# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001410368-26-053189
**Filing Date:** 2026-5
**Character Count:** 126548
**Document Hash:** 5a38b51001876726d674485970bca718
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-053189.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0001410368-26-053189

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 261024704

**BUSINESS ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9492193233

**MAIL ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### Inflation Managed Portfolio (Series ID: S000026012)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078081 | Class I      |  |
| C000098953 | Class P      |  |

## Nport-Ex

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACIFIC SELECT FUND

- **b. Investment Company Act file number:** 811-05141

- **c. CIK number of Registrant:** 0000813900

- **d. LEI of Registrant:** 549300KH2YJL0X2VEL27

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

  - **Street Address 1:** 700 NEWPORT CTR DR

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** 949-219-3233

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

- **a. Name of Series:** Inflation Managed Portfolio

- **b. EDGAR series identifier (if any):** S000026012

- **c. LEI of Series:** NPCVOUD2WVG556QLMB59

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

- **a. Date of fiscal year-end:** 2026-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $771093043.38

**Total Liabilities:** $416061024.83

**Net Assets:** $355032018.55

**Delayed Delivery Securities:** $369426656.89

**Cash Not Reported:** $622628.48

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -204.35000000 | **1-Year:** -2313.33000000 | **5-Year:** -1993.07000000 | **10-Year:** -1687.43000000 | **30-Year:** -1421.32000000

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

- **3-Month:** -10.25000000 | **1-Year:** -379.76000000 | **5-Year:** -1302.01000000 | **10-Year:** -4102.46000000 | **30-Year:** -1055.55000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078081 | 0.48%                | 1.23%                | -1.77%               |
| Class ID C000098953 | 0.49%                | 1.25%                | -1.76%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $10106.62                | $2711400.20                                |
| Month 2  | $935073.28               | $3628923.17                                |
| Month 3  | $623861.89               | $-8800726.19                               |

**Designated Index Information**

- **Index Name:** Barclays US Treasury TIPS

- **Index Identifier:** LBUTTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1         | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     463110 | PA      | $440439.78    | 0.12%             | 2034-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5900000 | PA      | $5568172.32   | 1.57%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3300281.95   | 0.93%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11700000 | PA      | $11280968.60  | 3.18%             | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9500000 | PA      | $9521861.59   | 2.68%             | 2056-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11200000 | PA      | $11403786.02  | 3.21%             | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F060659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -11200000 | PA      | $-11403786.02 | -3.21%            | 2056-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11200000 | PA      | $11400286.02  | 3.21%             | 2056-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $8270092.72   | 2.33%             | 2056-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-4                                    | CUSIP: 03464LAA4<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      83008 | PA      | $80797.50     | 0.02%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2004-OPT5 Trust                                               | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592664 | PA      | $595826.13    | 0.17%             | 2034-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                        | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       3000 | PA      | $2899.29      | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX               | CUSIP: 05493LAA4<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $481744.40    | 0.14%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                               | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     410000 | PA      | $410594.50    | 0.12%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                             | REPO BANK AMERICA                                                  | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |    1515500 | PA      | $1515500.00   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2004-10                                     | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57499 | PA      | $52390.88     | 0.01%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                              | Beignet Investor LLC                                               | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1954967.86   | 0.55%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     796446 | PA      | $781624.26    | 0.22%             | 2035-06-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                           | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |       4511 | PA      | $4515.00      | 0.00%             | 2030-10-24      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2818080 | PA      | $2091266.16   | 0.59%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                            | Canyon CLO 2020-1 Ltd                                              | CUSIP: 13876LAW7<br>LEI: 549300IVUME0ILZ1W208 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500522.84    | 0.14%             | 2034-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-A | CUSIP: 16678RBL0<br>LEI: 549300CK5LJGUSKZWZ58 | Long             | ABS-MBS          | CORP              | US        |      73686 | PA      | $74127.14     | 0.02%             | 2035-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-11                              | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1607 | PA      | $1631.37      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AMC1                            | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139716 | PA      | $137218.84    | 0.04%             | 2036-09-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2013-A                               | CUSIP: 17320XAC8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     399386 | PA      | $390940.58    | 0.11%             | 2042-05-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                  | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     147596 | PA      | $147742.39    | 0.04%             | 2031-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $124240.59    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $32128.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $37822.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD DKK                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $14792.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $490491.09    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $177425.46    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $39248.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1011.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $10706.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |          1 | NC      | $-111356.79   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $468.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $326.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-3745.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $328.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $282.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $281.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD AUD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $643.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $244.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED GBP / SOLD USD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | GB        |          1 | NC      | $-6844.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |          1 | NC      | $25208.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-24609.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CAD / SOLD USD                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CA        |          1 | NC      | $-6626.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $38721.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-38495.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $6587.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-1273.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |          1 | NC      | $1242.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED GBP / SOLD USD                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | GB        |          1 | NC      | $23864.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-23783.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED AUD / SOLD USD                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | AU        |          1 | NC      | $331.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD AUD                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-332.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $37751.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-37510.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                           | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      23878 | PA      | $31602.42     | 0.01%             | 2045-06-13      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                          | CUSIP: 3128NC6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        354 | PA      | $362.35       | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132DWKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176056 | PA      | $182136.50    | 0.05%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                 | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419048 | PA      | $413777.46    | 0.12%             | 2042-09-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                          | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22879 | PA      | $23446.02     | 0.01%             | 2034-01-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                   | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18830 | PA      | $18883.14     | 0.01%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1508881 | PA      | $1524296.08   | 0.43%             | 2055-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     692383 | PA      | $678344.13    | 0.19%             | 2047-01-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157609 | PA      | $154452.75    | 0.04%             | 2044-07-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1593733 | PA      | $1552643.37   | 0.44%             | 2057-08-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HJ7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1053284 | PA      | $1055295.30   | 0.30%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1083169 | PA      | $1090277.14   | 0.31%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HLZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1216763 | PA      | $1223868.88   | 0.34%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31391Q7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5187 | PA      | $5189.32      | 0.00%             | 2042-11-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10389 | PA      | $10206.64     | 0.00%             | 2034-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96262 | PA      | $98079.87     | 0.03%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139183 | PA      | $136672.72    | 0.04%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1381 | PA      | $1367.46      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4556 | PA      | $4565.87      | 0.00%             | 2044-07-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9093 | PA      | $9243.80      | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14206 | PA      | $14376.28     | 0.00%             | 2044-09-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19096 | PA      | $19328.40     | 0.01%             | 2044-10-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406KBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31330 | PA      | $32202.91     | 0.01%             | 2035-04-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406UN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41905 | PA      | $42858.75     | 0.01%             | 2035-03-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16664 | PA      | $16922.50     | 0.00%             | 2035-11-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5059 | PA      | $5149.36      | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408DB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24569 | PA      | $24823.76     | 0.01%             | 2036-02-01      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408DC85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5829 | PA      | $5966.87      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | 522 Funding CLO 2018-3A Ltd                                        | CUSIP: 33835NAA9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |      12739 | PA      | $12751.33     | 0.00%             | 2031-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     520536 | PA      | $481717.50    | 0.14%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5967466 | PA      | $5522443.01   | 1.56%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     398091 | PA      | $369404.72    | 0.10%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 3618N5ZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7599996 | PA      | $6976132.52   | 1.96%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36202K2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.17        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        136 | PA      | $136.49       | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        224 | PA      | $223.87       | 0.00%             | 2026-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        327 | PA      | $326.40       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                   | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36518 | PA      | $35082.34     | 0.01%             | 2035-01-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2003-3                                   | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98596 | PA      | $103447.98    | 0.03%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                     | Gallatin CLO VIII 2017-1 Ltd                                       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     139351 | PA      | $139497.75    | 0.04%             | 2031-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194759 | PA      | $197227.47    | 0.06%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     510963 | PA      | $514985.64    | 0.15%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     470490 | PA      | $481602.59    | 0.14%             | 2073-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2325676 | PA      | $2345350.01   | 0.66%             | 2072-10-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38384LJ67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3770325 | PA      | $3778594.73   | 1.06%             | 2073-02-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38384LTU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3621477 | PA      | $3621040.98   | 1.02%             | 2075-08-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-2                      | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     191202 | PA      | $191895.03    | 0.05%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                              | CUSIP: 41161PSK0<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    1202714 | PA      | $1138179.91   | 0.32%             | 2035-06-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                            | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58138 | PA      | $57984.84     | 0.02%             | 2034-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2005-2                                     | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     516298 | PA      | $515255.92    | 0.15%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-2, Ltd.                          | Invesco CLO 2022-2 Ltd                                             | CUSIP: 46145XAL0<br>LEI: 54930008L2A8UYGN7A86 | Long             | ABS-CBDO         | CORP              | JE        |    1800000 | PA      | $1800754.07   | 0.51%             | 2035-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                   | CUSIP: 46630GAA3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      10797 | PA      | $10841.38     | 0.00%             | 2035-07-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                    | LoanCore 2022-CRE7 Issuer Ltd                                      | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     102580 | PA      | $102714.49    | 0.03%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL9 LLC                                                   | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     363018 | PA      | $363584.94    | 0.10%             | 2037-06-19      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                  | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21249 | PA      | $20861.38     | 0.01%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27877 | PA      | $27179.05     | 0.01%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-NC1             | CUSIP: 59020URP2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     622129 | PA      | $611541.45    | 0.17%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                    | CUSIP: 61744CFR2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |      57420 | PA      | $61964.80     | 0.02%             | 2034-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                    | CUSIP: 61744CNC6<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |     284186 | PA      | $279857.31    | 0.08%             | 2035-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL2                      | CUSIP: 64830HAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     186950 | PA      | $182372.76    | 0.05%             | 2059-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                      | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      41345 | PA      | $41389.12     | 0.01%             | 2032-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2002-3                          | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133033 | PA      | $127251.52    | 0.04%             | 2032-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2004-3                                      | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |     378702 | PA      | $379652.43    | 0.11%             | 2064-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-3                                | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      76721 | PA      | $74749.90     | 0.02%             | 2037-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                           | CUSIP: 81743WAA9<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |      22984 | PA      | $22886.18     | 0.01%             | 2026-10-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                | Shackleton 2019-XIV Clo Ltd                                        | CUSIP: 81880XAW2<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600798.27    | 0.17%             | 2034-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                        | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     100792 | PA      | $101127.83    | 0.03%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                             | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |     302860 | PA      | $302773.95    | 0.09%             | 2032-07-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                     | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8943 | PA      | $8703.86      | 0.00%             | 2034-02-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR5            | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42345 | PA      | $41125.48     | 0.01%             | 2034-10-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5            | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128398 | PA      | $120666.74    | 0.03%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XXIX Ltd                                              | CUSIP: 87168GAN9<br>LEI: 254900H6EAUOGL2U2U64 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $699125.05    | 0.20%             | 2035-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                           | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     254797 | PA      | $255114.36    | 0.07%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2004-2                         | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     544863 | PA      | $527555.28    | 0.15%             | 2044-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                  | Trinitas Clo VII Ltd                                               | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000318.85   | 0.28%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12373333 | PA      | $13014791.00  | 3.67%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10612358 | PA      | $11451800.64  | 3.23%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     145138 | PA      | $147695.72    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2792696 | PA      | $2833507.76   | 0.80%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5298561 | PA      | $5497905.93   | 1.55%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2663230 | PA      | $2609117.60   | 0.73%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2687940 | PA      | $2603473.15   | 0.73%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7843912 | PA      | $6049631.71   | 1.70%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4427448 | PA      | $3265376.00   | 0.92%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9086658 | PA      | $7515559.66   | 2.12%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7554398 | PA      | $5433282.58   | 1.53%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5119537 | PA      | $3801294.14   | 1.07%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7144414 | PA      | $5072766.36   | 1.43%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5670883 | PA      | $4077461.96   | 1.15%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4135680 | PA      | $2930826.56   | 0.83%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3465963 | PA      | $1964438.96   | 0.55%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2510751 | PA      | $1337000.33   | 0.38%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     817782 | PA      | $425056.37    | 0.12%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2953962 | PA      | $2266833.84   | 0.64%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2967048 | PA      | $2618904.94   | 0.74%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3822766 | PA      | $3556776.57   | 1.00%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8045532 | PA      | $8045399.41   | 2.27%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12628829 | PA      | $12534338.13  | 3.53%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6828096 | PA      | $6779744.89   | 1.91%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4706686 | PA      | $4578993.49   | 1.29%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17964711 | PA      | $18001219.27  | 5.07%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8618001 | PA      | $8595199.92   | 2.42%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9912739 | PA      | $9490518.07   | 2.67%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7103208 | PA      | $6763627.78   | 1.91%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6871150 | PA      | $6462082.75   | 1.82%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400419 | PA      | $374243.39    | 0.11%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1055880 | PA      | $972061.49    | 0.27%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -2698360 | PA      | $-2484157.14  | -0.70%            | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9677976 | PA      | $9624069.09   | 2.71%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12539744 | PA      | $11835383.82  | 3.33%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12958076 | PA      | $13163328.01  | 3.71%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11903672 | PA      | $11468888.59  | 3.23%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2818998 | PA      | $2830782.34   | 0.80%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14566960 | PA      | $14244795.51  | 4.01%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23097480 | PA      | $23919165.92  | 6.74%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4020324 | PA      | $4004882.78   | 1.13%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3154260 | PA      | $3239199.24   | 0.91%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20260305 | PA      | $20367606.41  | 5.74%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7960568 | PA      | $8088981.83   | 2.28%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18159740 | PA      | $18472280.38  | 5.20%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8788426 | PA      | $8879261.24   | 2.50%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17362143 | PA      | $17282670.22  | 4.87%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5529700 | PA      | $5481880.92   | 1.54%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2014-4 Ltd                                                | CUSIP: 92914RAY8<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-CBDO         | CORP              | KY        |      26975 | PA      | $27001.57     | 0.01%             | 2031-07-14      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | DE        |   -2200000 | NC      | $-22317.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                           | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      76144 | PA      | $100775.22    | 0.03%             | 2045-06-13      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |        617 | PA      | $88.32        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       1660 | PA      | $237.10       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       7640 | PA      | $1097.56      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        309 | PA      | $44.19        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  265030510 | PA      | $1675866.04   | 0.47%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1112778811 | PA      | $6990814.38   | 1.97%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                       | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $113574.04    | 0.03%             | 2028-01-14      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    1377368 | PA      | $165107.18    | 0.05%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.18         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.17         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      13472 | PA      | $1711.28      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1220820 | PA      | $1368052.97   | 0.39%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1773553 | PA      | $209435.45    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.27         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     234644 | PA      | $28307.58     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |      99549 | PA      | $10273.86     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                 | Ares European CLO X DAC                                            | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |     137620 | PA      | $159230.19    | 0.04%             | 2031-10-15      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                         | Madison Park Euro Funding IX DAC                                   | CUSIP: 000000000<br>LEI: 635400IRITPTWQSADZ09 | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1153704.38   | 0.32%             | 2035-07-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                        | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |     155130 | PA      | $179495.15    | 0.05%             | 2034-05-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     329684 | PA      | $38276.17     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     500000 | PA      | $51601.96     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest CLO XXII DAC                                               | CUSIP: 000000000<br>LEI: 635400MYQ7BBH2H3RR48 | Long             | ABS-CBDO         | CORP              | IE        |     774654 | PA      | $895416.19    | 0.25%             | 2032-01-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     199574 | PA      | $25724.48     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Babson Euro CLO B.V.                              | Barings Euro CLO 2021-2 DAC                                        | CUSIP: 000000000<br>LEI: 549300WLKHU1JJG5SG04 | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1964221.10   | 0.55%             | 2034-10-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     620832 | PA      | $721851.28    | 0.20%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  126388800 | PA      | $769830.67    | 0.22%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Dunedin Park CLO                                  | Dunedin Park CLO DAC                                               | CUSIP: 000000000<br>LEI: 635400VZKZZW7P5TBL62 | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577631.87    | 0.16%             | 2034-11-20      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CVC Cordatus Opportunity Loan Fund DAC            | CVC Cordatus Opportunity Loan Fund-R DAC                           | CUSIP: 000000000<br>LEI: 635400C8SJP8XE4FXA57 | Long             | ABS-CBDO         | CORP              | IE        |     791689 | PA      | $913994.91    | 0.26%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  112473900 | PA      | $678718.56    | 0.19%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                      | OCP Euro CLO 2020-4 DAC                                            | CUSIP: 000000000<br>LEI: 635400NSID6FARUW3W95 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $808749.59    | 0.23%             | 2039-10-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                   | Contego CLO III BV                                                 | CUSIP: 000000000<br>LEI: 724500XA96HF0GU8WL83 | Long             | ABS-CBDO         | CORP              | NL        |    1700000 | PA      | $1963803.74   | 0.55%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| MV Credit Euro CLO                                | MV Credit Euro CLO III DAC                                         | CUSIP: 000000000<br>LEI: 635400BDB6DLUVKYJO21 | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $2196078.96   | 0.62%             | 2038-02-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                 | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  300000000 | PA      | $1800775.02   | 0.51%             | 2055-12-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE JUN26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -10 | NC      | $21025.38     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE JUN26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -21 | NC      | $17217.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE JUN26                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -121 | NC      | $524890.89    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE JUN26                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         95 | NC      | $-358290.23   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT JUN26                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         90 | NC      | $4409.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND JUN26                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         34 | NC      | $-51750.47    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) JUN26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -156 | NC      | $444261.68    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT JUN26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        215 | NC      | $-678917.77   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)JUN26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         25 | NC      | $-66432.75    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT JUN26                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         62 | NC      | $-30030.68    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -155 | NC      | $243210.81    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) JUN26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -187 | NC      | $180429.17    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT JUN26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          2 | NC      | $-4062.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT JUN26                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -16 | NC      | $4561.46      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) JUN26                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -6 | NC      | $39115.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1485396 | PA      | $1701064.10   | 0.48%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.19         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     999840 | PA      | $116080.82    | 0.03%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.17         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                         | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    5700000 | PA      | $7356515.82   | 2.07%             | 2031-10-22      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -12500000 | NC      | $-29955.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -12500000 | NC      | $-184947.59   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -4400000 | NC      | $-14963.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                            | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -4400000 | NC      | $-55023.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-17550.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-4027.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   -1200000 | NC      | $-975.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  377560000 | OU      | $34009.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |      20000 | OU      | $-474.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19000 11/04/22-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1500000 | OU      | $925296.82    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19500 11/04/22-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1550000 | OU      | $954522.44    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19700 11/08/22-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    2800000 | OU      | $1723425.43   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.08500 02/13/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $-231781.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/2.86500 02/13/24-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9400000 | OU      | $2006588.86   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  690000000 | OU      | $93963.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.87880 06/12/23-9Y* LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    4700000 | OU      | $-9895.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  464000000 | OU      | $207133.95    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14780000 | OU      | $-567687.98   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3050000 | OU      | $1103653.78   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.50000 06/20/24-30Y CME                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2400000 | OU      | $264342.72    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 1.636 06/15/25-2Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $78785.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4300000 | OU      | $102262.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3939900 | OU      | $51462.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.05000 01/13/26-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2410000 | OU      | $27172.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75842 03/31/26-9Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3200000 | OU      | $19269.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.77720 03/31/26-9Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $19976.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.76836 03/31/26-9Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4000000 | OU      | $20949.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80100 03/31/26-9Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $13311.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.75000 09/16/26-10Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27540000 | OU      | $-976376.92   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.00000 09/16/26-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9450000 | OU      | $225806.72    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11830000 | OU      | $-454828.24   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7300000 | OU      | $-126373.97   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 3.78/91282CDX6 MYC                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   30000000 | OU      | $-332627.94   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R 3.78/91282CCM1 MYC                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-184558.68   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.32500 07/06/26-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   17450000 | OU      | $172952.18    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.32500 07/06/26-4Y* CME                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    1192000 | OU      | $11950.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $2361.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     600000 | OU      | $5678.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $679.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     100000 | OU      | $2643.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 3.13 05/15/22-5Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     300000 | OU      | $9566.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.049 08/15/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3400000 | OU      | $46749.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.43375 08/27/25-1Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $-8968.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.6 05/15/22-10Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     260000 | OU      | $7529.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 1.38 03/15/21-10Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    5300000 | OU      | $-1259813.28  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.435 08/01/25-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $-13182.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.466 09/15/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $-12122.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.365 09/15/25-2Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $46523.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.7975 08/25/20-7Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $164620.92    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.89 08/27/20-7Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $175737.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 3.0 05/15/22-5Y LCH                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1300000 | OU      | $52178.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.421 05/15/22-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     240000 | OU      | $-5996.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.7675 05/13/21-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $165822.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.573 08/26/21-7Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $34419.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.645 09/10/21-7Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $38767.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.76 11/04/19-10Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3100000 | OU      | $-566048.62   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.763 09/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     700000 | OU      | $100495.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.954 06/03/19-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2350000 | OU      | $-382753.96   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.8825 11/20/19-10Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $-119010.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.813 05/14/21-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $95149.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.323 04/23/25-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $12797.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.3 06/04/2025-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $-495.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.7 04/15/23 -30Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     900000 | OU      | $109053.88    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.682 10/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     200000 | OU      | $23294.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.0 02/15/25-2Y LCH                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $19366.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.965 05/15/22-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     800000 | OU      | $33880.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.034 09/15/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $22045.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.736 10/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     400000 | OU      | $53662.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.31125 02/24/21-10Y LCH                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5100000 | OU      | $654292.21    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.9975 07/25/19-10Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7700000 | OU      | $-1199692.22  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.5 08/15/24-10Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $-18056.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.59 12/15/22-30Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     500000 | OU      | $38051.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.703 05/25/21-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1210000 | OU      | $124710.83    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President