NPORT-P false 0000914036 XXXXXXXX S000028580 C000087492 C000087493 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST 811-08090 0000914036 3EICVM5HD7FVBIM8WO57 1301 S. Harrison Street FORT WAYNE 46802 260-455-2000 LVIP BlackRock Inflation Protected Bond Fund S000028580 MZ4W4ROOON3S99B8WI92 2026-12-31 2026-06-30 N 1223920688.31 76591854.94 1147328833.37 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 4271210.88000000 0.00000000 0.00000000 1045834.33000000 AUD CAD EUR GBP JPY USD N BBG World Govt 1-10yr inflation-linked Bond Index USD hedged BCIW3E ABN AMRO Mortgage Corp N/A 000780BZ8 2514.89000000 PA USD 2476.33000000 0.000215834373 Long ABS-MBS CORP US N 2 2033-03-25 Fixed 5.50000000 N N N N N N AMSR Trust N/A 00179WAE4 2500000.00000000 PA USD 2478467.25000000 0.216020654054 Long ABS-O CORP US N 2 2039-03-17 Fixed 4.39000000 N N N N N N A&D Mortgage Trust 984500ABEA43F1DF4450 00248BAC1 1131370.39000000 PA USD 1122268.74000000 0.097815788059 Long ABS-MBS CORP US N 2 2071-04-25 Variable 5.08000000 N N N N N N ALLO Issuer, LLC N/A 01983KAU8 146000.00000000 PA USD 147425.41000000 0.012849446968 Long ABS-O CORP US N 2 2056-06-20 Fixed 5.61000000 N N N N N N UMBS, TBA N/A 01F032674 5124000.00000000 PA USD 4648428.75000000 0.405152264529 Long ABS-MBS USGSE US N 2 2056-07-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F032682 1200000.00000000 PA USD 1087828.13000000 0.094813979947 Long ABS-MBS USGSE US N 2 2056-08-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F050676 6531000.00000000 PA USD 6416719.13000000 0.559274633685 Long ABS-MBS USGSE US N 2 2056-07-01 Fixed 5.00000000 N N N N N N UMBS, TBA N/A 01F052672 9407236.00000000 PA USD 9437294.38000000 0.822544862947 Long ABS-MBS USGSE US N 2 2056-07-01 Fixed 5.50000000 N N N N N N Angel Oak Mortgage Trust 254900DKH168ZWJSMI96 03466QAA1 971794.98000000 PA USD 975851.93000000 0.085054249628 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.64000000 N N N N N N ARES Commercial Mortgage Trust N/A 03990DAA5 1150000.00000000 PA USD 1155243.66000000 0.100689848141 Long ABS-MBS CORP US N 2 2041-07-15 Floating 5.32000000 N N N N N N ARES Commercial Mortgage Trust N/A 03990QAA6 970000.00000000 PA USD 970000.00000000 0.084544201434 Long ABS-MBS CORP US N 2 2038-03-15 Floating 4.98000000 N N N N N N ARES Commercial Mortgage Trust N/A 04021QAA7 425000.00000000 PA USD 425000.04000000 0.037042565970 Long ABS-MBS CORP US N 2 2043-02-15 Floating 4.88000000 N N N N N N Banc of America Merrill Lynch Large Loan Inc 549300BOMGFOVRYRQK33 05493WAA0 770000.00000000 PA USD 772874.56000000 0.067362951014 Long ABS-MBS CORP US N 2 2039-08-15 Floating 5.98000000 N N N N N N The BAHA Trust N/A 05493XAA8 1150000.00000000 PA USD 1169896.61000000 0.101966984178 Long ABS-MBS CORP US N 2 2041-12-10 Variable 6.17000000 N N N N N N BFLD Trust N/A 05494JAA8 954000.00000000 PA USD 955191.26000000 0.083253486900 Long ABS-MBS CORP US N 2 2042-06-15 Floating 5.18000000 N N N N N N BFLD Trust N/A 05556QAA7 876000.00000000 PA USD 877914.41000000 0.076518116207 Long ABS-MBS CORP US N 2 2042-11-15 Floating 5.13000000 N N N N N N BX Trust N/A 05594LAA2 1247876.73000000 PA USD 1249434.70000000 0.108899442222 Long ABS-MBS CORP US N 2 2042-11-15 Floating 5.03000000 N N N N N N BOS Trust N/A 05595BAA3 545000.00000000 PA USD 540749.33000000 0.047131154928 Long ABS-MBS CORP US N 2 2041-05-11 Variable 5.22000000 N N N N N N BX Trust N/A 05595DAE1 1162000.00000000 PA USD 1166356.11000000 0.101658397843 Long ABS-MBS CORP US N 2 2043-05-15 Floating 5.43000000 N N N N N N BX Trust N/A 05611VAG6 415391.99000000 PA USD 416690.17000000 0.036318286255 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.77000000 N N N N N N BX Trust N/A 05612TAA3 640946.00000000 PA USD 639343.89000000 0.055724555280 Long ABS-MBS CORP US N 2 2041-06-15 Floating 5.12000000 N N N N N N BX Trust N/A 05619HAA2 411000.00000000 PA USD 411257.04000000 0.035844740238 Long ABS-MBS CORP US N 2 2042-10-15 Floating 4.98000000 N N N N N N BX Trust N/A 05619PAA4 1086000.00000000 PA USD 1088032.88000000 0.094831825746 Long ABS-MBS CORP US N 2 2044-12-15 Floating 5.33000000 N N N N N N BX Trust N/A 05619TAA6 1250000.00000000 PA USD 1251978.50000000 0.109121157211 Long ABS-MBS CORP US N 2 2042-12-13 Variable 5.20000000 N N N N N N BX Trust N/A 05620QAA9 1155000.00000000 PA USD 1154999.54000000 0.100668570893 Long ABS-MBS CORP US N 2 2043-06-15 Floating 4.85000000 N N N N N N BX Trust N/A 05620QAE1 550000.00000000 PA USD 550859.71000000 0.048012365241 Long ABS-MBS CORP US N 2 2043-06-15 Floating 5.50000000 N N N N N N Barclays Mortgage Loan Trust N/A 06745VAA6 1131719.38000000 PA USD 1133922.05000000 0.098831478563 Long ABS-MBS CORP US N 2 2065-05-25 Variable 5.64000000 N N N N N N BHMS Mortgage Trust N/A 088928AA4 1160000.00000000 PA USD 1161808.09000000 0.101261997102 Long ABS-MBS CORP US N 2 2042-08-15 Floating 5.48000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 2219000.00000000 PA 10061457.18000000 0.876946250051 Long DBT NUSS GB N 2 2030-07-22 Fixed 4.13000000 N N N N N N BRAVO Residential Funding Trust 2549000KHGUZMZ31N203 10568EAA0 1047543.92000000 PA USD 1043649.68000000 0.090963431724 Long ABS-MBS CORP US N 2 2062-09-25 Variable 4.85000000 N N N N N N Bridge Commercial Mortgage Trust N/A 10804AAA2 1125000.00000000 PA USD 1126754.89000000 0.098206796275 Long ABS-MBS CORP US N 2 2039-06-15 Floating 4.85000000 N N N N N N Bridge Commercial Mortgage Trust N/A 10804AAE4 400000.00000000 PA USD 401123.36000000 0.034961499121 Long ABS-MBS CORP US N 2 2039-06-15 Floating 5.45000000 N N N N N N BX Trust N/A 123917AA4 591904.47000000 PA USD 593013.76000000 0.051686468844 Long ABS-MBS CORP US N 2 2038-05-15 Floating 4.83000000 N N N N N N BX Trust N/A 123917AE6 371371.93000000 PA USD 372878.73000000 0.032499726247 Long ABS-MBS CORP US N 2 2038-05-15 Floating 5.28000000 N N N N N N BX Trust N/A 12433BAA5 789732.43000000 PA USD 790719.44000000 0.068918292385 Long ABS-MBS CORP US N 2 2041-05-15 Floating 5.27000000 N N N N N N BX Trust N/A 12433CAA3 424953.07000000 PA USD 426606.52000000 0.037182585113 Long ABS-MBS CORP US N 2 2041-08-15 Floating 5.32000000 N N N N N N CIP Commercial Mortgage Trust 2025-SBAY N/A 12576AAA4 1047000.00000000 PA USD 1049616.03000000 0.091483452648 Long ABS-MBS CORP US N 2 2037-10-15 Floating 5.03000000 N N N N N N CRSNT Trust N/A 12642SAA5 1230000.00000000 PA USD 1229999.75000000 0.107205511987 Long ABS-MBS CORP US N 2 2043-02-15 Floating 5.03000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12663DAC8 2111267.81000000 PA USD 2104652.57000000 0.183439351368 Long ABS-MBS CORP US N 2 2067-05-25 Variable 5.17000000 N N N N N N Countrywide Home Loans N/A 12669FVY6 16122.82000000 PA USD 15716.05000000 0.001369794739 Long ABS-MBS CORP US N 2 2034-05-25 Fixed 5.50000000 N N N N N N CVLR Trust N/A 12690MAA9 903000.00000000 PA USD 902285.30000000 0.078642257891 Long ABS-MBS CORP US N 2 2043-06-15 Floating 5.15000000 N N N N N N CANADIAN GOVERNMENT RRB 4BFD7AQU0A75QLAHK410 135087WV2 5091841.70000000 PA 4175328.14000000 0.363917302394 Long DBT NUSS CA N 2 2031-12-01 Fixed 4.00000000 N N N N N N COLT Funding LLC 213800A53WDNKWGEVL75 19688UAD4 691509.08000000 PA USD 687048.43000000 0.059882433877 Long ABS-MBS CORP US N 2 2071-01-26 Variable 4.98000000 N N N N N N COMM Mortgage Trust 5493004GWEVMOU8S3L34 20047DAA2 540000.00000000 PA USD 539832.44000000 0.047051239740 Long ABS-MBS CORP US N 2 2041-06-15 Floating 5.47000000 N N N N N N CART N/A 20682AAA8 210000.00000000 PA USD 209147.13000000 0.018229048544 Long ABS-MBS CORP US N 2 2041-08-15 Floating 5.27000000 N N N N N N Cross Mortgage Trust N/A 22758NAA5 950681.22000000 PA USD 954681.78000000 0.083209081148 Long ABS-MBS CORP US N 2 2070-02-25 Variable 5.74000000 N N N N N N Cross Mortgage Trust N/A 22758YAC7 536879.79000000 PA USD 532772.98000000 0.046435944474 Long ABS-MBS CORP US N 2 2071-01-25 Variable 4.97000000 N N N N N N DBC 2025-DBC Mortgage Trust N/A 23306HAA3 1445000.00000000 PA USD 1446354.25000000 0.126062747482 Long ABS-MBS CORP US N 2 2042-11-15 Floating 4.98000000 N N N N N N DBGS Mortgage Trust N/A 23306QAA3 833756.52000000 PA USD 833236.76000000 0.072624058226 Long ABS-MBS CORP US N 2 2034-08-15 Floating 5.51000000 N N N N N N DBSG 2024-ALTA Mortgage Trust N/A 239918AA3 215000.00000000 PA USD 215998.76000000 0.018826229561 Long ABS-MBS CORP US N 2 2037-06-10 Variable 6.14000000 N N N N N N Deephaven Residential Mortgage Trust N/A 24380QAC6 407191.50000000 PA USD 409073.95000000 0.035654464361 Long ABS-MBS CORP US N 2 2069-07-25 Variable 5.74000000 N N N N N N Ellington Financial Mortgage Trust 254900UDLJF220C8I638 26847XAE9 1640000.00000000 PA USD 1640814.75000000 0.143011724474 Long ABS-MBS CORP US N 2 2071-07-25 Variable 5.60000000 N N N N N N Elm CLO Ltd 254900IIXJ23M1M8Y987 26860XAA9 430000.00000000 PA USD 429982.07000000 0.037476794576 Long ABS-MBS CORP US N 2 2039-06-10 Variable 5.99000000 N N N N N N Elm CLO Ltd 254900IIXJ23M1M8Y987 26860XAU5 430000.00000000 PA USD 429982.07000000 0.037476794576 Long ABS-MBS CORP US N 2 2039-06-10 Variable 5.99000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 163009.57000000 0.014207746311 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 7565000.00000000 NZD 4459926.08000000 USD 2026-07-02 163009.57000000 N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 520495.26000000 0.045365831038 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 27608000.00000000 AUD 19634257.44000000 USD 2026-07-02 520495.26000000 N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 000000000 1.00000000 NC 62709.23000000 0.005465671930 N/A DFE US N 2 NatWest Markets PLC RR3QWICWWIPCS8A4S074 23014000.00000000 DKK 3581150.70000000 USD 2026-07-02 62709.23000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 1424988.44000000 0.124200525477 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 107778000.00000000 GBP 144386802.37000000 USD 2026-07-02 1424988.44000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 313607.20000000 0.027333680709 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 71995000.00000000 SEK 7739364.73000000 USD 2026-07-02 313607.20000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 98159.45000000 0.008555476611 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 5548000.00000000 CAD 4010358.41000000 USD 2026-07-02 98159.45000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 556174.91000000 0.048475632601 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 4101974000.00000000 JPY 25788271.42000000 USD 2026-07-02 556174.91000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 4501679.79000000 0.392361776246 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 215030000.00000000 EUR 250214713.81000000 USD 2026-07-02 4501679.79000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 10372.45000000 0.000904052064 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 477431.00000000 CAD 347035.22000000 USD 2026-07-02 10372.45000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 11277.73000000 0.000982955336 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 526418.00000000 GBP 709543.35000000 USD 2026-07-02 11277.73000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1456.42000000 0.000126940067 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 9963426.00000000 JPY 62743.53000000 USD 2026-07-02 1456.42000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 4241.51000000 0.000369685645 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 135578.00000000 NZD 81249.75000000 USD 2026-07-02 4241.51000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 21385.05000000 0.001863898943 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 829488.00000000 EUR 969234.25000000 USD 2026-07-02 21385.05000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 165591.07000000 0.014432747193 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 6202000.00000000 EUR 7252566.08000000 USD 2026-07-02 165591.07000000 N N N Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 000000000 1.00000000 NC 6620.25000000 0.000577014174 N/A DFE US N 2 Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 247541.00000000 AUD 177999.55000000 USD 2026-07-02 6620.25000000 N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 5469.77000000 0.000476739522 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 38439000.00000000 JPY 241916.07000000 USD 2026-07-02 5469.77000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 9616.59000000 0.000838172084 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 476000.00000000 GBP 641005.40000000 USD 2026-07-02 9616.59000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 173.84000000 0.000015151715 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 11000.00000000 GBP 14764.76000000 USD 2026-07-02 173.84000000 N N N Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 000000000 1.00000000 NC 9426.50000000 0.000821604035 N/A DFE US N 2 Commonwealth Bank of Australia MSFSBD3QN1GSN7Q6C537 807000.00000000 GBP 1079869.30000000 USD 2026-07-02 9426.50000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 1779.60000000 0.000155108103 N/A DFE BR N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 242000.00000000 USD 1282043.40000000 BRL 2026-09-16 1779.60000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 22369.47000000 0.001949699976 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 1716000.00000000 EUR 1983228.73000000 USD 2026-07-02 22369.47000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1.00000000 NC 7732.11000000 0.000673922747 N/A DFE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 3355000.00000000 SEK 353775.81000000 USD 2026-07-02 7732.11000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 16685.47000000 0.001454288388 N/A DFE US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 5147954.99000000 PEN 1518000.00000000 USD 2026-09-17 16685.47000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 1.00000000 NC 59573.70000000 0.005192382363 N/A DFE US N 2 HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 66416000.00000000 MXN 3832953.50000000 USD 2026-09-17 59573.70000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 15302.98000000 0.001333791983 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 16542000.00000000 MXN 955125.44000000 USD 2026-09-17 15302.98000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -5441.12000000 -0.00047424241 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 505000.00000000 GBP 664414.66000000 USD 2026-07-02 -5441.12000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1890.77000000 -0.00016479756 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 368000.00000000 EUR 418619.84000000 USD 2026-07-02 -1890.77000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -107633.66000000 -0.00938123900 N/A DFE JP N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 25637460.96000000 USD 4150376000.00000000 JPY 2026-07-02 -107633.66000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 106116.29000000 0.009248986595 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4150376000.00000000 JPY 25704466.17000000 USD 2026-08-04 106116.29000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 492105.48000000 0.042891407039 N/A DFE XX N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 255621709.99000000 USD 224132000.00000000 EUR 2026-07-02 492105.48000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -503403.27000000 -0.04387611078 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 224132000.00000000 EUR 255965752.61000000 USD 2026-08-04 -503403.27000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -23160.47000000 -0.00201864272 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 75350000.00000000 SEK 7762998.49000000 USD 2026-08-04 -23160.47000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 6829.30000000 0.000595234757 N/A DFE DK N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3511612.17000000 USD 23014000.00000000 DKK 2026-07-02 6829.30000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -7032.92000000 -0.00061298206 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 23014000.00000000 DKK 3517695.70000000 USD 2026-08-04 -7032.92000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 20478.96000000 0.001784925071 N/A DFE NZ N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 4325285.51000000 USD 7651000.00000000 NZD 2026-07-02 20478.96000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -20483.41000000 -0.00178531292 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 7651000.00000000 NZD 4330191.33000000 USD 2026-08-04 -20483.41000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC -5620.01000000 -0.00048983428 N/A DFE US N 2 Bank of America NA B4TYDEB6GKMZO031MB27 5941000.00000000 CAD 4190039.78000000 USD 2026-08-04 -5620.01000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC 5256.80000000 0.000458177276 N/A DFE CA N 2 Bank of America NA B4TYDEB6GKMZO031MB27 4184068.00000000 USD 5941000.00000000 CAD 2026-07-02 5256.80000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 22649.55000000 0.001974111461 N/A DFE SE N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 7749151.68000000 USD 75350000.00000000 SEK 2026-07-02 22649.55000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -363162.61000000 -0.03165287923 N/A DFE US N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 110089000.00000000 GBP 145661221.89000000 USD 2026-08-04 -363162.61000000 N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC 361993.01000000 0.031550938098 N/A DFE GB N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 145665240.14000000 USD 110089000.00000000 GBP 2026-07-02 361993.01000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC 67244.09000000 0.005860925660 N/A DFE AU N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 19090827.02000000 USD 27672000.00000000 AUD 2026-07-02 67244.09000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 1.00000000 NC -67278.84000000 -0.00586395443 N/A DFE US N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 27672000.00000000 AUD 19078822.90000000 USD 2026-08-04 -67278.84000000 N N N Ellington Financial Mortgage Trust 254900VW35KQDQ4B4241 281916AC0 515337.95000000 PA USD 511552.90000000 0.044586424146 Long ABS-MBS CORP US N 2 2070-12-25 Variable 5.00000000 N N N N N N Enterprise Fleet Financing LLC N/A 29373NAD9 508000.00000000 PA USD 500416.37000000 0.043615775656 Long ABS-O CORP US N 2 2032-06-20 Fixed 4.28000000 N N N N N N FS Trust N/A 30343YAA6 1145000.00000000 PA USD 1146072.18000000 0.099890471385 Long ABS-MBS CORP US N 2 2041-02-15 Floating 4.98000000 N N N N N N FS Trust N/A 30343YAE8 790000.00000000 PA USD 791234.85000000 0.068963214990 Long ABS-MBS CORP US N 2 2041-02-15 Floating 5.48000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BT7D9 273571.47000000 PA USD 276587.27000000 0.024107061720 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BTQ22 68624.31000000 PA USD 69381.85000000 0.006047250620 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BU2R0 334535.34000000 PA USD 337828.24000000 0.029444761621 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 4.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BUXZ8 433814.36000000 PA USD 439520.58000000 0.038308161288 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.08000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BVAP3 112194.87000000 PA USD 113435.42000000 0.009886914431 Long ABS-MBS USGSE US N 2 2054-08-25 Floating 5.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BVN46 257152.11000000 PA USD 260622.07000000 0.022715551324 Long ABS-MBS USGSE US N 2 2055-05-25 Floating 5.23000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BWKS4 155850.01000000 PA USD 157968.67000000 0.013768386656 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BWLP9 291037.43000000 PA USD 295370.74000000 0.025744209629 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.18000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHC58 368708.94000000 PA USD 370891.48000000 0.032326519582 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.73000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHLV1 438195.25000000 PA USD 444189.72000000 0.038715118724 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHMR9 120504.17000000 PA USD 121657.48000000 0.010603540716 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HHSB8 214953.38000000 PA USD 217322.79000000 0.018941630653 Long ABS-MBS USGSE US N 2 2054-02-25 Floating 5.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HJAC1 290568.43000000 PA USD 292627.78000000 0.025505136059 Long ABS-MBS USGSE US N 2 2054-10-25 Floating 4.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HJGG6 317367.32000000 PA USD 321916.59000000 0.028057918587 Long ABS-MBS USGSE US N 2 2055-02-25 Floating 5.23000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKBM5 1175346.11000000 PA USD 1193967.59000000 0.104064986015 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKE75 3170601.18000000 PA USD 3198794.80000000 0.278803661771 Long ABS-MBS USGSE US N 2 2055-01-25 Floating 4.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HKJ62 168836.19000000 PA USD 170728.00000000 0.014880476724 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.03000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HL3Y6 215349.14000000 PA USD 218289.84000000 0.019025917736 Long ABS-MBS USGSE US N 2 2055-05-25 Floating 5.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLLC4 163769.01000000 PA USD 165995.06000000 0.014467958546 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLLF7 166959.72000000 PA USD 169240.07000000 0.014750790277 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HLLH3 220575.78000000 PA USD 223587.76000000 0.019487678989 Long ABS-MBS USGSE US N 2 2055-06-25 Floating 5.13000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HMKA7 398215.77000000 PA USD 401954.98000000 0.035033982264 Long ABS-MBS USGSE US N 2 2055-08-25 Floating 4.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137HMM23 242914.23000000 PA USD 245666.62000000 0.021412049697 Long ABS-MBS USGSE US N 2 2055-05-25 Floating 5.03000000 N N N N N N Ellington Financial Mortgage Trust 254900UDLJF220C8I638 31573JAA8 1355252.56000000 PA USD 1135974.59000000 0.099010375836 Long ABS-MBS CORP US N 2 2066-09-25 Variable 1.24000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 4245000.00000000 PA 13623841.15000000 1.187439969584 Long DBT NUSS GB N 2 2035-01-26 Fixed 2.00000000 N N N N N N Firstkey Homes Trust N/A 33768NAJ1 2500000.00000000 PA USD 2482005.00000000 0.216329000702 Long ABS-O CORP US N 2 2039-05-19 Fixed 5.00000000 N N N N N N Firstkey Homes Trust N/A 33768NAL6 2500000.00000000 PA USD 2479924.75000000 0.216147688253 Long ABS-O CORP US N 2 2039-05-19 Fixed 5.00000000 N N N N N N Foundation Finance Trust 549300MQ65NOVQXYNB21 35042TAA0 506442.39000000 PA USD 500523.90000000 0.043625147860 Long ABS-O CORP US N 2 2052-08-15 Fixed 4.56000000 N N N N N N 425 Trust N/A 35115AAC9 510000.00000000 PA USD 510000.00000000 0.044451074981 Long ABS-MBS CORP US N 2 2043-07-15 Floating 5.74000000 N N N N N N 425 Trust N/A 35115AAE5 510000.00000000 PA USD 510000.00000000 0.044451074981 Long ABS-MBS CORP US N 2 2043-07-15 Floating 6.34000000 N N N N N N 425 Trust N/A 35115AAG0 510000.00000000 PA USD 510000.00000000 0.044451074981 Long ABS-MBS CORP US N 2 2043-07-15 Floating 7.14000000 N N N N N N GS Mortgage-Backed Securities Trust 254900W4Z6DJOVCWAH28 36274UAE6 1118773.09000000 PA USD 1110996.39000000 0.096833301638 Long ABS-MBS CORP US N 2 2066-05-25 Variable 5.22000000 N N N N N N Greensky Home Improvement Issuer Trust N/A 39571YAA0 663000.00000000 PA USD 662624.81000000 0.057753696301 Long ABS-O CORP US N 2 2041-05-15 Fixed 4.93000000 N N N N N N Greensky Home Improvement Issuer Trust N/A 39571YAC6 115000.00000000 PA USD 115006.35000000 0.010023835072 Long ABS-O CORP US N 2 2041-05-15 Fixed 5.45000000 N N N N N N HONO Mortgage Trust N/A 40390MAA3 150000.00000000 PA USD 148500.05000000 0.012943111484 Long ABS-MBS CORP US N 2 2036-10-15 Floating 4.89000000 N N N N N N Hilton USA Trust N/A 403956AA3 475000.00000000 PA USD 475297.16000000 0.041426411171 Long ABS-MBS CORP US N 2 2037-05-15 Floating 5.17000000 N N N N N N HOMES Trust 2549006ZK3R8WZLA9S73 403969AC2 572008.82000000 PA USD 574308.41000000 0.050056129794 Long ABS-MBS CORP US N 2 2060-01-25 Variable 5.73000000 N N N N N N HOMES Trust 2549001JI3VOZZFMYK81 43761YAA2 1071294.68000000 PA USD 1072393.94000000 0.093468751835 Long ABS-MBS CORP US N 2 2060-06-25 Variable 5.47000000 N N N N N N Iskandar Enterprise LLC N/A 464338AA0 865000.00000000 PA USD 860041.91000000 0.074960367506 Long ABS-O CORP US N 2 2056-04-17 Fixed 5.05000000 N N N N N N JP Morgan Mortgage Trust 529900371ZWA9WXVGB88 46656NAA7 582648.26000000 PA USD 567046.22000000 0.049423164790 Long ABS-MBS CORP US N 2 2063-07-25 Variable 4.63000000 N N N N N N LEX Trust N/A 501970AA5 683000.00000000 PA USD 684066.30000000 0.059622514496 Long ABS-MBS CORP US N 2 2043-03-15 Floating 4.98000000 N N N N N N LQR Trust N/A 50216WAA2 451000.00000000 PA USD 450437.29000000 0.039259650494 Long ABS-MBS CORP US N 2 2043-01-15 Floating 5.23000000 N N N N N N MF1 N/A 55287NAA5 1285000.00000000 PA USD 1285401.95000000 0.112034310706 Long ABS-CBDO CORP US N 2 2041-02-18 Floating 4.99000000 N N N N N N MLTI Trust N/A 55292MAA0 1680000.00000000 PA USD 1682624.16000000 0.146655789609 Long ABS-MBS CORP US N 2 2031-06-15 Floating 5.02000000 N N N N N N MLTI Trust N/A 55318JAA7 675000.00000000 PA USD 675420.73000000 0.058868975515 Long ABS-MBS CORP US N 2 2036-03-15 Floating 5.03000000 N N N N N N SWEDEN I/L BOND ERE94C0BSULG2RM19605 000000000 14075000.00000000 PA 2506164.32000000 0.218434702162 Long DBT NUSS SE N 2 2028-12-01 Fixed 3.50000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 904800.40000000 PA 1092837.64000000 0.095250603681 Long DBT NUSS FR N 2 2029-07-25 Fixed 3.40000000 N N N N N N Morgan Stanley Residential Mortgage Loan Trust N/A 617932AA6 589413.71000000 PA USD 591919.90000000 0.051591129132 Long ABS-MBS CORP US N 2 2069-11-25 Variable 5.74000000 N N N N N N Morgan Stanley Residential Mortgage Loan Trust N/A 617954AC6 1145508.91000000 PA USD 1141044.40000000 0.099452255256 Long ABS-MBS CORP US N 2 2071-04-27 Variable 5.28000000 N N N N N N MTN Commercial Mortgage Trust N/A 624944AA2 824000.00000000 PA USD 821670.63000000 0.071615966242 Long ABS-MBS CORP US N 2 2043-05-15 Variable 5.15000000 N N N N N N National Commercial Mortgage Trust 2026-IND N/A 62881KAA7 641000.00000000 PA USD 641399.15000000 0.055903689626 Long ABS-MBS CORP US N 2 2043-06-15 Floating 4.98000000 N N N N N N National Commercial Mortgage Trust 2026-IND N/A 62881KAE9 525000.00000000 PA USD 525817.37000000 0.045829700667 Long ABS-MBS CORP US N 2 2043-06-15 Floating 5.38000000 N N N N N N NYC Trust N/A 62956HAA4 183498.00000000 PA USD 183497.74000000 0.015993474116 Long ABS-MBS CORP US N 2 2029-08-15 Floating 5.62000000 N N N N N N NYC Commercial Mortgage Trust N/A 62979QAA7 750000.00000000 PA USD 749531.70000000 0.065328411367 Long ABS-MBS CORP US N 2 2043-02-15 Floating 4.88000000 N N N N N N New Residential Mortgage Loan Trust 2138008C4H1F2CU67V53 64831YAE6 1129264.92000000 PA USD 1120538.07000000 0.097664944644 Long ABS-MBS CORP US N 2 2065-10-26 Variable 5.01000000 N N N N N N AMSR Trust N/A 66981YAD1 2180000.00000000 PA USD 2140808.61000000 0.186590674594 Long ABS-O CORP US N 2 2039-10-17 Fixed 4.00000000 N N N N N N One New York Plaza Trust 2020-1NYP N/A 68249DAC3 89000.00000000 PA USD 86305.69000000 0.007522315093 Long ABS-MBS CORP US N 2 2036-01-15 Floating 4.99000000 N N N N N N PFP III N/A 69292DAA1 1360000.00000000 PA USD 1359576.22000000 0.118499263720 Long ABS-CBDO CORP US N 2 2043-12-18 Floating 4.97000000 N N N N N N PRKCM Trust N/A 69377TAA4 300550.83000000 PA USD 299708.24000000 0.026122261664 Long ABS-MBS CORP US N 2 2057-08-25 Variable 5.34000000 N N N N N N PRP Advisors, LLC N/A 69382NAA0 928502.39000000 PA USD 931025.60000000 0.081147232852 Long ABS-MBS CORP US N 2 2070-05-25 Variable 5.61000000 N N N N N N PENN Commercial Mortgage Trust N/A 69382VAA2 680000.00000000 PA USD 686999.24000000 0.059878146527 Long ABS-MBS CORP US N 2 2042-08-10 Variable 5.52000000 N N N N N N PRP Advisors, LLC N/A 69384EAE0 1140054.91000000 PA USD 1136472.74000000 0.099053794077 Long ABS-MBS CORP US N 2 2071-04-25 Variable 5.26000000 N N N N N N PRP Advisors, LLC N/A 693983AA6 636253.76000000 PA USD 638482.49000000 0.055649476543 Long ABS-MBS CORP US N 2 2070-04-25 Variable 5.69000000 N N N N N N PFP III N/A 716966AA4 1315000.00000000 PA USD 1320950.51000000 0.115132686600 Long ABS-CBDO CORP KY N 2 2043-08-18 Floating 5.14000000 N N N N N N PRM8 Trust N/A 74290LAE7 307000.00000000 PA USD 301566.84000000 0.026284255326 Long ABS-MBS CORP US N 2 2041-05-10 Variable 5.24000000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74331UAL2 968000.00000000 PA USD 965006.56000000 0.084108978344 Long ABS-O CORP US N 2 2039-04-17 Fixed 5.60000000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74332XAG6 2500000.00000000 PA USD 2492106.25000000 0.217209415253 Long ABS-O CORP US N 2 2041-05-17 Fixed 5.59000000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74332YAG4 2500000.00000000 PA USD 2500507.75000000 0.217941681344 Long ABS-O CORP US N 2 2039-06-17 Fixed 5.73000000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74333CAG1 1615000.00000000 PA USD 1611192.80000000 0.140429905807 Long ABS-O CORP US N 2 2039-10-27 Fixed 5.50000000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74333TAJ8 2500000.00000000 PA USD 2478215.25000000 0.215998689993 Long ABS-O CORP US N 2 2038-10-17 Fixed 2.38000000 N N N N N N Progress Residential Trust 5493002EEQ4GX2578787 74334DAG8 2150000.00000000 PA USD 2156912.25000000 0.187994251278 Long ABS-O CORP US N 2 2039-07-20 Fixed 6.04000000 N N N N N N Progress Residential Trust N/A 74334HAG9 1075000.00000000 PA USD 994859.18000000 0.086710901972 Long ABS-O CORP US N 2 2043-02-17 Fixed 4.00000000 N N N N N N PRP Advisors, LLC N/A 74391EAA9 825062.74000000 PA USD 828548.96000000 0.072215474404 Long ABS-MBS CORP US N 2 2069-11-25 Variable 5.80000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 2010604.70000000 PA 2567322.65000000 0.223765199246 Long DBT NUSS FR N 2 2032-07-25 Fixed 3.15000000 N N N N N N QTS ISSUER ABS II LLC N/A 74690FAQ9 499000.00000000 PA USD 492828.82000000 0.042954452609 Long ABS-O CORP US N 2 2056-01-05 Fixed 5.36000000 N N N N N N QTS ISSUER ABS II LLC N/A 74690FAY2 590000.00000000 PA USD 585401.60000000 0.051023000814 Long ABS-O CORP US N 2 2056-01-05 Fixed 6.16000000 N N N N N N State Street Institutional US Government Money Market Fund 549300BZ5TGIFZUZDZ37 857492706 6800393.25000000 NS USD 6800393.25000000 0.592715275011 Long STIV RF US N 1 N N N SG Capital Partners N/A 784212AA0 1685395.05000000 PA USD 1401382.22000000 0.122143031643 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.16000000 N N N N N N SG Capital Partners N/A 81880NAC8 931946.72000000 PA USD 928235.34000000 0.080904036663 Long ABS-MBS CORP US N 2 2065-12-25 Variable 5.10000000 N N N N N N SHRN Trust N/A 82556AAA1 289000.00000000 PA USD 288819.78000000 0.025173234699 Long ABS-MBS CORP US N 2 2040-10-15 Floating 4.83000000 N N N N N N SHRN Trust N/A 82556AAC7 337000.00000000 PA USD 337210.25000000 0.029390898249 Long ABS-MBS CORP US N 2 2040-10-15 Floating 5.08000000 N N N N N N Tricon Residential 549300Z2X1L1L3MID765 89616QAE1 1500000.00000000 PA USD 1493576.10000000 0.130178555315 Long ABS-O CORP US N 2 2039-04-17 Fixed 5.34000000 N N N N N N Tricon Residential 549300Z2X1L1L3MID765 89616QAF8 600000.00000000 PA USD 598981.14000000 0.052206579541 Long ABS-O CORP US N 2 2039-04-17 Fixed 5.74000000 N N N N N N Tricon Residential 549300Z2X1L1L3MID765 89616TAD7 2500000.00000000 PA USD 2523115.00000000 0.219912105981 Long ABS-O CORP US N 2 2040-07-17 Fixed 6.23000000 N N N N N N UPG HI Issuer Trust N/A 90321BAA6 239180.39000000 PA USD 238246.20000000 0.020765293529 Long ABS-O CORP US N 2 2048-02-25 Fixed 5.03000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FD5 16205861.93000000 PA USD 16611420.11000000 1.447834276177 Long DBT UST US N 2 2028-04-15 Fixed 3.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FH6 18329904.18000000 PA USD 19245015.66000000 1.677375753163 Long DBT UST US N 2 2029-04-15 Fixed 3.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810FQ6 4162045.16000000 PA USD 4480122.97000000 0.390482906007 Long DBT UST US N 2 2032-04-15 Fixed 3.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810PV4 8406709.30000000 PA USD 8347784.66000000 0.727584317346 Long DBT UST US N 2 2028-01-15 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810PZ5 6456948.24000000 PA USD 6537671.91000000 0.569816753475 Long DBT UST US N 2 2029-01-15 Fixed 2.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810US5 1972358.40000000 PA USD 1817185.06000000 0.158383979130 Long DBT UST US N 2 2056-02-15 Fixed 2.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128282L3 22483720.00000000 PA USD 22107503.06000000 1.926867208162 Long DBT UST US N 2 2027-07-15 Fixed 0.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128283R9 310433.30000000 PA USD 302475.62000000 0.026363463655 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128287D6 24347908.78000000 PA USD 23220174.27000000 2.023846485387 Long DBT UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Y38 21905335.96000000 PA USD 21416580.60000000 1.866647117818 Long DBT UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828Z37 18565161.47000000 PA USD 17432298.05000000 1.519381152376 Long DBT UST US N 2 2030-01-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZZ6 10733483.66000000 PA USD 10027785.02000000 0.874011419249 Long DBT UST US N 2 2030-07-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CBF7 21322320.96000000 PA USD 19691970.03000000 1.716331835935 Long DBT UST US N 2 2031-01-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CCM1 26463189.68000000 PA USD 24293855.95000000 2.117427475316 Long DBT UST US N 2 2031-07-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDX6 17291084.94000000 PA USD 15652449.28000000 1.364251365846 Long DBT UST US N 2 2032-01-15 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CDY4 11725000.00000000 PA USD 10343190.46000000 0.901501832706 Long DBT UST US N 2 2032-02-15 Fixed 1.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CEZ0 25697056.36000000 PA USD 23797009.59000000 2.074122858056 Long DBT UST US N 2 2032-07-15 Fixed 0.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGK1 25572289.60000000 PA USD 24185845.73000000 2.108013415731 Long DBT UST US N 2 2033-01-15 Fixed 1.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CGW5 18474951.30000000 PA USD 18174614.73000000 1.584080710027 Long DBT UST US N 2 2028-04-15 Fixed 1.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHP9 23705541.25000000 PA USD 22738391.67000000 1.981854809942 Long DBT UST US N 2 2033-07-15 Fixed 1.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CHR5 14785000.00000000 PA USD 14677577.81000000 1.279282572101 Long DBT UST US N 2 2030-07-31 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJH5 8429297.25000000 PA USD 8519025.85000000 0.742509523183 Long DBT UST US N 2 2028-10-15 Fixed 2.38000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJJ1 4420000.00000000 PA USD 4464372.65000000 0.389110124330 Long DBT UST US N 2 2033-11-15 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CJY8 21705264.34000000 PA USD 21206648.84000000 1.848349681730 Long DBT UST US N 2 2034-01-15 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CKL4 21457236.60000000 PA USD 21515569.17000000 1.875274859675 Long DBT UST US N 2 2029-04-15 Fixed 2.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CLE9 26759733.21000000 PA USD 26373851.70000000 2.298717763636 Long DBT UST US N 2 2034-07-15 Fixed 1.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CLV1 23177023.35000000 PA USD 23013394.26000000 2.005823752585 Long DBT UST US N 2 2029-10-15 Fixed 1.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CML2 29258760.90000000 PA USD 29189781.03000000 2.544151265183 Long DBT UST US N 2 2035-01-15 Fixed 2.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CNB3 26752843.00000000 PA USD 26426115.34000000 2.303273008696 Long DBT UST US N 2 2030-04-15 Fixed 1.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CNS6 32396065.80000000 PA USD 31677349.04000000 2.760965132110 Long DBT UST US N 2 2035-07-15 Fixed 1.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CPH8 25746438.60000000 PA USD 24998299.62000000 2.178826060404 Long DBT UST US N 2 2030-10-15 Fixed 1.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CPU9 31910855.55000000 PA USD 30990080.26000000 2.701063492754 Long DBT UST US N 2 2036-01-15 Fixed 1.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CQP9 16785887.25000000 PA USD 16262451.75000000 1.417418553165 Long DBT UST US N 2 2031-04-15 Fixed 1.25000000 N N N N N N UNIV Trust N/A 91336XAA9 1100000.00000000 PA USD 1097306.32000000 0.095640089230 Long ABS-MBS CORP US N 2 2042-11-15 Floating 5.28000000 N N N N N N SWAP CCPC CITIGROUP COC N/A 000000000 6739000.00000000 NS USD 6739000.00000000 0.587364302543 Long STIV CORP US N 1 N N N SWAP CCPC CITIBANK COC N/A 000000000 -2325000.00000000 NS USD -2325000.00000000 -0.20264460653 Short STIV CORP US N 1 N N N Verus Securitization Trust 2138009XAW9T934GL239 92490FAE0 781163.00000000 PA USD 774450.78000000 0.067500332727 Long ABS-MBS CORP US N 2 2070-12-25 Variable 5.11000000 N N N N N N Verus Securitization Trust 2138009KJR7Q44BI8668 92541JAF8 696257.77000000 PA USD 688950.68000000 0.060048232029 Long ABS-MBS CORP US N 2 2071-01-25 Variable 4.86000000 N N N N N N WAMU Mortgage Pass-Through Certificates N/A 92922FHA9 27087.57000000 PA USD 26834.35000000 0.002338854321 Long ABS-MBS CORP US N 2 2033-11-25 Fixed 5.95000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300PX4QZK7CUM8D08 95003PAA9 182000.00000000 PA USD 182012.70000000 0.015864039559 Long ABS-MBS CORP US N 2 2035-07-15 Variable 5.48000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 26100000.00000000 PA 1449809.29000000 0.126363885211 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 15493893.48000000 PA 17901722.17000000 1.560295675427 Long DBT NUSS FR N 2 2027-07-25 Fixed 1.85000000 N N N N N N SWAP BARCLAYS BANK COC N/A 000000000 3726.59000000 NS USD 3726.59000000 0.000324805748 Long STIV CORP US N 1 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 12150000.00000000 OU Notional Amount USD 140027.90000000 0.012204687612 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-10-02 72.56000000 USD 0.00000000 USD 12150000.00000000 USD 139955.34000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 25080000.00000000 OU Notional Amount USD 58534.96000000 0.005101846854 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-01-15 0.00000000 USD -1353.65000000 USD 25080000.00000000 USD 59888.61000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1727375.00000000 OU Notional Amount USD 15922.99000000 0.001387831416 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-04-15 17.93000000 USD 0.00000000 USD 1727375.00000000 USD 15905.06000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3506571.00000000 OU Notional Amount USD 32490.13000000 0.002831806283 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-04-15 36.41000000 USD 0.00000000 USD 3506571.00000000 USD 32453.72000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2570000.00000000 OU Notional Amount 16727.91000000 0.001457987415 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-07-15 644.92000000 GBP 0.00000000 GBP 2570000.00000000 GBP 15853.38000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2570000.00000000 OU Notional Amount 9560.92000000 0.000833319944 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-07-15 0.00000000 GBP -411.17000000 GBP 2570000.00000000 GBP 10118.03000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5595000.00000000 OU Notional Amount -36505.03000000 -0.00318174083 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-07-15 0.00000000 GBP -249.67000000 GBP 5595000.00000000 GBP -36164.41000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5595000.00000000 OU Notional Amount 35766.90000000 0.003117406183 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-07-15 259.18000000 GBP 0.00000000 GBP 5595000.00000000 GBP 35415.11000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5600000.00000000 OU Notional Amount 30558.84000000 0.002663477035 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-07-15 855.15000000 GBP 0.00000000 GBP 5600000.00000000 GBP 29392.82000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2570000.00000000 OU Notional Amount 12174.58000000 0.001061123859 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-07-15 0.00000000 GBP -133.32000000 GBP 2570000.00000000 GBP 12356.37000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2570000.00000000 OU Notional Amount 13420.47000000 0.001169714349 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-07-15 0.00000000 GBP -797.71000000 GBP 2570000.00000000 GBP 14505.43000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5600000.00000000 OU Notional Amount -32709.95000000 -0.00285096556 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-07-15 68.74000000 GBP 0.00000000 GBP 5600000.00000000 GBP -32804.44000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3274200.00000000 OU Notional Amount -14474.86000000 -0.00126161389 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-07-15 11.20000000 GBP 0.00000000 GBP 3274200.00000000 GBP -14490.11000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1457478.00000000 OU Notional Amount 12955.90000000 0.001129222906 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-07-15 30.78000000 GBP 0.00000000 GBP 1457478.00000000 GBP 12913.71000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1457478.00000000 OU Notional Amount 1637.42000000 0.000142715841 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-07-15 15.70000000 GBP 0.00000000 GBP 1457478.00000000 GBP 1615.61000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3339684.00000000 OU Notional Amount 7447.94000000 0.000649154783 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-07-15 33.88000000 GBP 0.00000000 GBP 3339684.00000000 GBP 7401.92000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3339684.00000000 OU Notional Amount -13007.10000000 -0.00113368544 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-07-15 11.43000000 GBP 0.00000000 GBP 3339684.00000000 GBP -13022.75000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1428900.00000000 OU Notional Amount 13051.20000000 0.001137529156 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-07-15 30.17000000 GBP 0.00000000 GBP 1428900.00000000 GBP 13009.87000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1428900.00000000 OU Notional Amount 2528.22000000 0.000220357052 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-07-15 15.39000000 GBP 0.00000000 GBP 1428900.00000000 GBP 2506.79000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3274200.00000000 OU Notional Amount 9518.74000000 0.000829643579 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-07-15 33.22000000 GBP 0.00000000 GBP 3274200.00000000 GBP 9473.70000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6542070.00000000 OU Notional Amount 12817.43000000 0.001117154003 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-07-15 66.51000000 GBP 0.00000000 GBP 6542070.00000000 GBP 12727.90000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2855037.00000000 OU Notional Amount 25021.06000000 0.002180809831 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-07-15 60.34000000 GBP 0.00000000 GBP 2855037.00000000 GBP 24940.38000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6542070.00000000 OU Notional Amount -23327.73000000 -0.00203322093 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-07-15 22.48000000 GBP 0.00000000 GBP 6542070.00000000 GBP -23358.03000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2855037.00000000 OU Notional Amount 2746.41000000 0.000239374268 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-07-15 30.80000000 GBP 0.00000000 GBP 2855037.00000000 GBP 2705.48000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1400296.00000000 OU Notional Amount -3226.12000000 -0.00028118529 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-07-15 0.00000000 GBP -202.58000000 GBP 1400296.00000000 GBP -2958.70000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3208657.00000000 OU Notional Amount -4472.59000000 -0.00038982634 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-07-15 0.00000000 GBP -251.10000000 GBP 3208657.00000000 GBP -4141.31000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1400296.00000000 OU Notional Amount 17683.22000000 0.001541251251 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-07-15 585.11000000 GBP 0.00000000 GBP 1400296.00000000 GBP 16909.08000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3208657.00000000 OU Notional Amount -1945.81000000 -0.00016959479 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-07-15 24.23000000 GBP 0.00000000 GBP 3208657.00000000 GBP -1977.86000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2384289.00000000 OU Notional Amount 14857.19000000 0.001294937385 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2035-08-15 50.55000000 GBP 0.00000000 GBP 2384289.00000000 GBP 14790.13000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2384289.00000000 OU Notional Amount 4962.85000000 0.000432556896 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-08-15 29.90000000 GBP 0.00000000 GBP 2384289.00000000 GBP 4923.76000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5463389.00000000 OU Notional Amount -12929.06000000 -0.00112688355 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-08-15 19.68000000 GBP 0.00000000 GBP 5463389.00000000 GBP -12954.69000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5463389.00000000 OU Notional Amount 18703.91000000 0.001630213540 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2029-08-15 56.21000000 GBP 0.00000000 GBP 5463389.00000000 GBP 18629.90000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 7100000.00000000 OU Notional Amount USD 7343.39000000 0.000640042312 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-09-09 78.91000000 USD 0.00000000 USD 7100000.00000000 USD 7264.48000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 22500000.00000000 OU Notional Amount USD 25347.15000000 0.002209231500 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-10-15 92.71000000 USD 0.00000000 USD 22500000.00000000 USD 25254.44000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 25100000.00000000 OU Notional Amount USD 77783.14000000 0.006779498408 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-01-15 112.57000000 USD 0.00000000 USD 25100000.00000000 USD 77670.57000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 12900000.00000000 OU Notional Amount USD -108318.98000000 -0.00944097078 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-09 315.06000000 USD 0.00000000 USD 12900000.00000000 USD -108634.04000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6265000.00000000 OU Notional Amount 94439.30000000 0.008231232167 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2036-01-15 23730.50000000 GBP 0.00000000 GBP 6265000.00000000 GBP 61929.63000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5500000.00000000 OU Notional Amount -84946.46000000 -0.00740384600 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2056-01-15 0.00000000 GBP -7349.33000000 GBP 5500000.00000000 GBP -39068.77000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 28107000.00000000 OU Notional Amount USD -271310.97000000 -0.02364718484 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-02-24 47.52000000 USD 0.00000000 USD 28107000.00000000 USD -271358.49000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 28107000.00000000 OU Notional Amount USD 287931.48000000 0.025095811386 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-02-24 150.70000000 USD 0.00000000 USD 28107000.00000000 USD 287780.78000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 14053500.00000000 OU Notional Amount USD -134611.59000000 -0.01173260760 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-02-26 23.96000000 USD 0.00000000 USD 14053500.00000000 USD -134635.55000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 14053500.00000000 OU Notional Amount USD 148450.21000000 0.012938767481 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-02-26 75.61000000 USD 0.00000000 USD 14053500.00000000 USD 148374.60000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 17830000.00000000 OU Notional Amount -249783.95000000 -0.02177091194 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2028-03-15 0.00000000 GBP -74353.04000000 GBP 17830000.00000000 GBP -149950.55000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 17830000.00000000 OU Notional Amount 378971.10000000 0.033030730944 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-03-15 113529.69000000 GBP 0.00000000 GBP 17830000.00000000 GBP 226573.76000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4150000.00000000 OU Notional Amount 78061.78000000 0.006803784384 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2031-03-15 10488.01000000 GBP 0.00000000 GBP 4150000.00000000 GBP 63973.63000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4150000.00000000 OU Notional Amount -124756.36000000 -0.01087363590 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2036-03-15 0.00000000 GBP -9927.21000000 GBP 4150000.00000000 GBP -111422.60000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 21080250.00000000 OU Notional Amount USD -136003.66000000 -0.01185393899 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-03-11 115.88000000 USD 0.00000000 USD 21080250.00000000 USD -136119.54000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 21080250.00000000 OU Notional Amount USD -133991.13000000 -0.01167852895 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-03-11 115.88000000 USD 0.00000000 USD 21080250.00000000 USD -134107.01000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 42160500.00000000 OU Notional Amount USD 273657.48000000 0.023851704240 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-03-11 75.78000000 USD 0.00000000 USD 42160500.00000000 USD 273581.70000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4520000.00000000 OU Notional Amount USD 31782.20000000 0.002770103833 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-03-12 55.36000000 USD 0.00000000 USD 4520000.00000000 USD 31726.84000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3008000.00000000 OU Notional Amount USD 11885.39000000 0.001035918356 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-03-16 36.89000000 USD 0.00000000 USD 3008000.00000000 USD 11848.50000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2820000.00000000 OU Notional Amount 21054.79000000 0.001835113821 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2036-03-17 0.00000000 EUR -578.60000000 EUR 2820000.00000000 EUR 21715.30000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1039000.00000000 OU Notional Amount -5155.89000000 -0.00044938206 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y 2066-03-17 726.18000000 EUR 0.00000000 EUR 1039000.00000000 EUR -5985.17000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3008000.00000000 OU Notional Amount USD 12810.71000000 0.001116568295 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-03-17 36.97000000 USD 0.00000000 USD 3008000.00000000 USD 12773.74000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4095000.00000000 OU Notional Amount USD 9476.73000000 0.000825982030 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2034-01-15 83.23000000 USD 0.00000000 USD 4095000.00000000 USD 9393.50000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5305000.00000000 OU Notional Amount USD 18406.76000000 0.001604314252 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2032-01-15 77.03000000 USD 0.00000000 USD 5305000.00000000 USD 18329.73000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4485000.00000000 OU Notional Amount 64670.47000000 0.005636611590 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-03-15 55.21000000 GBP 0.00000000 GBP 4485000.00000000 GBP 64596.58000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4485000.00000000 OU Notional Amount -50106.29000000 -0.00436721265 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2028-03-15 24.95000000 GBP 0.00000000 GBP 4485000.00000000 GBP -50139.79000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2310384.00000000 OU Notional Amount USD -677.06000000 -0.00005901185 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2031-03-23 0.00000000 USD -4242.12000000 USD 2310384.00000000 USD 3565.06000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5305000.00000000 OU Notional Amount USD 40073.49000000 0.003492764134 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2032-01-15 77.39000000 USD 0.00000000 USD 5305000.00000000 USD 39996.10000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3008000.00000000 OU Notional Amount USD 8764.41000000 0.000763896953 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-03-30 37.27000000 USD 0.00000000 USD 3008000.00000000 USD 8727.14000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3760000.00000000 OU Notional Amount USD 10433.77000000 0.000909396652 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2029-03-31 36.35000000 USD 0.00000000 USD 3760000.00000000 USD 10397.42000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3017000.00000000 OU Notional Amount USD 5941.83000000 0.000517883785 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-04-09 37.71000000 USD 0.00000000 USD 3017000.00000000 USD 5904.12000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 3017000.00000000 OU Notional Amount USD 5795.45000000 0.000505125455 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-04-09 383.50000000 USD 0.00000000 USD 3017000.00000000 USD 5411.95000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5465000.00000000 OU Notional Amount -71649.81000000 -0.00624492367 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2028-04-15 0.00000000 GBP -4155.67000000 GBP 5465000.00000000 GBP -66079.14000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 5465000.00000000 OU Notional Amount 66560.62000000 0.005801355118 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-04-15 1648.15000000 GBP 0.00000000 GBP 5465000.00000000 GBP 64351.01000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2449000.00000000 OU Notional Amount USD 12170.53000000 0.001060770865 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2031-04-10 132.23000000 USD 0.00000000 USD 2449000.00000000 USD 12038.30000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4490000.00000000 OU Notional Amount 56983.71000000 0.004966641501 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2030-04-15 0.00000000 GBP -14544.25000000 GBP 4490000.00000000 GBP 76675.47000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4490000.00000000 OU Notional Amount -57705.84000000 -0.00502958160 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2028-04-15 12719.26000000 GBP 0.00000000 GBP 4490000.00000000 GBP -74934.75000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2990000.00000000 OU Notional Amount -52356.17000000 -0.00456330987 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2028-04-15 0.00000000 GBP -1230.99000000 GBP 2990000.00000000 GBP -50688.72000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2990000.00000000 OU Notional Amount 58161.21000000 0.005069271189 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2031-04-15 1950.17000000 GBP 0.00000000 GBP 2990000.00000000 GBP 55521.10000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6355000.00000000 OU Notional Amount USD 26793.25000000 0.002335272087 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-04-30 2995.10000000 USD 0.00000000 USD 6355000.00000000 USD 23798.15000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6355000.00000000 OU Notional Amount USD -23645.24000000 -0.00206089477 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-04-30 0.00000000 USD -4641.03000000 USD 6355000.00000000 USD -19004.21000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 22332000.00000000 OU Notional Amount USD 104806.53000000 0.009134829261 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-05-06 1318.05000000 USD 0.00000000 USD 22332000.00000000 USD 103488.48000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2605000.00000000 OU Notional Amount USD -30426.97000000 -0.00265198338 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2036-05-06 495.26000000 USD 0.00000000 USD 2605000.00000000 USD -30922.23000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 22332000.00000000 OU Notional Amount USD -53051.01000000 -0.00462387141 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-05-06 2243.15000000 USD 0.00000000 USD 22332000.00000000 USD -55294.16000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 14864850.00000000 OU Notional Amount USD 93038.80000000 0.008109166029 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-05-14 90.15000000 USD 0.00000000 USD 14864850.00000000 USD 92948.65000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 14864850.00000000 OU Notional Amount USD -62030.87000000 -0.00540654677 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-05-14 33.48000000 USD 0.00000000 USD 14864850.00000000 USD -62064.35000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 14864850.00000000 OU Notional Amount USD 89479.11000000 0.007798907113 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2028-05-14 90.15000000 USD 0.00000000 USD 14864850.00000000 USD 89388.96000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 14864850.00000000 OU Notional Amount USD -60594.93000000 -0.00528139171 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2027-05-14 33.48000000 USD 0.00000000 USD 14864850.00000000 USD -60628.41000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6980000.00000000 OU Notional Amount USD -54978.88000000 -0.00479190258 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-07-15 89.71000000 USD 0.00000000 USD 6980000.00000000 USD -55068.59000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 6985000.00000000 OU Notional Amount USD -67211.98000000 -0.00585812698 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2030-07-15 90.01000000 USD 0.00000000 USD 6985000.00000000 USD -67301.99000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1337000.00000000 OU Notional Amount USD -17952.57000000 -0.00156472751 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2056-06-10 65.63000000 USD 0.00000000 USD 1337000.00000000 USD -18018.20000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 836000.00000000 OU Notional Amount 13579.25000000 0.001183553450 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Eurostat Eurozone HICP ex-Tobacco NSA 2056-06-15 41.04000000 EUR 0.00000000 EUR 836000.00000000 EUR 13531.93000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 25360000.00000000 OU Notional Amount USD -119136.21000000 -0.01038378941 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-06-10 42.66000000 USD 0.00000000 USD 25360000.00000000 USD -119178.87000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 17080000.00000000 OU Notional Amount 193898.46000000 0.016899990165 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2028-06-15 79010.72000000 GBP 0.00000000 GBP 17080000.00000000 GBP 87929.08000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 17080000.00000000 OU Notional Amount -160402.36000000 -0.01398050457 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.K. Retail Price Index 2027-06-15 0.00000000 GBP -59363.00000000 GBP 17080000.00000000 GBP -80762.61000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 2475000.00000000 OU Notional Amount USD -2758.46000000 -0.00024042453 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2031-06-22 0.00000000 USD -2142.80000000 USD 2475000.00000000 USD -615.66000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1500000.00000000 OU Notional Amount USD -1749.14000000 -0.00015245324 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2036-06-24 34.87000000 USD 0.00000000 USD 1500000.00000000 USD -1784.01000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 4954000.00000000 OU Notional Amount USD 17037.20000000 0.001484944813 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2031-06-26 65.49000000 USD 0.00000000 USD 4954000.00000000 USD 16971.71000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1691000.00000000 OU Notional Amount USD 1031.49000000 0.000089903606 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on U.S. CPI Urban Consumers NSA 2056-06-29 83.14000000 USD 0.00000000 USD 1691000.00000000 USD 948.35000000 N N N LCH Ltd. F226TOH6YD6XJB17KS62 000000000 1062000.00000000 OU Notional Amount 1373.80000000 0.000119738993 N/A DIR US N 2 LCH Ltd. F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on Eurostat Eurozone HICP ex-Tobacco NSA 2056-06-15 52.21000000 EUR 0.00000000 EUR 1062000.00000000 EUR 1314.42000000 N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 12927034.08000000 PA 16862848.46000000 1.469748512330 Long DBT NUSS GB N 2 2029-03-22 Fixed 0.13000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 5895000.00000000 PA 5590298.72000000 0.487244681507 Long DBT NUSS AU N 2 2035-08-21 Fixed 2.00000000 N N N N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 13530362.95000000 PA 15273840.91000000 1.331252250075 Long DBT NUSS DE N 2 2030-04-15 Fixed 0.50000000 N N N N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 12445907.10000000 PA 14287704.31000000 1.245301599196 Long DBT NUSS ES N 2 2030-11-30 Fixed 1.00000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 9544541.61000000 PA 10595219.09000000 0.923468388646 Long DBT NUSS FR N 2 2028-03-01 Fixed 0.10000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 9764097.75000000 PA 11185887.79000000 0.974950464475 Long DBT NUSS IT N 2 2028-05-15 Fixed 1.30000000 N N N N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 10336541.16000000 PA 11787866.43000000 1.027418303031 Long DBT NUSS ES N 2 2027-11-30 Fixed 0.65000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 4343000.00000000 PA 3917749.50000000 0.341467013296 Long DBT NUSS AU N 2 2027-11-21 Fixed 0.75000000 N N N N N N DENMARK I/L GOVT BOND 549300PTO6LS1PTM6607 000000000 11718727.90000000 PA 1739272.65000000 0.151593213681 Long DBT NUSS DK N 2 2030-11-15 Fixed 0.10000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 798827212.00000000 PA 4927537.37000000 0.429479084520 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.10000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 14425091.52000000 PA 16097333.24000000 1.403026993814 Long DBT NUSS FR N 2 2029-03-01 Fixed 0.10000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 1096188348.00000000 PA 6732239.44000000 0.586775059093 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N SWEDEN I/L BOND ERE94C0BSULG2RM19605 000000000 9855000.00000000 PA 1229334.95000000 0.107147568704 Long DBT NUSS SE N 2 2030-06-01 Fixed 0.13000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 8031527.10000000 PA 8757280.75000000 0.763275574996 Long DBT NUSS FR N 2 2031-07-25 Fixed 0.10000000 N N N N N N DEUTSCHLAND I/L BOND 529900AQBND3S6YJLY83 000000000 6427702.90000000 PA 6983658.51000000 0.608688486411 Long DBT NUSS DE N 2 2033-04-15 Fixed 0.10000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 411693648.00000000 PA 2545819.89000000 0.221891040820 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.01000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 7749000.00000000 PA 5858656.38000000 0.510634458892 Long DBT NUSS AU N 2 2032-11-21 Fixed 0.25000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 11175667.80000000 PA 11714443.58000000 1.021018843010 Long DBT NUSS IT N 2 2033-05-15 Fixed 0.10000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 460479966.00000000 PA 2825966.92000000 0.246308367558 Long DBT NUSS JP N 2 2032-03-10 Fixed 0.01000000 N N N N N N DENMARK I/L GOVT BOND 549300PTO6LS1PTM6607 000000000 12733670.05000000 PA 1789719.45000000 0.155990104837 Long DBT NUSS DK N 2 2034-11-15 Fixed 0.10000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 10180795.20000000 PA 11758277.13000000 1.024839330104 Long DBT NUSS IT N 2 2029-05-15 Fixed 1.50000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 494045957.00000000 PA 2995215.33000000 0.261059884741 Long DBT NUSS JP N 2 2033-03-10 Fixed 0.01000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 7734005.40000000 PA 8873166.80000000 0.773376083815 Long DBT NUSS IT N 2 2036-05-15 Fixed 1.80000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 610414240.00000000 PA 3597079.76000000 0.313517768871 Long DBT NUSS JP N 2 2034-03-10 Fixed 0.01000000 N N N N N N SWEDEN I/L BOND ERE94C0BSULG2RM19605 000000000 3494970.52000000 PA 354704.44000000 0.030915673840 Long DBT NUSS SE N 2 2036-06-01 Fixed 0.75000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 249135750.00000000 PA 1447392.21000000 0.126153215007 Long DBT NUSS JP N 2 2035-03-10 Fixed 0.01000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 4244506.40000000 PA 4845795.75000000 0.422354569070 Long DBT NUSS IT N 2 2031-08-15 Fixed 1.10000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 60042000.00000000 PA 3322541.45000000 0.289589292395 Long DBT NUSS MX N 2 2032-04-15 Fixed 8.00000000 N N N N N N JAPAN GOVT CPI LINKED 353800WZS8AXZXFUC241 000000000 38056620.00000000 PA 232421.16000000 0.020257589039 Long DBT NUSS JP N 2 2036-03-10 Fixed 0.60000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 142.00000000 NC USD -257730.54000000 -0.02246352854 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Three-Month SOFR Futures SFRM7 Index 2027-09-14 34321755.54000000 USD -257730.54000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 48.00000000 NC USD -85273.44000000 -0.00743234524 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Three-Month SOFR Futures SFRZ Comdty 2028-03-14 11618473.44000000 USD -85273.44000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 47.00000000 NC 44528.79000000 0.003881083496 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 5 Year Euro BOBL Futures OEU6 Comdty 2026-09-08 5383888.54000000 EUR 44528.79000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -61.00000000 NC USD -2946.00000000 -0.00025677032 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYU6 Comdty 2026-09-21 -6700382.13000000 USD -2946.00000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 24.00000000 NC -2764.73000000 -0.00024097102 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Futures RXU6 Comdty 2026-09-08 3058579.68000000 EUR -2764.73000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 29.00000000 NC USD -2530.92000000 -0.00022059238 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 2 Year U.S. Treasury Notes Futures TUU6 Comdty 2026-09-30 5980382.47000000 USD -2530.92000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -204.00000000 NC USD -148930.78000000 -0.01298065346 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Ultra 10 Year U.S. Treasury Notes Futures UXYU6 Comdty 2026-09-21 -22794694.22000000 USD -148930.78000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -30.00000000 NC USD -58421.06000000 -0.00509191944 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT U.S. Long Bond Futures USU6 Comdty 2026-09-21 -3346578.94000000 USD -58421.06000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 238.00000000 NC USD 22303.49000000 0.001943949228 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT 5 Year U.S. Treasury Notes FVU6 Comdty 2026-09-30 25454852.76000000 USD 22303.49000000 N N N The Montreal Exchange/Bourse De Montreal 549300DKBYNOI0B1NP44 000000000 -129.00000000 NC -18009.23000000 -0.00156966594 N/A DIR CA N 1 The Montreal Exchange/Bourse De Montreal 549300DKBYNOI0B1NP44 Short Montreal Exchange 10 Year Canadian Bond Futures CNU6 Comdty 2026-09-18 -15597648.41000000 CAD -18009.23000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 57.00000000 NC 32730.22000000 0.002852732281 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 10 Year Australian Bond Futures XMU6 Comdty 2026-09-15 6212323.41000000 AUD 32730.22000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 72.00000000 NC 10732.04000000 0.000935393558 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE 3 Year Australian Bond Futures YMU6 Comdty 2026-09-15 7515267.84000000 AUD 10732.04000000 N N N Federal Reserve Bank of Boston 254900VDNU6M9QHIZS05 000000000 -30262500.00000000 PA USD -30262500.00000000 -2.63764834629 Short RA CORP US N 2 Reverse repurchase N 3.72000000 2026-07-01 30262500.00000000 USD 30265627.13000000 USD UST N N N HSBC Securities USA, Inc. CYYGQCGNHMHPSMRL3R97 000000000 -15543750.00000000 PA USD -15543750.00000000 -1.35477724850 Short RA CORP US N 2 Reverse repurchase N 3.73000000 2026-07-01 15543750.00000000 USD 15545360.51000000 USD UST N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 13773923.16000000 PA 18466553.27000000 1.609525772638 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 6520697.12000000 PA 7875840.01000000 0.686450107495 Long DBT NUSS FR N 2 2029-07-25 Fixed 3.40000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 9460424.22000000 PA 12079928.68000000 1.052874148078 Long DBT NUSS FR N 2 2032-07-25 Fixed 3.15000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 13054878.10000000 PA 17358202.25000000 1.512923038725 Long DBT NUSS GB N 2 2032-11-22 Fixed 1.25000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 3731000.00000000 PA 4035771.33000000 0.351753674502 Long DBT NUSS AU N 2 2030-09-20 Fixed 2.50000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 12149108.10000000 PA 15231265.91000000 1.327541456904 Long DBT NUSS GB N 2 2034-03-22 Fixed 0.75000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 9554969.10000000 PA 11717880.02000000 1.021318359583 Long DBT NUSS IT N 2 2035-09-15 Fixed 2.35000000 N N N N N N SWEDEN I/L BOND ERE94C0BSULG2RM19605 000000000 16515000.00000000 PA 2199432.01000000 0.191700229788 Long DBT NUSS SE N 2 2027-12-01 Fixed 0.13000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 351325.31000000 PA 389999.73000000 0.033991974981 Long DBT NUSS FR N 2 2028-03-01 Fixed 0.10000000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 000000000 1752000.00000000 PA 1462359.10000000 0.127457713731 Long DBT NUSS NZ N 2 2030-09-20 Fixed 3.00000000 N N N N N N SPAIN I/L BOND 9598007A56S18711AH60 000000000 13138200.80000000 PA 14547575.49000000 1.267951703721 Long DBT NUSS ES N 2 2033-11-30 Fixed 0.70000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 9921204.00000000 PA 11052915.72000000 0.963360755742 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.40000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 6623832.00000000 PA 7103259.29000000 0.619112767273 Long DBT NUSS FR N 2 2034-07-25 Fixed 0.60000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 9182167.50000000 PA 11634279.23000000 1.014031800789 Long DBT NUSS GB N 2 2033-11-22 Fixed 0.75000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 7056316.80000000 PA 6777957.37000000 0.590759786807 Long DBT NUSS FR N 2 2036-03-01 Fixed 0.10000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 10085597.10000000 PA 11426748.72000000 0.995943655180 Long DBT NUSS FR N 2 2030-07-25 Fixed 0.70000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 11139144.46000000 PA 14170909.56000000 1.235121889020 Long DBT NUSS GB N 2 2031-08-10 Fixed 0.13000000 N N N N N N FRANCE (GOVT OF) 969500KCGF3SUYJHPV70 000000000 5293073.50000000 PA 5536391.21000000 0.482546158431 Long DBT NUSS FR N 2 2032-03-01 Fixed 0.10000000 N N N N N N NEW ZEALAND GVT ILB 549300237GPHG2AI7C34 000000000 3695000.00000000 PA 2902622.16000000 0.252989559364 Long DBT NUSS NZ N 2 2035-09-20 Fixed 2.50000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 8452782.25000000 PA 10709325.70000000 0.933413803307 Long DBT NUSS GB N 2 2035-09-22 Fixed 1.13000000 N N N N N N SWEDEN I/L BOND ERE94C0BSULG2RM19605 000000000 11230000.00000000 PA 1497084.12000000 0.130484310727 Long DBT NUSS SE N 2 2032-06-01 Fixed 0.13000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 10553053.05000000 PA 12130807.42000000 1.057308686679 Long DBT NUSS IT N 2 2032-09-15 Fixed 1.25000000 N N N N N N UNITED KINGDOM I/L GILT ECTRVYYCEF89VWYS6K36 000000000 12595214.19000000 PA 16604437.88000000 1.447225712198 Long DBT NUSS GB N 2 2028-08-10 Fixed 0.13000000 N N N N N N Citibank NA E57ODZWZ7FF32TWEFA76 000000000 -54991000.00000000 NC USD -252296.51000000 -0.02198990408 N/A DIR US N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Put Written Citibank NA E57ODZWZ7FF32TWEFA76 Citibank NA E57ODZWZ7FF32TWEFA76 N/A 54991000.00000000 OU Notional Amount N/A -252296.51000000 -0.02000000 DIR US N/A N/A 2029-09-22 0.00000000 N/A 0.00000000 N/A 54991000.00000000 USD 1.00000000 4.30000000 USD 2027-09-20 XXXX -99421.53000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 -10680000.00000000 NC USD -73807.98000000 -0.00643302755 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 10680000.00000000 OU Notional Amount N/A -73807.98000000 -0.01000000 DIR US N/A N/A 2029-12-10 0.00000000 N/A 0.00000000 N/A 10680000.00000000 USD 1.00000000 4.00000000 USD 2027-12-08 XXXX -25213.98000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 -10391718.00000000 NC USD -41302.30000000 -0.00359986594 N/A DIR US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank AG 7LTWFZYICNSX8D621K86 Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 31175000.00000000 OU Notional Amount N/A -41302.30000000 0.00000000 DIR US N/A N/A 2029-12-20 0.00000000 N/A 0.00000000 N/A 31175000.00000000 USD 1.00000000 4.50000000 USD 2027-12-16 XXXX -15115.17000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -11512000.00000000 NC USD -63037.75000000 -0.00549430539 N/A DIR US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 N/A 46050000.00000000 OU Notional Amount N/A -63037.75000000 -0.01000000 DIR US N/A N/A 2028-10-23 0.00000000 N/A 0.00000000 N/A 46050000.00000000 USD 1.00000000 3.85000000 USD 2026-10-21 XXXX -49223.35000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 -3814000.00000000 NC -6895.77000000 -0.00060102821 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Put Written Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 N/A 3814000.00000000 OU Notional Amount N/A -6895.77000000 0.00000000 DIR US N/A N/A 2036-11-10 0.00000000 N/A 0.00000000 N/A 3814000.00000000 EUR 1.00000000 3.52000000 EUR 2026-11-06 XXXX 18195.01000000 N N N Deutsche Bank Gilts Ltd. N/A 000000000 -5937000.00000000 NC -4920.63000000 -0.00042887704 N/A DIR US N 2 Deutsche Bank Gilts Ltd. N/A Put Written Deutsche Bank Gilts Ltd. N/A Deutsche Bank Gilts Ltd. N/A N/A 5937000.00000000 OU Notional Amount N/A -4920.63000000 0.00000000 DIR US N/A N/A 2028-11-09 0.00000000 N/A 0.00000000 N/A 5937000.00000000 GBP 1.00000000 4.80000000 GBP 2026-11-09 XXXX 16788.10000000 N N N Deutsche Bank Gilts Ltd. N/A 000000000 5937000.00000000 NC 1237.58000000 0.000107866198 N/A DIR US N 2 Deutsche Bank Gilts Ltd. N/A Put Purchased Deutsche Bank Gilts Ltd. N/A Deutsche Bank Gilts Ltd. N/A N/A 5937000.00000000 OU Notional Amount N/A 1237.58000000 0.00000000 DIR US N/A N/A 2028-11-09 0.00000000 N/A 0.00000000 N/A 5937000.00000000 GBP 1.00000000 5.50000000 GBP 2026-11-09 XXXX -7639.60000000 N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 000000000 2256000.00000000 PA 706486.23000000 0.061576612515 Long DBT NUSS PE N 2 2039-08-12 Fixed 7.60000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 000000000 2804000.00000000 PA 861059.46000000 0.075049056116 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85000000 N N N N N N 2026-07-17 LINCOLN VARIABLE INSURANCE PRODUCTS TRUST James Hoffmayer James Hoffmayer VP