# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001752724-23-020425
**Filing Date:** 2023-2
**Character Count:** 138480
**Document Hash:** d65002ad2e20c6c650bd3828620751c4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-020425.hdr.sgml**: 20230208

**ACCESSION NUMBER**: 0001752724-23-020425

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230208

**DATE AS OF CHANGE**: 20230208

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036
- **IRS NUMBER:** 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:** 23598316

**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:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1630280249.66

**Total Liabilities:** $220395963.65

**Net Assets:** $1409884286.01

**Delayed Delivery Securities:** $44604747.73

**Cash Not Reported:** $638450.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -46.18000000 | **1-Year:** -1340.63000000 | **5-Year:** -5234.59000000 | **10-Year:** -4571.86000000 | **30-Year:** -906.85000000

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

- **3-Month:** -11.06000000 | **1-Year:** -986.86000000 | **5-Year:** -2468.65000000 | **10-Year:** -0.04000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000087492 | 1.60%                | 1.53%                | -1.13%               |
| Class ID C000087493 | 1.58%                | 1.51%                | -1.16%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8700897.89             | $33402056.43                               |
| Month 2  | $-9506034.20             | $58323456.76                               |
| Month 3  | $-11000824.67            | $-5149982.48                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Deutsche Bank AG                                           | BRYBHCVX8 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -20878000 | NC      | $-1175004.24  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    8442395 | PA      | $8681490.67   | 0.62%             | 2031-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14112134 | PA      | $14095586.58  | 1.00%             | 2027-10-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRY6BC0S0 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   46042000 | NC      | $675007.03    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY52GB10 IRS USD R F  2.59600 2 CCPOIS / Short: SRY52GB10 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8861000 | OU      | $-689018.69   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   14654686 | PA      | $15809930.93  | 1.12%             | 2024-07-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY5P3NY9 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -15296000 | NC      | $-99168.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYBV7N38 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRYBV7N38 IRS USD P F  2.50500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   29800000 | OU      | $44847.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                      | PURCHASED CAD / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | CA        |          1 | NC      | $-6916.73     | -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        |   14986774 | PA      | $2064661.73   | 0.15%             | 2030-11-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GVT ILB                                        | New Zealand Government Inflation Linked Bond                                                                       | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |    2966000 | PA      | $2320956.38   | 0.16%             | 2025-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUND FUTURE MAR23                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         21 | NC      | $-185247.89   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR OPT JAN23C 95.12                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       3166 | NC      | $375962.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR1 Trust                                                                                               | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2203269.00   | 0.16%             | 2039-03-17      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1286783500 | PA      | $10059736.90  | 0.71%             | 2025-03-10      | Fixed         | 0.10%                 | 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        |     753436 | PA      | $763682.99    | 0.05%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYBWBFL7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRYBWBFL7 IRS USD P F  2.48250 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   35000000 | OU      | $36487.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | BRY8UFXX1 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   21078272 | NC      | $845121.51    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34791104 | PA      | $30740124.66  | 2.18%             | 2031-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   12389089 | PA      | $15090124.11  | 1.07%             | 2026-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRYBY1NH7 IRS EUR R F  2.48500 2 CCPINFLATIONZERO / Short: SRYBY1NH7 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27400000 | OU      | $-178045.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY6BW4H6 IRS USD R F  2.93000 2 CCPOIS / Short: SRY6BW4H6 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   46508000 | OU      | $-2387710.95  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30977021 | PA      | $28357856.07  | 2.01%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    4557000 | PA      | $20670574.57  | 1.47%             | 2024-07-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16271001 | PA      | $16596160.36  | 1.18%             | 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      | $1993831.31   | 0.14%             | 2039-07-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRY5LQQF0 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -36800000 | NC      | $-245452.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                         | PURCHASED USD / SOLD CAD                                                                                           | CUSIP: 000000000<br>LEI: 2IGI19DL77OX0HC3ZE78 | N/A              | DFE              |  | US        |          1 | NC      | $-3234.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | BRYBBRV60 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |  365613000 | NC      | $436326.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRY7QRN05 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRY7QRN05 IRS USD P F  2.48500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1135000 | OU      | $-7703.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 10YR ULTRA FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         28 | NC      | $-94538.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRY38KJY0 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -25530000 | NC      | $-1618557.58  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Securities International, Inc.                      | REVERSE REPO NOMURA                                                                                                | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Short            | RA               | CORP              | US        |  -14152258 | PA      | $-14152258.13 | -1.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRWX1A231 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWX1A231 IRS USD P F  2.99600 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9300000 | OU      | $232620.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                                        | United Kingdom Gilt                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2020000 | PA      | $1318966.98   | 0.09%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRYA5WJB1 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -23400400 | NC      | $-985531.01   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY1NR6Y6 IRS USD R F  2.53150 2 CCPOIS / Short: SRY1NR6Y6 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11552000 | OU      | $-939124.11   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY1PXG12 IRS EUR R F  3.25100 2 CCPINFLATIONZERO / Short: SRY1PXG12 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2339000 | OU      | $-62030.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   19511457 | PA      | $22266469.98  | 1.58%             | 2027-07-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                        | Homeward Opportunities Fund Trust 2022-1                                                                           | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1455249 | PA      | $1446892.18   | 0.10%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   13911734 | PA      | $15058000.70  | 1.07%             | 2030-07-25      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYC3EJQ6 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRYC3EJQ6 IRS USD P F  2.52250 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12500000 | OU      | $-6277.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    3460276 | PA      | $3669261.90   | 0.26%             | 2032-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   17362667 | PA      | $22138330.74  | 1.57%             | 2027-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYBGY6T8 IRS EUR R V 12MFRCPX 1 CCPINFLATIONZERO / Short: BRYBGY6T8 IRS EUR P F  3.32000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6765000 | OU      | $-8461.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BUNDESSCHATZANWEISUNGEN                                    | Bundesschatzanweisungen                                                                                            | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   48495000 | PA      | $51433584.05  | 3.65%             | 2024-12-12      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY99FZZ6 IRS USD R F  3.82600 2 CCPOIS / Short: SRY99FZZ6 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8412110 | OU      | $181959.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRYBA8S59 IRS USD R F  3.18450 2 CCPOIS / Short: SRYBA8S59 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8362000 | OU      | $-260759.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  541074816 | PA      | $4281516.28   | 0.30%             | 2031-03-10      | Fixed         | 0.01%                 | 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      | $853437.39    | 0.06%             | 2039-04-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BUNDESOBLIGATION                                           | Bundesobligation                                                                                                   | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   30015000 | PA      | $30419028.98  | 2.16%             | 2027-10-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   12761951 | PA      | $13214417.72  | 0.94%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRYA84DN0 IRS USD R F  3.41340 2 CCPOIS / Short: SRYA84DN0 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7086000 | OU      | $-86520.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY87WXY8 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY87WXY8 IRS USD P F  3.46878 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8568625 | OU      | $66025.71     | 0.00%             |  |  |  | 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      | $2301130.50   | 0.16%             | 2039-06-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY7XH8K2 IRS EUR R F  2.67000 2 CCPINFLATIONZERO / Short: SRY7XH8K2 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3065000 | OU      | $-14909.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5622033 | PA      | $6434795.28   | 0.46%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY4UASB5 IRS EUR R F  2.43300 2 CCPINFLATIONZERO / Short: SRY4UASB5 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     845000 | OU      | $-79967.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6010673 | PA      | $5712171.75   | 0.41%             | 2025-10-15      | 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      | $287631.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | XX        |          1 | NC      | $51329.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY8FK831 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -11382267 | NC      | $-495375.95   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY4U77J8 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -5850000 | NC      | $-408186.15   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY7QPMN0 IRS EUR R F  2.52250 2 CCPINFLATIONZERO / Short: SRY7QPMN0 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     885000 | OU      | $-45689.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRYAYCW36 IRS USD R F  3.23600 2 CCPOIS / Short: SRYAYCW36 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8362000 | OU      | $-224883.11   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $3543.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | JP        |          1 | NC      | $23448.84     | 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        |   10758287 | PA      | $10078290.00  | 0.71%             | 2030-05-15      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRY60D1Y6 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -16993000 | NC      | $-175593.09   | -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      | $1492987.72   | 0.11%             | 2039-10-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                 | CAN 10YR BOND FUT MAR23                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -31 | NC      | $67033.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   18705000 | PA      | $3210587.00   | 0.23%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY38ZGC8 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY38ZGC8 IRS USD P F  2.79000 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7304000 | OU      | $449764.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRYBHCVY6 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -20878000 | NC      | $-516976.44   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED USD / SOLD NZD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-107108.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-51172.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRYB3R1Z8 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   37937382 | NC      | $966236.29    | 0.07%             |  |  |  | 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      | $2080608.50   | 0.15%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY60XZD1 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY60XZD1 IRS USD P F  2.75500 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8861000 | OU      | $579362.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY2BRFM3 IRS USD R F  2.67100 2 CCPOIS / Short: SRY2BRFM3 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7597143 | OU      | $-536746.28   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30263220 | PA      | $28450856.55  | 2.02%             | 2026-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY49UXH6 IRS USD R F  2.70700 2 CCPOIS / Short: SRY49UXH6 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7141600 | OU      | $-489636.02   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYB9J669 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRYB9J669 IRS USD P F  2.49250 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     525000 | OU      | $-4153.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9680845 | PA      | $10457281.98  | 0.74%             | 2025-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | BRY8UFXY9 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   21078272 | NC      | $695467.26    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   13037593 | PA      | $13894120.01  | 0.99%             | 2030-11-30      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BRY3LA2P4 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -12172000 | NC      | $-579668.98   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SWAP CCPC CITIBANK COC                                     | SWAP CCPC CITIBANK COC                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -2325000 | NS      | $-2325000.00  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY1BQYV6 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY1BQYV6 IRS USD P F  2.61350 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6687000 | OU      | $499552.13    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRYBV9S70 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRYBV9S70 IRS USD P F  3.36099 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7962000 | OU      | $131669.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Ltd.                              | Long: BRY6PKPR2 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY6PKPR2 IRS USD P F  3.07757 2 CCPOIS                      | CUSIP: 000000000<br>LEI: XKZZ2JZF41MRHTR1V493 | N/A              | DIR              |  | US        |    5371000 | OU      | $211894.11    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY1XRGD0 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY1XRGD0 IRS USD P F  2.72750 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7700000 | OU      | $508338.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29573419 | PA      | $29597157.02  | 2.10%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRY18SP61 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRY18SP61 IRS USD P F  3.42150 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8200000 | OU      | $-81948.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    7857936 | PA      | $10333724.54  | 0.73%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                              | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SE        |          1 | NC      | $-1058.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY4CWDZ0 IRS USD R F  2.61850 2 CCPOIS / Short: SRY4CWDZ0 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6160826 | OU      | $-466014.92   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                               | REVERSE REPO PARIBAS                                                                                               | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Short            | RA               | CORP              | US        |  -80548422 | PA      | $-80548422.50 | -5.71%            |  |  |  | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                      | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: EN5TNI6CI43VEPAMHL14 | N/A              | DFE              |  | US        |          1 | NC      | $-25643.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRY2LKUW8 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -12097000 | NC      | $-65542.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13120828 | PA      | $13679644.65  | 0.97%             | 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      | $1781376.29   | 0.13%             | 2032-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | PURCHASED USD / SOLD MXN                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8492.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY8P9223 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY8P9223 IRS USD P F  3.61700 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8832716 | OU      | $-39052.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29084402 | PA      | $27704081.65  | 1.96%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR FUT JUN23                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        586 | NC      | $-169723.18   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    9129860 | PA      | $9684157.78   | 0.69%             | 2026-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                | BRYBBS377 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        | -365613000 | NC      | $-178236.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY3PNH35 IRS USD R F  2.99650 2 CCPOIS / Short: SRY3PNH35 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9081000 | OU      | $-411496.07   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Ltd.                              | Long: SRY47WAX4 IRS USD R F  2.78100 2 CCPOIS / Short: SRY47WAX4 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: XKZZ2JZF41MRHTR1V493 | N/A              | DIR              |  | US        |    8871000 | OU      | $-555807.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20657710 | PA      | $22513024.89  | 1.60%             | 2028-04-15      | Fixed         | 3.63%                 | 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        |    5214002 | NS      | $5214001.72   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRYB0BSH7 IRS USD R F  3.21000 2 CCPOIS / Short: SRYB0BSH7 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5006000 | OU      | $-145395.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   10613152 | PA      | $11683695.61  | 0.83%             | 2024-11-30      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27401223 | PA      | $26113200.82  | 1.85%             | 2025-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                           | PURCHASED USD / SOLD DKK                                                                                           | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | N/A              | DFE              |  | US        |          1 | NC      | $-178879.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                    | BRY3LA2Q2 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -12172000 | NC      | $-181859.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-SCHATZ FUT MAR23                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -455 | NC      | $137803.94    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                 | AMSR 2022-SFR3 Trust                                                                                               | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2180000 | PA      | $1900865.61   | 0.13%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRY05EGG5                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -21367500 | NC      | $-2635068.73  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20060371 | PA      | $20035082.50  | 1.42%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY9Y9HU3 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY9Y9HU3 IRS USD P F  3.81961 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8981000 | OU      | $-190983.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  710985600 | PA      | $5555590.77   | 0.39%             | 2024-09-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   13335000 | PA      | $1441364.50   | 0.10%             | 2030-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    7745129 | PA      | $9416846.45   | 0.67%             | 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        |  310233195 | PA      | $2470235.36   | 0.18%             | 2032-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   10709819 | PA      | $11802402.76  | 0.84%             | 2024-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY37CXT4 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY37CXT4 IRS USD P F  2.86150 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8163029 | OU      | $456286.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY8AG4V7 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY8AG4V7 IRS USD P F  3.55900 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12852900 | OU      | $4422.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY2RTAR6 IRS USD R F  2.54400 2 CCPOIS / Short: SRY2RTAR6 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8103000 | OU      | $-655120.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY9YD0H1 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY9YD0H1 IRS USD P F  3.80850 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3344000 | OU      | $-68049.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR OPT JAN23C 95.37                                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      -4749 | NC      | $-59362.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $498738.55    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-168854.58   | -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      | $-140994.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED GBP / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | GB        |          1 | NC      | $1937.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $17763.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31770371 | PA      | $28536842.82  | 2.02%             | 2030-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED DKK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | DK        |          1 | NC      | $116605.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY1UUGG9 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY1UUGG9 IRS USD P F  2.74050 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1931000 | OU      | $125450.14    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division           | LONG GILT FUTURE MAR23                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -25 | NC      | $183363.27    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    4371000 | PA      | $4253055.33   | 0.30%             | 2030-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31711846 | PA      | $29903317.19  | 2.12%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY3DRN16 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY3DRN16 IRS USD P F  2.96150 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6387000 | OU      | $306754.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY312GD6 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY312GD6 IRS USD P F  2.73115 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6337089 | OU      | $419246.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY4HVPN1 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY4HVPN1 IRS USD P F  2.90000 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5298257 | OU      | $281975.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY0ZE0A2 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY0ZE0A2 IRS USD P F  2.34000 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5678000 | OU      | $544233.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY3DRF80 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY3DRF80 IRS USD P F  2.95600 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6387000 | OU      | $309543.91    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   21620000 | PA      | $2556437.35   | 0.18%             | 2026-06-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   16515000 | PA      | $1911313.49   | 0.14%             | 2027-12-01      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    7668399 | PA      | $7986442.77   | 0.57%             | 2029-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY91ARC5 IRS EUR R F  2.41500 2 CCPINFLATIONZERO / Short: SRY91ARC5 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6830000 | OU      | $-179262.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY164S14 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY164S14 IRS USD P F  2.57950 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6733000 | OU      | $520195.69    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                       | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-49059.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY1DMY68 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY1DMY68 IRS USD P F  2.64390 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4793000 | OU      | $346736.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                      | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |          1 | NC      | $-21779.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-OAT FUTURE MAR23                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -119 | NC      | $1121695.01   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                            | Spruce Hill Mortgage Loan Trust 2022-SH1                                                                           | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1158215 | PA      | $1030848.39   | 0.07%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 5YR NOTE (CBT) MAR23                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        391 | NC      | $-219015.85   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-18945.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30044683 | PA      | $28314894.47  | 2.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRY2LKUV0 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -12097000 | NC      | $-900723.87   | -0.06%            |  |  |  | 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      | $2147350.25   | 0.15%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                               | BB-UBS Trust 2012-SHOW                                                                                             | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930000 | PA      | $865357.93    | 0.06%             | 2036-11-05      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRY93HDP4 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRY93HDP4 IRS USD P F  2.99485 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3855000 | OU      | $-24263.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDEN I/L BOND                                            | Sweden Inflation Linked Bond                                                                                       | CUSIP: 000000000<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |   23635000 | PA      | $2857286.37   | 0.20%             | 2025-06-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED USD / SOLD GBP                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1018082.09  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY21DUU0 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY21DUU0 IRS USD P F  2.86600 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9645500 | OU      | $532342.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | XX        |          1 | NC      | $23003.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRY66QCH6 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BRY66QCH6 IRS EUR P F  2.60400 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     425000 | OU      | $13550.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                       | Deutsche Bundesrepublik Inflation Linked Bond                                                                      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   18019262 | PA      | $19592893.25  | 1.39%             | 2030-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Mortgage Corp                                     | ABN Amro Mortgage Corp                                                                                             | CUSIP: 000780BZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10872 | PA      | $10436.62     | 0.00%             | 2033-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   11745607 | PA      | $11410672.77  | 0.81%             | 2032-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                              | PURCHASED SEK / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | SE        |          1 | NC      | $11561.12     | 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        |  511067700 | PA      | $3977869.98   | 0.28%             | 2024-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRY38KJX2 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -25530000 | NC      | $-221825.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    4343000 | PA      | $3337400.60   | 0.24%             | 2027-11-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2022-INV2                                                                               | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700327 | PA      | $707198.94    | 0.05%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BOBL FUTURE MAR23                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -358 | NC      | $729091.22    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1027692648 | PA      | $8124284.69   | 0.58%             | 2026-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |          1 | NC      | $6003.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34379514 | PA      | $33270242.83  | 2.36%             | 2024-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY3CE490 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY3CE490 IRS USD P F  2.84750 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9137000 | OU      | $521535.67    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | PURCHASED USD / SOLD MXN                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8076.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-702720.25   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-NQM5 Trust                                                                                               | CUSIP: 12663DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2974994 | PA      | $2974642.77   | 0.21%             | 2067-05-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRYB3R1Y1 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   37937382 | NC      | $2058478.55   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                     | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-3212194.57  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY9YB382 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -17905500 | NC      | $-517739.14   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | 3 MONTH SOFR OPT JAN23C 95                                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        643 | NC      | $192900.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY4E0N46 IRS USD R F  2.68200 2 CCPOIS / Short: SRY4E0N46 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4466500 | OU      | $-315278.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   11473027 | PA      | $15118446.98  | 1.07%             | 2032-07-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| SPAIN I/L BOND                                             | Spain Government Inflation Linked Bond                                                                             | CUSIP: 000000000<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   11381182 | PA      | $12058104.96  | 0.86%             | 2027-11-30      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   10348807 | PA      | $11122053.81  | 0.79%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087WV2<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6520269 | PA      | $5846225.13   | 0.41%             | 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        |     -60000 | NS      | $-60000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets Ltd.                              | Long: SRY484ZU4 IRS USD R F  2.82850 2 CCPOIS / Short: SRY484ZU4 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: XKZZ2JZF41MRHTR1V493 | N/A              | DIR              |  | US        |    7392500 | OU      | $-435143.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRWUW7503 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWUW7503 IRS USD P F  3.07000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2530000 | OU      | $80472.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYBGY8D1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BRYBGY8D1 IRS EUR P F  2.57000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6765000 | OU      | $-13576.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                       | FirstKey Homes 2022-SFR1 Trust                                                                                     | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2111499.50   | 0.15%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY1F1MS7 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY1F1MS7 IRS USD P F  2.74750 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6856000 | OU      | $440444.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY3LAH45 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY3LAH45 IRS USD P F  3.08900 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   18150000 | OU      | $688410.08    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHLAND I/L BOND                                       | Deutsche Bundesrepublik Inflation Linked Bond                                                                      | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |   34091211 | PA      | $36183459.13  | 2.57%             | 2026-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRYA5ZL21 IRS USD R F  2.59600 2 CCPINFLATIONZERO / Short: SRYA5ZL21 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $4344.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-26610.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                   | OBX 2022-NQM9 Trust                                                                                                | CUSIP: 67118LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2006771 | PA      | $2006968.13   | 0.14%             | 2062-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRY91ASX8 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BRY91ASX8 IRS EUR P F  2.55500 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6830000 | OU      | $151064.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33140196 | PA      | $29430491.36  | 2.09%             | 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      | $2196389.50   | 0.16%             | 2041-05-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY93HC34 IRS USD R F  3.17000 2 CCPINFLATIONZERO / Short: SRY93HC34 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3855000 | OU      | $10918.48     | 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        |  978091192 | PA      | $7732167.11   | 0.55%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                    | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-83414.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Irvine Core Office Trust                                   | Irvine Core Office Trust 2013-IRV                                                                                  | CUSIP: 46361TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798000 | PA      | $763397.20    | 0.05%             | 2048-05-15      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    3234000 | PA      | $13128922.44  | 0.93%             | 2030-07-22      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Ltd.                              | Long: SRY8BMUC6 IRS USD R F  3.47900 2 CCPOIS / Short: SRY8BMUC6 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: XKZZ2JZF41MRHTR1V493 | N/A              | DIR              |  | US        |    6187000 | OU      | $-42496.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRYA5WJC9 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -23400400 | NC      | $-786465.92   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY5P3NX1 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -15296000 | NC      | $-1390890.37  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY6ERY73 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY6ERY73 IRS USD P F  2.98858 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9027000 | OU      | $420734.84    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRY5LQQE3 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -36800000 | NC      | $-3285089.26  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  988929695 | PA      | $7825384.70   | 0.56%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY8FAGW0 IRS USD R F  3.41250 2 CCPOIS / Short: SRY8FAGW0 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3514000 | OU      | $-43202.73    | -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        |  984268497 | PA      | $7855998.56   | 0.56%             | 2027-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14856237 | PA      | $14845952.62  | 1.05%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US 2YR NOTE (CBT) MAR23                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        869 | NC      | $-615418.78   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                             | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-10312528.86 | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                     | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $11991.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRWV96F40 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRWV96F40 IRS USD P F  3.17000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12055000 | OU      | $319563.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY9YB390 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -17905500 | NC      | $-886749.12   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                                      | Japanese Government CPI Linked Bond                                                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  378204750 | PA      | $3115203.71   | 0.22%             | 2030-03-10      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY10MBW0 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY10MBW0 IRS USD P F  2.43700 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7582000 | OU      | $669471.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                 | Progress Residential 2019-SFR4 Trust                                                                               | CUSIP: 74331AAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     810893 | PA      | $756454.10    | 0.05%             | 2036-10-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   16051046 | PA      | $21465056.25  | 1.52%             | 2032-11-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRYBGY981 IRS EUR R F  2.76500 2 CCPINFLATIONZERO / Short: SRYBGY981 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6765000 | OU      | $10458.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28504832 | PA      | $27155243.75  | 1.93%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15275286 | PA      | $18388920.42  | 1.30%             | 2028-08-10      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY38JKS4 IRS USD R F  2.78000 2 CCPOIS / Short: SRY38JKS4 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15000000 | OU      | $-935561.40   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   14953719 | PA      | $18354897.88  | 1.30%             | 2024-03-22      | 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      | $2331122.25   | 0.17%             | 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        |    3447000 | PA      | $2818416.68   | 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      | $1910651.08   | 0.14%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8679982 | PA      | $8135846.95   | 0.58%             | 2026-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82044712 | PA      | $80301666.19  | 5.70%             | 2024-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY8UFU06 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY8UFU06 IRS USD P F  3.64600 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3514000 | OU      | $-23897.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     460223 | PA      | $494610.57    | 0.04%             | 2028-03-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust 2021-1               | Pagaya AI Technology in Housing Trust 2022-1                                                                       | CUSIP: 69547NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1375000 | PA      | $1244003.48   | 0.09%             | 2025-08-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | PURCHASED USD / SOLD JPY                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-1722.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    5374000 | PA      | $5317828.74   | 0.38%             | 2025-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY0K2DC6 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY0K2DC6 IRS USD P F  2.29400 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    7690000 | OU      | $763056.71    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY8FK823 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  -11382267 | NC      | $-322509.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY1NBSJ0 IRS EUR R F  3.21500 2 CCPINFLATIONZERO / Short: SRY1NBSJ0 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4612800 | OU      | $-131219.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                           | BRY4U77H2 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -5850000 | NC      | $-56954.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY5LPMT6 IRS USD R F  2.54000 2 CCPOIS / Short: SRY5LPMT6 IRS USD P V 00MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   20433000 | OU      | $-1686096.22  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY0EPFU0 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY0EPFU0 IRS USD P F  2.22700 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9569000 | OU      | $998253.58    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2022-AFC2 Trust                                                                                              | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     505341 | PA      | $503167.15    | 0.04%             | 2057-08-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                              | PURCHASED MXN / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |          1 | NC      | $5691.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23610407 | PA      | $26527941.43  | 1.88%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRYBWC486 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BRYBWC486 IRS EUR P F  2.47000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   13700000 | OU      | $109494.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRYBGY4F0 IRS EUR R F  3.08000 2 CCPINFLATIONZERO / Short: SRYBGY4F0 IRS EUR P V 12MFRCPX 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6765000 | OU      | $1775.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY5U1048 IRS EUR R F  2.44100 2 CCPINFLATIONZERO / Short: SRY5U1048 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     845000 | OU      | $-72068.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SWAP CCPC CITIGROUP COC                                    | SWAP CCPC CITIGROUP COC                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    7893000 | NS      | $7893000.00   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33321145 | PA      | $30519392.88  | 2.16%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR2 Trust                                                                                 | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1360627.95   | 0.10%             | 2039-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                         | Tricon Residential 2022-SFR2 Trust                                                                                 | CUSIP: 89616QAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     600000 | PA      | $539703.00    | 0.04%             | 2039-04-17      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY6EPB23 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY6EPB23 IRS USD P F  2.93350 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    9027000 | OU      | $460987.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRY60D1Z3 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -16993000 | NC      | $-1268320.82  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                       | PURCHASED USD / SOLD SEK                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5500.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY3G4PY0 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY3G4PY0 IRS USD P F  3.16850 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5414000 | OU      | $171083.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY93H1B8 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY93H1B8 IRS USD P F  3.84800 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   12416000 | OU      | $-290304.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: BRY7XH525 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BRY7XH525 IRS EUR P F  3.08000 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3065000 | OU      | $-1499.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                                    | Canadian Government Real Return Bond                                                                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6141771 | PA      | $5002862.84   | 0.35%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                                      | Australia Government Bond                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    2739000 | PA      | $1752994.91   | 0.12%             | 2032-11-21      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                          | EURO-BUXL 30Y BND MAR23                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -15 | NC      | $413331.24    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED KINGDOM I/L GILT                                    | United Kingdom Inflation-Linked Gilt                                                                               | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15483015 | PA      | $18658046.80  | 1.32%             | 2029-03-22      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY1EA367 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY1EA367 IRS USD P F  2.67890 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5756000 | OU      | $400711.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-153157.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    7289368 | PA      | $7550710.50   | 0.54%             | 2026-05-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRY9Z3KT4 IRS USD R F  3.55600 2 CCPOIS / Short: SRY9Z3KT4 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5016000 | OU      | $-2317.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36700260 | PA      | $32144748.90  | 2.28%             | 2032-01-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY130P00 IRS USD R V 00MSOFR 1 CCPOIS / Short: BRY130P00 IRS USD P F  2.43950 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5689000 | OU      | $501683.78    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35540748 | PA      | $34114893.36  | 2.42%             | 2026-01-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | BRY6BC0T8 BLACKROCK                                                                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   46042000 | NC      | $2890247.41   | 0.20%             |  |  |  | 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        |      29494 | PA      | $27839.16     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                   | BRY05EGF7                                                                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -21367500 | NC      | $-5170.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY9RGGL6 IRS EUR R F  2.64650 2 CCPINFLATIONZERO / Short: SRY9RGGL6 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     465000 | OU      | $-1583.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   27304279 | PA      | $26293995.19  | 1.86%             | 2024-10-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                             | JPN 10Y BOND(OSE) MAR23                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -39 | NC      | $706581.75    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                | Long: BRY5U10F3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BRY5U10F3 IRS USD P F  2.42600 2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     535000 | OU      | $6210.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRYBBSJ62 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRYBBSJ62 IRS USD P F  3.28550 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4809000 | OU      | $109652.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                      | PURCHASED JPY / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | JP        |          1 | NC      | $97428.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                   | PURCHASED USD / SOLD EUR                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5311.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33309241 | PA      | $29823028.20  | 2.12%             | 2030-07-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                             | European Union                                                                                                     | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    3450000 | PA      | $2008207.14   | 0.14%             | 2051-07-06      | Fixed         | 0.70%                 | 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      | $1798496.40   | 0.13%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: SRYA5TUN9 IRS USD R F  3.47000 2 CCPOIS / Short: SRYA5TUN9 IRS USD P V 12MSOFR 1 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    5324000 | OU      | $-40159.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                | Long: SRY140CB9 IRS EUR R F  3.28000 2 CCPINFLATIONZERO / Short: SRY140CB9 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6840000 | OU      | $-170967.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                                   | Italy Buoni Poliennali Del Tesoro                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   10731804 | PA      | $12200905.48  | 0.87%             | 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        |   13185510 | PA      | $13906771.21  | 0.99%             | 2033-04-15      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25422656 | PA      | $24721836.02  | 1.75%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                 | Verus Securitization Trust 2022-7                                                                                  | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2206024 | PA      | $2214510.32   | 0.16%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                     | US ULTRA BOND CBT MAR23                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -60 | NC      | $623169.05    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                       | PURCHASED EUR / SOLD USD                                                                                           | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | XX        |          1 | NC      | $2388.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34418322 | PA      | $33054617.41  | 2.34%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11932842 | PA      | $11120226.39  | 0.79%             | 2027-04-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                | Long: BRY6BGA50 IRS USD R V 12MSOFR 1 CCPOIS / Short: BRY6BGA50 IRS USD P F  2.92500 2 CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    8911623 | OU      | $461127.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                          | PURCHASED USD / SOLD AUD                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-11777.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                     | United States Treasury Inflation Indexed Bonds                                                                     | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30597663 | PA      | $28831371.67  | 2.04%             | 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        |    1016000 | NS      | $1016000.00   | 0.07%             |  |  |  | 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        |      45499 | PA      | $42688.76     | 0.00%             | 2033-11-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                           | French Republic Government Bond OAT                                                                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     835800 | PA      | $1099134.21   | 0.08%             | 2029-07-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

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

**Signature:** William Flory

**Name of Signer:** William Flory

**Title:** VP