2032-07-25      | Fixed         | 3.15%                 | 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      | $-8899.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     767158 | PA      | $880449.67    | 0.07%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                                                        | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1025000 | PA      | $1034274.41   | 0.09%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21517132 | PA      | $21981636.74  | 1.87%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-998373.46   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-313.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED DKK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | DK        |          1 | NC      | $8247.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNFP272 IRS GBP R F  3.24194 2 CCPINFLATIONZERO / Short: SYDNFP272 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1457478 | OU      | $270.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNFFD23 IRS GBP R F  3.28400 2 CCPINFLATIONZERO / Short: SYDNFFD23 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3274200 | OU      | $-16757.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-5442.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2022-AFC2 Trust                                                                                              | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338932 | PA      | $339234.99    | 0.03%             | 2057-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $30454.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-103300.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                      | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | N/A              | DFE              |  | GB        |          1 | NC      | $-42352.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDQHB5T3 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDQHB5T3 IRS EUR P F  2.23750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     517324 | OU      | $-2966.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US BOND FUTR OPTN NOV25P 111                                                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        276 | NC      | $21562.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFUKAM1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDFUKAM1 IRS EUR P F  2.05750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1440000 | OU      | $-14463.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19504491 | PA      | $21321800.99  | 1.81%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC CITIGROUP COC                                    | SWAP CCPC CITIGROUP COC                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    5399000 | NS      | $5399000.00   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-MDHS                                                                             | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1026560 | PA      | $1027844.40   | 0.09%             | 2041-05-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27306920 | PA      | $25842776.83  | 2.19%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                   | Vistra Operations Co LLC                                                                                           | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     875000 | PA      | $922518.63    | 0.08%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAE1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1491761.55   | 0.13%             | 2039-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDFV2NU8 IRS EUR R F  2.02000 2 CCPINFLATIONZERO / Short: SYDFV2NU8 IRS EUR P V 12MFRCPX 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1440000 | OU      | $24117.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CART                                                       | CONE Trust 2024-DFW1                                                                                               | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $209607.68    | 0.02%             | 2041-08-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDH2R8X2 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDH2R8X2 IRS USD P F  2.64800 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2022175 | OU      | $5222.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDP8G9F0 IRS JPY R F  2.03600 2 CCPOIS / Short: SYDP8G9F0 IRS JPY P V 12MTONAR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  102273889 | OU      | $-13354.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDNY1AY6 IRS GBP R F  3.20285 2 CCPINFLATIONZERO / Short: SYDNY1AY6 IRS GBP P V 12MUKRPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2384289 | OU      | $-5864.38     | -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      | $105716.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAF8<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $601662.96    | 0.05%             | 2039-04-17      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-959.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFPTHY5 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDFPTHY5 IRS USD P F  2.53625 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1524000 | OU      | $12323.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDHW4DJ5 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDHW4DJ5 IRS JPY P F   .68300 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1488149736 | OU      | $32169.03     | 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      | $-106267.95   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5121520 | PA      | $3835454.27   | 0.33%             | 2026-12-01      | Fixed         | 4.25%                 | 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      | $14796.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    3129000 | PA      | $2234812.18   | 0.19%             | 2032-11-21      | Fixed         | 0.25%                 | 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      | $6526.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                 | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     825000 | PA      | $846706.30    | 0.07%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   13459394 | PA      | $17701829.47  | 1.50%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| SWAP STAND. CHARTER BANK BOCOC                             | SWAP STAND. CHARTER BANK BOCOC                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |     -70000 | NS      | $-70000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-401111.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29875565 | PA      | $27506488.76  | 2.33%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT DEC25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -450 | NC      | $-337718.90   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                   | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1215200.75   | 0.10%             | 2035-01-23      | Fixed         | 5.50%                 | 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      | $14503.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24228232 | PA      | $24707456.74  | 2.10%             | 2029-10-15      | Fixed         | 1.63%                 | 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      | $475742.57    | 0.04%             | 2037-05-15      | Floating      | 5.69%                 | 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        |      19926 | PA      | $19563.73     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDN1K0K1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDN1K0K1 IRS USD P F  2.68900 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7270000 | OU      | $-6465.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                      | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1088826.85   | 0.09%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11378086 | PA      | $11470205.46  | 0.97%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDQBVJ60 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDQBVJ60 IRS USD P F  2.75050 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2394000 | OU      | $-5952.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29741672 | PA      | $28276081.95  | 2.40%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12331000 | PA      | $12228124.44  | 1.04%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2022-SFR2 Trust                                                                                     | CUSIP: 33767PAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $1980009.60   | 0.17%             | 2039-07-17      | Fixed         | 4.50%                 | 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      | $-36522.35    | -0.00%            |  |  |  | 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      | $41633.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    8782945 | PA      | $10587849.63  | 0.90%             | 2026-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                       | Deutsche Bundesrepublik Inflation Linked Bond                                                                      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    6665841 | PA      | $7446605.61   | 0.63%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19898187 | PA      | $19622504.98  | 1.67%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFRRLP1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDFRRLP1 IRS USD P F  2.53125 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1524000 | OU      | $12697.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDP8EY75 IRS JPY R F  2.03625 2 CCPOIS / Short: SYDP8EY75 IRS JPY P V 12MTONAR 1 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  101693700 | OU      | $-12262.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                             | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | US        |          1 | NC      | $-127546.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                 | CAN 10YR BOND FUT DEC25                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         38 | NC      | $6218.65      | 0.00%             |  |  |  | No            |                  1 | 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      | $4275.97      | 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      | $-2582.95     | -0.00%            |  |  |  | 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      |
| HSBC Bank PLC                                              | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $2938.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                    | WaMu Mortgage Pass-Through Certificates Series 2003-S11 Trust                                                      | CUSIP: 92922FHA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31203 | PA      | $31265.40     | 0.00%             | 2033-11-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SWAPS BARCLAYS BOC                                         | SWAPS BARCLAYS BOC                                                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |     -70000 | NS      | $-70000.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     890174 | PA      | $1136410.52   | 0.10%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-27

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

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP