# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001752724-25-185279
**Filing Date:** 2025-8
**Character Count:** 152931
**Document Hash:** ac24734ab2d523c7ea0b78c93459a19d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-185279.hdr.sgml**: 20250806

**ACCESSION NUMBER**: 0001752724-25-185279

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250806

**DATE AS OF CHANGE**: 20250806

**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:** 251187686

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $1426819927.80

**Total Liabilities:** $281975669.92

**Net Assets:** $1144844257.88

**Delayed Delivery Securities:** $362735.46

**Cash Not Reported:** $13417458.63

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -133.79000000 | **1-Year:** -2802.55000000 | **5-Year:** -9724.34000000 | **10-Year:** -17559.13000000 | **30-Year:** -2698.03000000

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

- **3-Month:** -28.54000000 | **1-Year:** -739.04000000 | **5-Year:** -197.53000000 | **10-Year:** -0.01000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087492 | 0.64%                | -0.11%               | 0.91%                |
| Class ID C000087493 | 0.62%                | -0.14%               | 0.91%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2879505.66             | $25429677.57                               |
| Month 2  | $-211814.69              | $-6267935.07                               |
| Month 3  | $-239472.06              | $18494079.43                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SWAP MORGAN STANLEY BOC                                    | SWAP MORGAN STANLEY BOC                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -230000 | NS      | $-230000.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDANZCX1 IRS EUR R F  2.18430 2 CCPVANILLA / Short: SYDANZCX1 IRS EUR P V 06MEURIB 1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     397000 | OU      | $-55231.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    7635604 | PA      | $8587962.86   | 0.75%             | 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        |   21753312 | PA      | $22024075.65  | 1.92%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8362211 | PA      | $8673932.90   | 0.76%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                                                            | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1005000 | PA      | $1028263.08   | 0.09%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA                                               | AES Andes SA                                                                                                       | CUSIP: 000000000<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $205521.47    | 0.02%             | 2029-03-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-178020.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $973.92       | 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        |   15500389 | PA      | $20271131.39  | 1.77%             | 2034-03-22      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDLFZP79 IRS USD R F  4.28750 2 CCPOIS / Short: SYDLFZP79 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  446715324 | OU      | $10609.49     | 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        |   11574913 | PA      | $1767791.90   | 0.15%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                             | European Union                                                                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    8980625 | PA      | $9079003.30   | 0.79%             | 2053-03-04      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED MXN / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $12186.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $377280.00    | 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      | $-8766.50     | -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      | $773851.08    | 0.07%             | 2039-08-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | PURCHASED MXN / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |          1 | NC      | $7330.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDHW9XP8 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BYDHW9XP8 IRS JPY P F   .68500 2 CCPOIS                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1505547170 | OU      | $13161.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFPTJ15 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDFPTJ15 IRS USD P F  2.69125 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1904000 | OU      | $2710.40      | 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      | $2444153.75   | 0.21%             | 2039-03-17      | Fixed         | 4.39%                 | 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        |     602402 | PA      | $601100.40    | 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        |   28045343 | PA      | $25806950.62  | 2.25%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BRYVXX030 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRYVXX030 IRS EUR P F  2.50550 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570700 | OU      | $161731.60    | 0.01%             |  |  |  | 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      | $37879.86     | 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      | $510158.76    | 0.04%             | 2039-06-15      | Floating      | 5.93%                 | 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      | $1151798.60   | 0.10%             | 2041-07-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BRYVY88W2 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRYVY88W2 IRS EUR P F  2.51300 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2638000 | OU      | $161333.89    | 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      | $1019215.45   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  501952260 | PA      | $3543207.54   | 0.31%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24913019 | PA      | $23923260.95  | 2.09%             | 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        |   12862940 | PA      | $13078362.44  | 1.14%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR6 Trust                                                                               | CUSIP: 74334DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2150000 | PA      | $2171537.63   | 0.19%             | 2039-07-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| SWAP CITIBANK BOC                                          | SWAP CITIBANK BOC                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |     -39121 | NS      | $-39120.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $7902.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORLEN SA                                                   | ORLEN SA                                                                                                           | CUSIP: 000000000<br>LEI: 259400VVMM70CQREJT74 | Long             | DBT              | CORP              | PL        |     549000 | PA      | $562945.23    | 0.05%             | 2035-01-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                                                               | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1196849.41   | 0.10%             | 2035-01-23      | Fixed         | 5.47%                 | 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      | $18097.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDLU8ML4 IRS USD R F  4.30700 2 CCPOIS / Short: SYDLU8ML4 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  439640000 | OU      | $21999.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26492378 | PA      | $26260442.79  | 2.29%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                  | REVERSE REPO HSBC                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -27843750 | PA      | $-27843750.00 | -2.43%            |  |  |  | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe                   | Bundesrepublik Deutschland Bundesanleihe                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    2171000 | PA      | $2272377.71   | 0.20%             | 2054-08-15      | Fixed         | 2.50%                 | 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        |    1208157 | PA      | $1217284.24   | 0.11%             | 2062-09-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $9340.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1051422.05  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Notes                                                                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8689000 | PA      | $8702576.56   | 0.76%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   17317436 | PA      | $21034312.12  | 1.84%             | 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        |   26904598 | PA      | $25708298.07  | 2.25%             | 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        |   11077803 | PA      | $13030771.36  | 1.14%             | 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      | $1252735.75   | 0.11%             | 2041-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGS8BT3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGS8BT3 IRS USD P F  2.83500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1895000 | OU      | $-11122.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5159629 | PA      | $5696115.20   | 0.50%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | BYDK1XEB4 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |   17374000 | OU      | $392530.78    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 10Y BOND FUT SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -20 | NC      | $-15624.49    | -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        |   14896790 | PA      | $20854257.90  | 1.82%             | 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        |  302150000 | PA      | $1925321.08   | 0.17%             | 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      | $-8692.30     | -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        |  405463992 | PA      | $3001515.53   | 0.26%             | 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        |   12577383 | PA      | $1846956.83   | 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: N/A                  | Long             | ABS-O            | CORP              | US        |     968000 | PA      | $953427.92    | 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      | $1195302.69   | 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        |   10281299 | PA      | $12289498.05  | 1.07%             | 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        |    1823025 | PA      | $1509822.78   | 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      | $1745149.10   | 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      | $-61054.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                       | Raizen Fuels Finance SA                                                                                            | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     367000 | PA      | $364247.50    | 0.03%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR5 Trust                                                                               | CUSIP: 74332YAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2509695.50   | 0.22%             | 2039-06-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |          1 | NC      | $17833.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGRZBN7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGRZBN7 IRS USD P F  2.83550 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1895000 | OU      | $-11170.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75382000 | PA      | $75364754.11  | 6.58%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4262972 | PA      | $4744972.00   | 0.41%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                                                          | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     605000 | PA      | $566673.09    | 0.05%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                             | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | US        |          1 | NC      | $-12501.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1459.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-99519.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US LONG BOND(CBT) SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -104 | NC      | $-414589.28   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9474747 | PA      | $10862578.92  | 0.95%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                        | BYDK1XEP3 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |  -17374000 | OU      | $-98319.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR7 Trust                                                                               | CUSIP: 74333CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1615000 | PA      | $1615602.88   | 0.14%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-123446.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   14075000 | PA      | $2651273.34   | 0.23%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BOBL FUTURE SEP25                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         91 | NC      | $-15311.25    | -0.00%            |  |  |  | No            |                  1 | 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      | $19888.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | FED FUND 30DAY AUG25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         41 | NC      | $-667.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                                                       | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1045153.08   | 0.09%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                      | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | N/A              | DFE              |  | GB        |          1 | NC      | $3594.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                                                            | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     715000 | PA      | $721187.83    | 0.06%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                     | REVERSE REPO BARCLAYS                                                                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Short            | RA               | CORP              | US        |   -8040000 | PA      | $-8040000.00  | -0.70%            |  |  |  | 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      | $10110.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $18374.60     | 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      | $735.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2021-SFR8 Trust                                                                               | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2428759.50   | 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      | $51641.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LBA Trust                                                  | LBA Trust 2024-BOLT                                                                                                | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     810000 | PA      | $810000.97    | 0.07%             | 2039-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                                                     | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1194404.94   | 0.10%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYD40DSK0 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BYD40DSK0 IRS EUR P F  2.42870 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     512000 | OU      | $41141.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                            | AREIT 2024-CRE9 Ltd                                                                                                | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1429469 | PA      | $1433044.82   | 0.13%             | 2041-05-17      | Floating      | 6.00%                 | 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      | $-9973.30     | -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        |   12132450 | PA      | $14417835.02  | 1.26%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                        | Suzano Austria GmbH                                                                                                | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     473000 | PA      | $416839.86    | 0.04%             | 2032-01-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| TBA JP MORGAN BOC                                          | TBA JP MORGAN BOC                                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -330000 | NS      | $-330000.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| SWAP CCPC CITIBANK COC                                     | SWAP CCPC CITIBANK COC                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2325000 | NS      | $-2325000.00  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2943000 | PA      | $3005833.05   | 0.26%             | 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      | $1476556.00   | 0.13%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-10676094.20 | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-KING                                                                             | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1204148 | PA      | $1204146.55   | 0.11%             | 2034-05-15      | Floating      | 5.85%                 | 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        |    1538272 | PA      | $1286087.30   | 0.11%             | 2066-09-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                         | MVM Energetika Zrt                                                                                                 | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |     546000 | PA      | $564587.48    | 0.05%             | 2031-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYD4AYT14 IRS EUR R F  2.44130 2 CCPVANILLA / Short: SYD4AYT14 IRS EUR P V 06MEURIB 1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     154000 | OU      | $-11895.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6534833 | PA      | $8499334.51   | 0.74%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                                  | REVERSE REPO HSBC                                                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -17625000 | PA      | $-17625000.00 | -1.54%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                             | REVERSE REPO FEDERAL RESERVE B                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -13227500 | PA      | $-13227500.00 | -1.16%            |  |  |  | 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      | $-11009.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                             | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $433493.23    | 0.04%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDA1ZV89 IRS EUR R F  2.26000 2 CCPVANILLA / Short: SYDA1ZV89 IRS EUR P V 06MEURIB 1 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     200000 | OU      | $-24209.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1212 | NC      | $881135.35    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ELM Trust 2024                                             | ELM Trust 2024-ELM                                                                                                 | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |     430000 | PA      | $433493.23    | 0.04%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | XX        |          1 | NC      | $980.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8574066 | PA      | $8920841.78   | 0.78%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   15300000 | PA      | $2107638.92   | 0.18%             | 2032-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $7985.62      | 0.00%             |  |  |  | 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      | $365912.14    | 0.03%             | 2041-07-15      | Floating      | 6.20%                 | 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        |     741165 | PA      | $746527.61    | 0.07%             | 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        |   23897073 | PA      | $23605427.72  | 2.06%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                   | Greensaif Pipelines Bidco Sarl                                                                                     | CUSIP: 000000000<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     555000 | PA      | $560556.11    | 0.05%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                       | Raizen Fuels Finance SA                                                                                            | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $200196.60    | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23519840 | PA      | $24152073.00  | 2.11%             | 2029-04-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                            | Kingdom of Belgium Government Bond                                                                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |    2603760 | PA      | $2731339.13   | 0.24%             | 2054-06-22      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-NQM2 Trust                                                                                               | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     845879 | PA      | $850920.39    | 0.07%             | 2070-04-25      | Variable      | 5.69%                 | 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      | $-119713.61   | -0.01%            |  |  |  | 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        |     670489 | PA      | $658362.36    | 0.06%             | 2063-07-25      | Variable      | 4.63%                 | No            |                  2 | 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      | $-17903.96    | -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        |   16615166 | PA      | $17667514.93  | 1.54%             | 2028-04-15      | Fixed         | 3.63%                 | 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      | $-21862.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                           | DP World Ltd/United Arab Emirates                                                                                  | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     510000 | PA      | $555398.16    | 0.05%             | 2037-07-02      | Fixed         | 6.85%                 | 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        |    7252504 | NS      | $7252504.31   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYD3YA8S6 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BYD3YA8S6 IRS EUR P F  2.42870 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     528000 | OU      | $42449.58     | 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      | $14608.39     | 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      | $4504.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWAP GOLDMAN SACHS BOC                                     | SWAP GOLDMAN SACHS BOC                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |     -30000 | NS      | $-30000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR3 Trust                                                                                               | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2180000 | PA      | $2114080.72   | 0.18%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $5668.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |    9855000 | PA      | $1265785.04   | 0.11%             | 2030-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49940000 | PA      | $50745174.63  | 4.43%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    7973580 | PA      | $10474847.42  | 0.91%             | 2031-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  453513366 | PA      | $3281400.85   | 0.29%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                      | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |          1 | NC      | $-6258.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BRYWBVX89 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRYWBVX89 IRS EUR P F  2.51050 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1298000 | OU      | $79853.99     | 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      | $219458.28    | 0.02%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGX3MX7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGX3MX7 IRS USD P F  2.83200 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2618000 | OU      | $-14966.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |          1 | NC      | $-25146.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20423767 | PA      | $19273853.40  | 1.68%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                                                                | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1175000 | PA      | $1195706.11   | 0.10%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                | HOMES 2025-AFC1 Trust                                                                                              | CUSIP: 403969AC2<br>LEI: 2549006ZK3R8WZLA9S73 | Long             | ABS-MBS          | CORP              | US        |     728301 | PA      | $733491.99    | 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      | $3804396.64   | 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        |  486571716 | PA      | $3477596.93   | 0.30%             | 2033-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                               | REVERSE REPO PARIBAS                                                                                               | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Short            | RA               | CORP              | US        |  -33360000 | PA      | $-33360000.00 | -2.91%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17465606 | PA      | $17226850.11  | 1.50%             | 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        |    7100145 | PA      | $9366112.56   | 0.82%             | 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      | $148874.94    | 0.01%             | 2036-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                                                                 | CUSIP: 3137HKE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4544687 | PA      | $4542547.17   | 0.40%             | 2055-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Minejesa Capital BV                                        | Minejesa Capital BV                                                                                                | CUSIP: 000000000<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | NL        |     290000 | PA      | $279181.49    | 0.02%             | 2037-08-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   16515000 | PA      | $2245616.20   | 0.20%             | 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      | $822424.12    | 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        |   14656207 | PA      | $16868867.54  | 1.47%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                             | European Union                                                                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    1010000 | PA      | $924758.21    | 0.08%             | 2052-10-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                | HOMES 2025-AFC2 Trust                                                                                              | CUSIP: 43761YAA2<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |    1403000 | PA      | $1403919.39   | 0.12%             | 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        |   24192932 | PA      | $23865349.53  | 2.08%             | 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      | $1187659.97   | 0.10%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -225 | NC      | $-64838.74    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-10931.55    | -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        |    4580000 | PA      | $15065847.38  | 1.32%             | 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        |     566768 | PA      | $569518.91    | 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      | $2451330.50   | 0.21%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JSC KASPI.KZ                                               | JSC Kaspi.kz                                                                                                       | CUSIP: 000000000<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |     561000 | PA      | $564021.53    | 0.05%             | 2030-03-26      | Fixed         | 6.25%                 | 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      | $-7319.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BRYX8QLW2 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRYX8QLW2 IRS EUR P F  2.45550 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     545000 | OU      | $40696.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                          | PRPM 2025-NQM1 Trust                                                                                               | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1147679 | PA      | $1156868.92   | 0.10%             | 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        |   14342794 | PA      | $16876687.52  | 1.47%             | 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      | $183007.73    | 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        |       4315 | PA      | $4243.52      | 0.00%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-45261.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDK1BZJ2 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   16690000 | NC      | $33988.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT DEC25                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        703 | NC      | $108010.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                          | Corp. Nacional del Cobre de Chile                                                                                  | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     535000 | PA      | $559628.57    | 0.05%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    9712832 | PA      | $11485858.17  | 1.00%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                  | NYCT Trust 2024-3ELV                                                                                               | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183498 | PA      | $183724.77    | 0.02%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                            | Israel Government International Bond                                                                               | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     633000 | PA      | $585856.43    | 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        |   27949064 | PA      | $27970492.39  | 2.44%             | 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      | $3600716.04   | 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        |   13501140 | PA      | $15300100.28  | 1.34%             | 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        |     464902 | PA      | $464656.91    | 0.04%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED BRL / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $47157.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | JP        |          1 | NC      | $94876.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDLN0BX5 IRS USD R F  4.30800 2 CCPOIS / Short: SYDLN0BX5 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  436666000 | OU      | $22440.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-AIRC                                                                             | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475653 | PA      | $477436.50    | 0.04%             | 2039-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT JUN26                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |         92 | NC      | $55236.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGR9WJ1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGR9WJ1 IRS USD P F  2.83375 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3790000 | OU      | $-22003.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                      | Mexico Government International Bonds                                                                              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1858000 | PA      | $1936593.40   | 0.17%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-NQM5 Trust                                                                                               | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2344088 | PA      | $2401759.88   | 0.21%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2719717.08  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $32140.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-4158.67     | -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        |    9723423 | PA      | $11702121.09  | 1.02%             | 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        |    9188179 | PA      | $12436638.85  | 1.09%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFRRLT3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDFRRLT3 IRS USD P F  2.68750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1904000 | OU      | $3071.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                                 | BFLD Trust 2025-EWEST                                                                                              | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     954000 | PA      | $954595.68    | 0.08%             | 2042-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |          1 | NC      | $182859.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   11211733 | PA      | $13257715.12  | 1.16%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDK3G7B7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDK3G7B7 IRS USD P F  2.78950 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3790000 | OU      | $-13479.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $7902.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | GB        |          1 | NC      | $-30759.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9345406 | PA      | $10791561.31  | 0.94%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | SE        |          1 | NC      | $24223.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5650491 | PA      | $4895501.41   | 0.43%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TBA MERRILL LYNCH BOC                                      | TBA MERRILL LYNCH BOC                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -1070000 | NS      | $-1070000.00  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-18988.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                                   | Embraer Netherlands Finance BV                                                                                     | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |     275000 | PA      | $283470.00    | 0.02%             | 2035-02-11      | Fixed         | 5.98%                 | 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      | $-28582.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUND FUTURE SEP25                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         37 | NC      | $-27038.49    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2022-SFR1 Trust                                                                                     | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2445773.50   | 0.21%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-12906.06    | -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      | $1006431.00   | 0.09%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33068574 | PA      | $33608056.37  | 2.94%             | 2035-01-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26340739 | PA      | $24404314.96  | 2.13%             | 2031-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2022-SFR4 Trust                                                                               | CUSIP: 74332XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2510739.75   | 0.22%             | 2041-05-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  786745312 | PA      | $5650901.94   | 0.49%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $10487.05     | 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        |    2369000 | PA      | $11103620.50  | 0.97%             | 2030-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21756740 | PA      | $21715798.81  | 1.90%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SURA ASSET MANAGEMENT                                      | SURA Asset Management SA                                                                                           | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |     271000 | PA      | $284848.10    | 0.02%             | 2032-05-13      | Fixed         | 6.35%                 | 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      | $539830.76    | 0.05%             | 2041-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-62285.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -172 | NC      | $-533041.76   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                   | BX Trust 2024-VLT4                                                                                                 | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1078000 | PA      | $1077664.74   | 0.09%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |          1 | NC      | $-20467.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED AUD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | AU        |          1 | NC      | $61513.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-XL4                                                                              | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525568 | PA      | $527046.30    | 0.05%             | 2039-02-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  801724224 | PA      | $5782440.35   | 0.51%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  701127426 | PA      | $5051001.82   | 0.44%             | 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        |    8323480 | PA      | $8335803.25   | 0.73%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-19218.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Bonds                                                                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11559880 | PA      | $11707252.21  | 1.02%             | 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        |    1366215 | PA      | $1375692.30   | 0.12%             | 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      | $2918963.08   | 0.25%             | 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        |   24867052 | PA      | $24147962.26  | 2.11%             | 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        |  309015768 | PA      | $2310756.33   | 0.20%             | 2030-03-10      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                                 | U.K. Gilts                                                                                                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1826776 | PA      | $2172016.85   | 0.19%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | FED FUND 30DAY JUL25                                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         30 | NC      | $-21920.85    | -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        |   13582768 | PA      | $18847668.18  | 1.65%             | 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      | $-54621.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $26683.33     | 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        |  117836658 | PA      | $822264.39    | 0.07%             | 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        |   25319894 | PA      | $24848649.20  | 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      | $206729.62    | 0.02%             | 2036-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR NOTE (CBT)SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -249 | NC      | $-562976.57   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   13163245 | PA      | $17888534.53  | 1.56%             | 2028-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR2 Trust                                                                                 | CUSIP: 89616TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2559574.75   | 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      | $2335113.75   | 0.20%             | 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      | $2142983.08   | 0.19%             | 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        |   12096345 | PA      | $12858062.82  | 1.12%             | 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      | $-23249.95    | -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        |    1171228 | PA      | $1177754.38   | 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        |   22144492 | PA      | $21890333.07  | 1.91%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                     | Orbia Advance Corp SAB de CV                                                                                       | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     557000 | PA      | $569254.00    | 0.05%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13502376 | PA      | $13599382.74  | 1.19%             | 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        |    4780566 | PA      | $5338388.20   | 0.47%             | 2034-07-25      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: SYDLG4TU2 IRS USD R F  4.27250 2 CCPOIS / Short: SYDLG4TU2 IRS USD P V 12MFEDL 1 CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  893564676 | OU      | $3145.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1952745 | PA      | $2643133.54   | 0.23%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     763502 | PA      | $881649.93    | 0.08%             | 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      | $1027742.63   | 0.09%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $322.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                      | Vale Overseas Ltd                                                                                                  | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     573000 | PA      | $563126.58    | 0.05%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                         | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $21425.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2022-AFC2 Trust                                                                                              | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364738 | PA      | $364003.12    | 0.03%             | 2057-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | JP        |          1 | NC      | $87095.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                      | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |          1 | NC      | $613.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9987000 | PA      | $9930823.13   | 0.87%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                        | AUST 3YR BOND FUT SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -60 | NC      | $-14806.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NatWest Markets PLC                                        | PURCHASED DKK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | DK        |          1 | NC      | $19907.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDFUKAM1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BYDFUKAM1 IRS EUR P F  2.05750 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1440000 | OU      | $-8403.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDL21LU1 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDL21LU1 IRS USD P F  2.73450 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3860000 | OU      | $-2958.23     | -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        |   18635816 | PA      | $20344896.47  | 1.78%             | 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        |    5714000 | NS      | $5714000.00   | 0.50%             |  |  |  | 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      | $1027843.06   | 0.09%             | 2041-05-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-144002.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BRYVWTAC9 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BRYVWTAC9 IRS EUR P F  2.49000 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2570700 | OU      | $171050.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27098539 | PA      | $25275480.84  | 2.21%             | 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      | $908652.50    | 0.08%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1484147.55   | 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      | $5227.37      | 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      | $208969.78    | 0.02%             | 2041-08-15      | Floating      | 5.95%                 | 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      | $-8034.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR1 Trust                                                                                 | CUSIP: 89616QAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $599376.78    | 0.05%             | 2039-04-17      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-184852.58   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Bonds                                                                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     365000 | PA      | $333319.14    | 0.03%             | 2054-08-15      | Fixed         | 4.25%                 | 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      | $2249.21      | 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      | $13213.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5075553 | PA      | $3919255.09   | 0.34%             | 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      | $2138.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    2364000 | PA      | $1649265.78   | 0.14%             | 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      | $29782.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                                                                 | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     825000 | PA      | $837881.57    | 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        |   13431204 | PA      | $18066965.37  | 1.58%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR OPT OCT25P 96                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -479 | NC      | $-53887.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Reserve Bank of Boston                             | REVERSE REPO FEDERAL RESERVE B                                                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | Short            | RA               | CORP              | US        |  -23805000 | PA      | $-23805000.00 | -2.08%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30244168 | PA      | $27410595.99  | 2.39%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                                                   | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1165000 | PA      | $1194728.27   | 0.10%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUXL 30Y BND SEP25                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -30 | NC      | $56850.73     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYDGTYSF7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BYDGTYSF7 IRS USD P F  2.86950 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3790000 | OU      | $-28901.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                     | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SE        |          1 | NC      | $1178.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                             | PURCHASED NZD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | NZ        |          1 | NC      | $12372.00     | 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        |   24058076 | PA      | $24353341.73  | 2.13%             | 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      | $475297.21    | 0.04%             | 2037-05-15      | Floating      | 5.85%                 | 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        |      20300 | PA      | $19805.83     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                                                      | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1072502.13   | 0.09%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-91357.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                  | Uniform Mortgage-Backed Security, TBA                                                                              | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12331000 | PA      | $12083148.87  | 1.06%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BYDK1BZK9 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -64288000 | NC      | $-13006.75    | -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        |   27036658 | PA      | $25396592.38  | 2.22%             | 2030-07-15      | Fixed         | 0.13%                 | 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      | $1969213.20   | 0.17%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT SEP25                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1492 | NC      | $-3932424.33  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    8758727 | PA      | $10654209.67  | 0.93%             | 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        |    6500291 | PA      | $7319622.99   | 0.64%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                   | Long: BYD0C7GZ8 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BYD0C7GZ8 IRS EUR P F  2.54300 2 CCPVANILLA             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2109000 | OU      | $113328.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2022-7                                                                                  | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1647893 | PA      | $1639833.13   | 0.14%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22303130 | PA      | $21836108.18  | 1.91%             | 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      | $2619.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | U.S. Treasury Inflation-Indexed Notes                                                                              | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24386810 | PA      | $24175713.22  | 2.11%             | 2026-07-15      | Fixed         | 0.13%                 | 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      |
| 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        |      31764 | PA      | $31634.45     | 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        |     -40000 | NS      | $-40000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     885926 | PA      | $1152253.53   | 0.10%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-17

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

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP