# EDGAR Filing Document

**Accession Number:** 0001660765
**File Stem:** 0001193125-26-080537
**Filing Date:** 2026-2
**Character Count:** 226133
**Document Hash:** c3df2081bcac6e3a02db1dbf1d038522
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-080537.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001193125-26-080537

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 24

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**EFFECTIVENESS DATE**: 20260227

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Clayton Street Trust
- **CENTRAL INDEX KEY:** 0001660765

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

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23121
- **FILM NUMBER:** 26694834

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

## Series and Classes Contracts Data

### Protective Life Dynamic Allocation Series - Conservative Portfolio (Series ID: S000052998)

| Class ID   | Class Name                                                         | Ticker Symbol   |
|:---|:---|:---|
| C000166588 | Protective Life Dynamic Allocation Series - Conservative Portfolio | n/a             |

### Protective Life Dynamic Allocation Series - Moderate Portfolio (Series ID: S000052999)

| Class ID   | Class Name                                                     | Ticker Symbol   |
|:---|:---|:---|
| C000166589 | Protective Life Dynamic Allocation Series - Moderate Portfolio |  |

### Protective Life Dynamic Allocation Series - Growth Portfolio (Series ID: S000053000)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000166590 | Protective Life Dynamic Allocation Series - Growth Portfolio |  |

?xml version='1.0' encoding='ASCII'? 7994e0b8-771d-43ab-a749-d56333184907

#### UNITED STATES

#### SECURITIES AND EXCHANGE COMMISSION

#### Washington, D.C. 20549

------

#### &nbsp;&nbsp;&nbsp;&nbsp; FORM N-CSR

------

#### CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

#### Investment Company Act file number

#### 811-23121

#### Clayton Street Trust
(Exact name of registrant as specified in charter)

------

151 Detroit Street, Denver, Colorado 80206

(address of principal executive offices) (Zip code)

Cara Owen, 151 Detroit Street, Denver, Colorado 80206

(Name and address of agent for service)

#### Registrant's telephone number, including area code:

#### 303-333-3863

#### Date of fiscal year end:

#### 12/31

#### Date of reporting period:

#### 12/31/25
 **Item 1. Report to Stockholders.**

(a) The Registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

![TSR Front Cover Logo](images_1802.jpg)

#### Protective Life Dynamic Allocation Series - Conservative Portfolio

#### ANNUAL SHAREHOLDER REPORT

#### December 31, 2025
This annual shareholder report contains important information about the Protective Life Dynamic Allocation Series - Conservative Portfolio (the "Portfolio") for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Portfolio at https://janushenderson.com/clayton-street-trust. You can also request this information by contacting us at 1-877-335-2687.

#### What were the costs for the year?
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| **Portfolio** | **Cost of a <br>$10,000 investment** | **Costs paid as a percentage <br>of a $10,000 investment** |
| Protective Life Dynamic Allocation Series - Conservative Portfolio | $90 | 0.85% |

---

#### What impacted Portfolio performance over the reporting period?
For the 12-month period ended December 31, 2025, the Protective Life Dynamic Allocation Series - Conservative Portfolio returned 11.17%. Its broad-based benchmark, the MSCI All Country World Index<sup>SM</sup>, returned 22.34%. Its performance benchmark, the Protective Life Conservative Allocation Index, returned 14.71%.

#### TOP CONTRIBUTORS TO PERFORMANCE
Exposure to large-cap U.S. stocks, including higher-growth names concentrated in the information technology sector, contributed to returns relative to the benchmark, the 50% MSCI ACWI / 50% Bloomberg US Aggregate Bond Index. European equities were moderate contributors. An allocation to U.S. fixed income also aided relative performance.

#### TOP DETRACTORS FROM PERFORMANCE
Performance relative to the benchmark was hindered by the portfolio's allocation to stocks in Japan. An allocation to U.S. small-cap equities also detracted on a relative basis, as small-cap stocks underperformed large caps for the period.

#### Total return based on a $10,000 investment
April 7, 2016, through December 31, 2025

![Fund Performance - Growth of 10K](chartimages_370485.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **AVERAGE ANNUAL TOTAL RETURN** | **1 Year** | **5 Year** | **Since Inception** |
| Protective Life Dynamic Allocation Series - Conservative Portfolio | 11.17% | 3.76% | 4.60% |
| MSCI All Country World Index<sup>SM</sup> | 22.34% | 11.19% | 12.23% |
| Protective Life Conservative Allocation Index | 14.71% | 5.41% | 7.07% |

---

**Keep in mind that the Portfolio 's past performance is not a good predictor of how the Portfolio will perform in the future.**

Visit https://janushenderson.com/clayton-street-trust for the most recent performance information. The graph and table include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemption of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. For certain periods, the Portfolio's performance may reflect the effects of expense waivers.

The Protective Life Conservative Allocation Index is an internally-calculated, hypothetical combination of total returns from the MSCI All Country World Index (50%) and the Bloomberg U.S. Aggregate Bond Index (50%). The Bloomberg U.S. Aggregate Bond Index is a broad-based measure of the U.S. investment grade fixed-rate debt market.

Key Portfolio Statistics

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Net assets | &nbsp;&nbsp;&nbsp;&nbsp;$40M |
| &nbsp;&nbsp;&nbsp;&nbsp;Number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;11 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total investment advisory fee paid | &nbsp;&nbsp;&nbsp;&nbsp;$0.1M |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate | &nbsp;&nbsp;&nbsp;&nbsp;86% |

---

What did the Portfolio invest in?

Asset Allocation (% of net assets)

Investment Companies 100.2 <br> Investments Purchased with Cash Collateral from Securities Lending 4.9 <br> Other (5.1)

Where can I find more information?

![QR Code - CST](images_1801.jpg)

At https://janushenderson.com/clayton-street-trust, you can find additional information about the Portfolio, including the Portfolio's:

* Prospectus

* Financial information

* Portfolio holdings

You can also request this information by contacting us at 1-877-335-2687.

![TSR Front Cover Logo](images_1802.jpg)

#### Protective Life Dynamic Allocation Series - Growth Portfolio

#### ANNUAL SHAREHOLDER REPORT

#### December 31, 2025
This annual shareholder report contains important information about the Protective Life Dynamic Allocation Series - Growth Portfolio (the "Portfolio") for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Portfolio at https://janushenderson.com/clayton-street-trust. You can also request this information by contacting us at 1-877-335-2687.

#### What were the costs for the year?
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| **Portfolio** | **Cost of a <br>$10,000 investment** | **Costs paid as a percentage <br>of a $10,000 investment** |
| Protective Life Dynamic Allocation Series - Growth Portfolio | $90 | 0.83% |

---

#### What impacted Portfolio performance over the reporting period?
For the 12-month period ended December 31, 2025, the Protective Life Dynamic Allocation Series - Growth Portfolio returned 16.01%. Its broad-based benchmark, the MSCI All Country World Index<sup>SM</sup>, returned 22.34%.

#### TOP CONTRIBUTORS TO PERFORMANCE
Exposure to large-cap U.S. stocks, including higher-growth names concentrated in the information technology sector, contributed to returns relative to the benchmark, the MSCI All Country World Index (ACWI). European equities were more moderate contributors.

#### TOP DETRACTORS FROM PERFORMANCE
Performance relative to the benchmark was hindered by the portfolio's allocation to stocks in Japan. An allocation to U.S. small-cap equities also detracted on a relative basis, as small-cap stocks underperformed large caps for the period.

#### Total return based on a $10,000 investment
April 7, 2016, through December 31, 2025

![Fund Performance - Growth of 10K](chartimages_370490.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **AVERAGE ANNUAL TOTAL RETURN** | **1 Year** | **5 Year** | **Since Inception** |
| Protective Life Dynamic Allocation Series - Growth Portfolio | 16.01% | 8.77% | 8.01% |
| MSCI All Country World Index<sup>SM</sup> | 22.34% | 11.19% | 12.23% |

---

**Keep in mind that the Portfolio 's past performance is not a good predictor of how the Portfolio will perform in the future.**

Visit https://janushenderson.com/clayton-street-trust for the most recent performance information. The graph and table include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemption of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. For certain periods, the Portfolio's performance may reflect the effects of expense waivers.

Key Portfolio Statistics

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Net assets | &nbsp;&nbsp;&nbsp;&nbsp;$34M |
| &nbsp;&nbsp;&nbsp;&nbsp;Number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;9 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total investment advisory fee paid | &nbsp;&nbsp;&nbsp;&nbsp;$0.0M |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate | &nbsp;&nbsp;&nbsp;&nbsp;164% |

---

What did the Portfolio invest in?

Asset Allocation (% of net assets)

Investment Companies 100.0 <br> Investments Purchased with Cash Collateral from Securities Lending 2.5 <br> Other (2.5)

Where can I find more information?

![QR Code - CST](images_1801.jpg)

At https://janushenderson.com/clayton-street-trust, you can find additional information about the Portfolio, including the Portfolio's:

* Prospectus

* Financial information

* Portfolio holdings

You can also request this information by contacting us at 1-877-335-2687.

Clayton Street Trust 109-65-70928P 02-26

![TSR Front Cover Logo](images_1802.jpg)

#### Protective Life Dynamic Allocation Series - Moderate Portfolio

#### ANNUAL SHAREHOLDER REPORT

#### December 31, 2025
This annual shareholder report contains important information about the Protective Life Dynamic Allocation Series - Moderate Portfolio (the "Portfolio") for the period of January 1, 2025 to December 31, 2025. You can find additional information about the Portfolio at https://janushenderson.com/clayton-street-trust. You can also request this information by contacting us at 1-877-335-2687.

#### What were the costs for the year?
*(Based on a hypothetical $10,000 investment)*

---

| | | |
|:---|:---|:---|
| **Portfolio** | **Cost of a <br>$10,000 investment** | **Costs paid as a percentage <br>of a $10,000 investment** |
| Protective Life Dynamic Allocation Series - Moderate Portfolio | $88 | 0.83% |

---

#### What impacted Portfolio performance over the reporting period?
For the 12-month period ended December 31, 2025, the Protective Life Dynamic Allocation Series - Moderate Portfolio returned 12.70%. Its broad-based benchmark, the MSCI All Country World Index<sup>SM</sup>, returned 22.34%. Its performance benchmark, the Protective Life Moderate Allocation Index, returned 16.97%.

#### TOP CONTRIBUTORS TO PERFORMANCE
Exposure to large-cap U.S. stocks, including higher-growth names concentrated in the information technology sector, contributed to returns relative to the benchmark, the 65% MSCI ACWI / 35% Bloomberg US Aggregate Bond Index. European equities were moderate contributors. An allocation to U.S. fixed income also aided relative performance.

#### TOP DETRACTORS FROM PERFORMANCE
Performance relative to the benchmark was hindered by the portfolio's allocation to stocks in Japan. An allocation to U.S. small-cap equities also detracted on a relative basis, as small-cap stocks underperformed large caps for the period.

#### Total return based on a $10,000 investment
April 7, 2016, through December 31, 2025

![Fund Performance - Growth of 10K](chartimages_370516.jpg)

---

| | | | |
|:---|:---|:---|:---|
| **AVERAGE ANNUAL TOTAL RETURN** | **1 Year** | **5 Year** | **Since Inception** |
| Protective Life Dynamic Allocation Series - Moderate Portfolio | 12.70% | 5.28% | 5.69% |
| MSCI All Country World Index<sup>SM</sup> | 22.34% | 11.19% | 12.23% |
| Protective Life Moderate Allocation Index | 16.97% | 7.15% | 8.64% |

---

**Keep in mind that the Portfolio 's past performance is not a good predictor of how the Portfolio will perform in the future.**

Visit https://janushenderson.com/clayton-street-trust for the most recent performance information. The graph and table include reinvestment of all dividends and distributions and do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or redemption of Portfolio shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes. For certain periods, the Portfolio's performance may reflect the effects of expense waivers.

The Protective Life Moderate Allocation Index is an internally-calculated, hypothetical combination of total returns from the MSCI All Country World Index (65%) and the Bloomberg U.S. Aggregate Bond Index (35%). The Bloomberg U.S. Aggregate Bond Index is a broad-based measure of the U.S. investment grade fixed-rate debt market

Key Portfolio Statistics

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Net assets | &nbsp;&nbsp;&nbsp;&nbsp;$723M |
| &nbsp;&nbsp;&nbsp;&nbsp;Number of portfolio holdings | &nbsp;&nbsp;&nbsp;&nbsp;11 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total investment advisory fee paid | &nbsp;&nbsp;&nbsp;&nbsp;$2.8M |
| &nbsp;&nbsp;&nbsp;&nbsp;Portfolio turnover rate | &nbsp;&nbsp;&nbsp;&nbsp;105% |

---

What did the Portfolio invest in?

Asset Allocation (% of net assets)

Investment Companies 100.1 <br> Investments Purchased with Cash Collateral from Securities Lending 1.9 <br> Other (2.0)

Where can I find more information?

![QR Code - CST](images_1801.jpg)

At https://janushenderson.com/clayton-street-trust, you can find additional information about the Portfolio, including the Portfolio's:

* Prospectus

* Financial information

* Portfolio holdings

You can also request this information by contacting us at 1-877-335-2687.

------

Item 2 - Code of Ethics

Code of Ethics

(a) As of the end of the period covered by this report, the Registrant has adopted the Fund Code of Ethics for Principal Executive Officer and Senior Financial Officers that applies to the Registrant's Principal Executive Officer and Principal Financial Officer; the Registrant's Principal Financial Officer also serves as the Principal Accounting Officer (the ("code of ethics").

(c) There was no amendment to the Registrant's code of ethics described in Item 2(a) above during the period covered by the report.

(d) There was no waiver granted, either actual or implicit, from a provision to the Registrant's code of ethics described in Item 2(a) above during the period covered by the report.

(e) Not applicable.

(f)(3) The Registrant hereby undertakes to provide any person, without charge, upon request, a copy of the code of ethics. To request a copy of the code of ethics, contact the Registrant at 1-877-335-2687, and ask for a copy of the Fund Code of Ethics for Principal Executive Officer and Senior Financial Officers.

------

Item 3 - Audit Committee Financial Expert

The Registrant's Board of Trustees has determined that the following member of the Board's Audit Committee is an "audit committee financial expert," as defined in Item 3 to Form N-CSR: Jeffrey B. Weeden (Chairman) who is "independent" under the standards set forth in Item 3 to Form N-CSR.

------

Item 4 - Principal Accountant Fees and Services

(a) Audit Fees

The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Portfolios' annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $105,666 in the fiscal year ended 2025 and $102,588 in the fiscal year ended 2024.

(b) Audit-Related Fees

The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the Portfolios' financial statements and are not reported under paragraph (a) of this Item were $0 in the fiscal year ended 2025 and $0 in the fiscal year ended 2024.

(c) Tax Fees

The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $16,266 in the fiscal year ended 2025 and $15,792 in the fiscal year ended 2024.

The nature of the services comprising the fees disclosed under this category includes tax compliance, tax planning, tax advice, and corporate actions review.

(d) All Other Fees

The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 in the fiscal year ended 2025 and $0 in the fiscal year ended 2024.

(e) (1) The Registrant's Audit Committee Charter requires the Registrant's Audit Committee to pre-approve any engagement of the principal accountant (i) to provide audit or non-audit services to the Registrant or (ii) to provide non-audit services to the Registrant's investment adviser or any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant, except for those non-audit services that were subject to the pre-approval exception under Rule 2-01 of Regulation S-X. The Chairman of the Audit Committee or, if the Chairman is unavailable, another member of the Audit Committee who is an independent Trustee, may grant the pre-approval. All such delegated pre-approvals must be presented to the Audit Committee no later than the next Audit Committee meeting.

(2) No services described in paragraphs (b) through (d) of this Item were approved by the Registrant's audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable as less than 50%

(g) The aggregate non-audit fees billed by the Registrant's accountant for services rendered to the Registrant, and rendered to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for each of the last two fiscal years of the Registrant were $16,266 in the fiscal year ended 2025 and $15,792 in the fiscal year ended 2024.

(h) The Registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.

(i) Not applicable.

(j) Not applicable.

------

Item 5 - Audit Committee of Listed Registrants

Not applicable.

------

Item 6 - Investments

(a) Schedule of Investments is contained in the Reports to Shareholders included under Item 7 of this Form N-CSR.

(b) Not applicable.

------

Item 7 - Financial Statements and Financial Highlights for Open-Ended Management Investment Companies

------

ANNUAL FINANCIAL STATEMENTS

December 31, 2025

**Protective Life Dynamic Allocation Series - Conservative Portfolio**

Clayton Street Trust

------

**Table of Contents**

**Protective Life Dynamic Allocation Series - Conservative Portfolio** 

---

| | |
|:---|:---|
| [Item 7. Financial Statements and Financial Highlights for Open-End](#xx_66186f73-96df-45ea-878e-753af2612c98_SOI-SOI-RunningFooter-47_1)<br> [Management Investment Companies](#xx_66186f73-96df-45ea-878e-753af2612c98_SOI-SOI-RunningFooter-47_1)<br>|  |
| [Schedule of Investments](#xx_66186f73-96df-45ea-878e-753af2612c98_SOI-SOI-RunningFooter-47_1) | 1 |
| [Notes to Schedule of Investments and Other Information](#xx_66186f73-96df-45ea-878e-753af2612c98_SOI-SOI-RunningFooter-47_3) | 3 |
| [Statement of Assets and Liabilities](#xx_66186f73-96df-45ea-878e-753af2612c98_SAL-SAL-RunningFooter-47_1) | 4 |
| [Statement of Operations](#xx_66186f73-96df-45ea-878e-753af2612c98_SOP-SOP-RunningFooter-47_1) | 5 |
| [Statements of Changes in Net Assets](#xx_66186f73-96df-45ea-878e-753af2612c98_SOC-SOC-RunningFooter-47_1) | 6 |
| [Financial Highlights](#xx_66186f73-96df-45ea-878e-753af2612c98_FIHI-FIHI-RunningFooter-47_1) | 7 |
| [Notes to Financial Statements](#xx_66186f73-96df-45ea-878e-753af2612c98_NTF-NTF-RunningFooter-47_1) | 8 |
| [Report of Independent Registered Public Accounting Firm](#xx_66186f73-96df-45ea-878e-753af2612c98_AUD-AR-RunningFooter-47_1) | 16 |
| [Designation Requirements](#xx_66186f73-96df-45ea-878e-753af2612c98_DR-DR-RunningFooter-47_1) | 17 |
| [Items 8-11 - Additional Information](#xx_66186f73-96df-45ea-878e-753af2612c98_AI-AI-RunningFooter-47_1) | 18 |

---

------

**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Schedule of Investments** 

**December 31, 2025**

---

| | | |
|:---|:---|:---|
|  | *Shares or* <br>*Principal Amounts*<br>| *Value* |
| Investment Companies – 100.2% |  |  |
| Exchange-Traded Funds (ETFs) – 100.0% |  |  |
| Franklin FTSE Japan<sup>#</sup> <br>| 29762 | $1025301 |
| Franklin FTSE United Kingdom | 61732 | 2083455 |
| Invesco NASDAQ 100 | 11903 | 3010507 |
| iShares Core U.S. Aggregate Bond | 199635 | 19939544 |
| JPMorgan BetaBuilders Developed Asia ex-Japan<sup>#</sup> <br>| 18039 | 1015596 |
| Vanguard FTSE Europe | 24489 | 2047525 |
| Vanguard S&P 500 | 12918 | 8101265 |
| Vanguard Small-Cap<sup>#</sup> <br>| 11522 | 2972100 |
|  |  | 40195293 |
| Money Markets – 0.2% |  |  |
| Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº,</sup><sup>£</sup> <br>| 77492 | 77515 |
| Total Investment Companies (cost $38,135,578) |  | 40272808 |
| Investments Purchased with Cash Collateral from Securities Lending – 4.9% |  |  |
| Investment Companies – 3.9% |  |  |
| Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº,</sup><sup>£</sup> <br>| 1559711 | 1559711 |
| Time Deposits – 1.0% |  |  |
| Royal Bank of Canada, 3.7000%, 1/2/26 | $389928 | 389928 |
| Total Investments Purchased with Cash Collateral from Securities Lending (cost $1,949,639) | Total Investments Purchased with Cash Collateral from Securities Lending (cost $1,949,639) | 1949639 |
| Total Investments (total cost $40,085,217) – 105.1% |  | 42222447 |
| Liabilities, net of Cash, Receivables and Other Assets – (5.1)% |  | (2032165) |
| Net Assets – 100% |  | $40190282 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** |
| *Affiliate* | *Affiliated* <br>*Investments,* <br>*at Value at* <br>*12/31/24*<br>| *Purchases* | *Sales* <br>*Proceeds*<br>| *Realized* <br>*Gain/(Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation/* <br>*Depreciation*<br>| *Affiliated* <br>*Investments,* <br>*at Value at* <br>*12/31/25*<br>| *Ending* <br>*Shares*<br>| *Dividend* <br>*Income*<br>|
| Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% | Investment Companies - 0.2% |
| Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A |
| Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income |
|  | $- | $3604290 | $(3597581) | $(6709) | $- | $- | - | $29184 |
| Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% | Money Markets - 0.2% |
| Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  |
|  | 2021957 | 32210171 | (34154610) | (3) | - | 77515 | 77492 | 73630 |
| Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% | Total Investment Companies - 0.2% |
|  | $2021957 | $35814461 | $(37752191) | $(6712) | $- | $77515 | 77492 | $102814 |
| Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% | Investments Purchased with Cash Collateral from Securities Lending - 3.9% |
| Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% | Investment Companies - 3.9% |
| Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  |
|  | 258200 | 58505897 | (57204386) | - | - | 1559711 | 1559711 | 6988 <br><sup>∆</sup><br>|
| Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% | Total Affiliated Investments - 4.1% |
|  | $2280157 | $94320358 | $(94956577) | $(6712) | $- | $1637226 | 1637203 | $109802 |

---

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

Clayton Street Trust \| 1

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Schedule of Investments** 

**December 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** |
| *Counterparty* | *Gross Amounts* <br>*of Recognized* <br>*Assets*<br>| &nbsp;&nbsp; *Offsetting Asset* <br>*or Liability*<sup>(a)</sup> <br>| &nbsp;&nbsp; *Collateral* <br>*Pledged*<sup>(b)</sup> <br>| *Net Amount* |
| JPMorgan Chase Bank, National Association | $1892747 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(1892747) | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;(a) Represents the amount of assets or liabilities that could be offset with the same
 counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Collateral pledged is limited to the net outstanding amount due to/from an individual
 counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value.

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

2 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Schedule of Investments and Other Information** 

LLC Limited Liability Company

---

| |
|:---|
| Rate shown is the 7-day yield as of December 31, 2025. |
| Loaned security; a portion of the security is on loan at December 31, 2025. |
| £&nbsp;&nbsp; The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, <br> as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which <br> is under common ownership or control.<br>|
| Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |

---

The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other

financial instruments as of December 31, 2025. See Notes to Financial Statements for more information.

---

| | | | |
|:---|:---|:---|:---|
| **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** |
|  | ***Level 1 -*** <br>***Quoted Prices***<br>| &nbsp;&nbsp; ***Level 2 -*** <br>***Other Significant*** <br>***Observable Inputs***<br>| &nbsp;&nbsp; ***Level 3 -*** <br>***Significant*** <br>***Unobservable Inputs***<br>|
| **Assets** |  |  |  |
| **Investments In Securities:** |  |  |  |
| *Investment Companies* | $40195293 | &nbsp;&nbsp; $77515 | &nbsp;&nbsp; $- |
| *Investments Purchased with Cash Collateral from Securities Lending* | - | &nbsp;&nbsp; 1949639 | &nbsp;&nbsp; - |
| **Total Assets** | $40195293 | &nbsp;&nbsp; $2027154 | &nbsp;&nbsp; $- |

---

Clayton Street Trust \| 3

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Statement of Assets and Liabilities** 

**December 31, 2025**

---

| | |
|:---|:---|
| Assets: |  |
| Unaffiliated investments, at value (cost $38,447,991)<sup>(1)</sup> <br>| $40585221 |
| Affiliated investments, at value (cost $1,637,226) | 1637226 |
| Receivables: |  |
| Dividends from affiliates | 992 |
| Other assets | 791 |
| Total Assets | 42224230 |
| Liabilities: |  |
| Due to custodian | 33 |
| Collateral for securities loaned (Note 2) | 1949639 |
| Payables: |  |
| Professional fees | 37870 |
| 12b-1 Distribution and shareholder servicing fees | 8824 |
| Portfolio shares repurchased | 4567 |
| Transfer agent fees and expenses | 3773 |
| Advisory fees | 3081 |
| Custodian fees | 257 |
| Affiliated portfolio administration fees payable | 243 |
| Trustees' fees and expenses | 157 |
| Accrued expenses and other payables | 25504 |
| Total Liabilities | 2033948 |
| Commitments and contingent liabilities (Note 3) |  |
| Net Assets | $40190282 |
| Net Assets Consist of: |  |
| Capital (par value and paid-in surplus) | $37313313 |
| Total distributable earnings (loss) | 2876969 |
| Total Net Assets | $40190282 |
| Net Assets | $40190282 |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 3398924 |
| Net Asset Value Per Share | $11.82 |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) Includes $1,892,747 of securities on loan. See Note 2 in Notes to Financial Statements.

See Notes to Financial Statements.

4 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Statement of Operations** 

**For the year ended December 31, 2025**

---

| | |
|:---|:---|
| Investment Income: |  |
| Dividends | $1134166 |
| Dividends from affiliates | 102814 |
| Affiliated securities lending income, net | 6988 |
| Interest | 5334 |
| Unaffiliated securities lending income, net | 1817 |
| Total Investment Income | 1251119 |
| Expenses: |  |
| Advisory fees | 160705 |
| 12b-1 Distribution and shareholder servicing fees | 100440 |
| Transfer agent administrative fees and expenses | 40176 |
| Other transfer agent fees and expenses | 1031 |
| Non-affiliated portfolio administration fees  | 49236 |
| Professional fees | 44637 |
| Shareholder reports expense | 15337 |
| Trustees' fees and expenses | 9950 |
| Affiliated portfolio administration fees | 3426 |
| Custodian fees | 3210 |
| Other expenses | 13347 |
| Total Expenses | 441495 |
| Less: Excess Expense Reimbursement and Waivers | (99454) |
| Net Expenses | 342041 |
| Net Investment Income/(Loss) | 909078 |
| Net Realized Gain/(Loss) on Investments: |  |
| Investments | 1610533 |
| Investments in affiliates | (6712) |
| Total Net Realized Gain/(Loss) on Investments | 1603821 |
| Change in Unrealized Net Appreciation/Depreciation: |  |
| Investments | 1762224 |
| Total Change in Unrealized Net Appreciation/Depreciation | 1762224 |
| Net Increase/(Decrease) in Net Assets Resulting from Operations | $4275123 |

---

See Notes to Financial Statements.

Clayton Street Trust \| 5

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Statements of Changes in Net Assets**

---

| | | |
|:---|:---|:---|
|  | *Year ended* <br>*December 31, 2025*<br>| &nbsp;&nbsp; *Year ended* <br>*December 31, 2024*<br>|
| Operations: |  |  |
| Net investment income/(loss) | $909078 | &nbsp;&nbsp; $866919 |
| Net realized gain/(loss) on investments | 1603821 | &nbsp;&nbsp; 2648945 |
| Change in unrealized net appreciation/depreciation | 1762224 | &nbsp;&nbsp; (643895) |
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 4275123 | &nbsp;&nbsp; 2871969 |
| Dividends and Distributions to Shareholders:  |  |  |
| Dividends and Distributions to Shareholders | (3192071) | &nbsp;&nbsp; (1151874) |
| Net Decrease from Dividends and Distributions to Shareholders | (3192071) | &nbsp;&nbsp; (1151874) |
| Capital Shares Transactions | (1351511) | &nbsp;&nbsp; (5567981) |
| Net Increase/(Decrease) in Net Assets | (268459) | &nbsp;&nbsp; (3847886) |
| Net Assets: |  |  |
| Beginning of period | 40458741 | &nbsp;&nbsp; 44306627 |
| End of period | $40190282 | &nbsp;&nbsp; $40458741 |

---

See Notes to Financial Statements.

6 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Financial Highlights**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| For a share outstanding during the year ended December 31 | 2025 | 2024 | 2023 | 2022 | 2021 |
| Net Asset Value, Beginning of Period | $11.55 | &nbsp;&nbsp; $11.08 | &nbsp;&nbsp; $10.34 | &nbsp;&nbsp; $12.88 | &nbsp;&nbsp; $11.95 |
| Income/(Loss) from Investment Operations: |  |  |  |  |  |
| Net investment income/(loss)<sup>(1)</sup> <br>| 0.26 | &nbsp;&nbsp;&nbsp;&nbsp;0.24 | &nbsp;&nbsp;&nbsp;&nbsp;0.23 | &nbsp;&nbsp;&nbsp;&nbsp;0.14 | &nbsp;&nbsp;&nbsp;&nbsp;0.12 |
| Net realized and unrealized gain/(loss) | 0.97 | &nbsp;&nbsp;&nbsp;&nbsp;0.55 | &nbsp;&nbsp;&nbsp;&nbsp;0.94 | &nbsp;&nbsp; (2.27) | &nbsp;&nbsp;&nbsp;&nbsp;0.92 |
| Total from Investment Operations | 1.23 | &nbsp;&nbsp;&nbsp;&nbsp;0.79 | &nbsp;&nbsp;&nbsp;&nbsp;1.17 | &nbsp;&nbsp; (2.13) | &nbsp;&nbsp;&nbsp;&nbsp;1.04 |
| Less Dividends and Distributions: |  |  |  |  |  |
| Dividends (from net investment income) | (0.27) | &nbsp;&nbsp; (0.23) | &nbsp;&nbsp; (0.21) | &nbsp;&nbsp; (0.13) | &nbsp;&nbsp; (0.11) |
| Distributions (from capital gains) | (0.69) | &nbsp;&nbsp; (0.09) | &nbsp;&nbsp; (0.22) | &nbsp;&nbsp; (0.28) | &nbsp;&nbsp; — |
| Total Dividends and Distributions | (0.96) | &nbsp;&nbsp; (0.32) | &nbsp;&nbsp; (0.43) | &nbsp;&nbsp; (0.41) | &nbsp;&nbsp; (0.11) |
| Net Asset Value, End of Period | $11.82 | &nbsp;&nbsp; $11.55 | &nbsp;&nbsp; $11.08 | &nbsp;&nbsp; $10.34 | &nbsp;&nbsp; $12.88 |
| Total Return<sup>\*</sup> <br>| 11.17% | &nbsp;&nbsp; 7.20% | &nbsp;&nbsp; 11.44% | &nbsp;&nbsp; (16.70)% | &nbsp;&nbsp; 8.72% |
| Net Assets, End of Period (in thousands) | $40190 | &nbsp;&nbsp; $40459 | &nbsp;&nbsp; $44307 | &nbsp;&nbsp; $43245 | &nbsp;&nbsp; $49095 |
| Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: |
| Ratio of Gross Expenses<sup>(2)</sup> <br>| 1.10% | &nbsp;&nbsp; 1.04% | &nbsp;&nbsp; 1.07% | &nbsp;&nbsp; 1.00% | &nbsp;&nbsp; 1.03% |
| Ratio of Net Expenses (After Waivers and Expense Offsets)<sup>(2)</sup> <br>| 0.85% | &nbsp;&nbsp; 0.85% | &nbsp;&nbsp; 0.85% | &nbsp;&nbsp; 0.85% | &nbsp;&nbsp; 0.84% |
| Ratio of Net Investment Income/(Loss)<sup>(2)</sup> <br>| 2.26% | &nbsp;&nbsp; 2.08% | &nbsp;&nbsp; 2.10% | &nbsp;&nbsp; 1.30% | &nbsp;&nbsp; 0.95% |
| Portfolio Turnover Rate | 86% | &nbsp;&nbsp; 54% | &nbsp;&nbsp; 106% | &nbsp;&nbsp; 207% | &nbsp;&nbsp; 49% |

---

\* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity contracts for which Clayton Street Trust serves as an underlying investment vehicle. 

(1) Per share amounts are calculated based on average shares outstanding during the year or period.

(2) Ratios do not include indirect expenses of the underlying funds and/or investment companies in which the Portfolio invests.

See Notes to Financial Statements.

Clayton Street Trust \| 7

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

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

**1. Organization and Significant Accounting Policies**

Protective Life Dynamic Allocation Series - Conservative Portfolio (the "Portfolio") is a series of Clayton Street Trust (the "Trust"), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946. The Portfolio operates as a "fund of funds," meaning substantially all of the Portfolio's assets may be invested in exchange-traded funds (the "underlying funds"). The Trust offers three portfolios with differing investment objectives and policies. The Portfolio seeks total return through income and growth of capital, balanced by capital preservation. The Portfolio is classified as diversified, as defined in the 1940 Act. Janus Henderson

Investors US LLC is the investment adviser (the "Adviser") to the Portfolio.

The Portfolio currently offers one class of shares. The shares are offered in connection with investment in and payments under variable annuity contracts issued exclusively by Protective Life Insurance Company and its affiliates ("Protective

Life").

Shareholders, including participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio's shares and can be considered to "control" the Portfolio when that ownership exceeds 25% of the Portfolio's assets (and which may differ from control as determined in accordance with

United States of America generally accepted accounting principles ("US GAAP")).

The Chief Financial Officer of the Portfolio is designated as the Chief Operating Decision Maker ("CODM") as it relates to ASC Topic 280, *Segment Reporting*. The CODM has concluded that the Portfolio operated as a single segment entity for the year ended December 31, 2025. The key indicator of performance of the Portfolio is net investment income as reported on the Statement of Operations.

The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.

**Underlying Funds**

During the period, the Portfolio invested in a dynamic portfolio of exchange-traded funds across seven different equity asset classes, as well as fixed-income investments, and a short duration allocation that may be comprised of cash, money market instruments and short duration exchange-traded funds. The equity asset classes are adjusted weekly based on market conditions pursuant to a proprietary, quantitative-based allocation program. Over the long term, and when fully invested, the Portfolio seeks to maintain an asset allocation of approximately 50% global equity investments and 50% fixed income investments. Additional details and descriptions of the investment objectives of each of the

potential underlying funds are available in the Portfolio's prospectus.

**Investment Valuation**

Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the "Valuation Procedures"). Equity securities, including shares of exchange-traded funds, traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange ("NYSE"). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities, and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an

8 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a non-valued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to "odd-lot" fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the

Portfolio, if any, will be calculated using the NAV of such funds.

**Valuation Inputs Summary**

FASB ASC 820, *Fair Value Measurements and Disclosures* ("ASC 820"), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:

Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.

Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default

rates and similar data.

Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio's Trustees; and certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options,

and forward contracts.

Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio's own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

The Portfolio classifies each of its investments in underlying funds as Level 1, without consideration as to the classification level of the specific investments held by the underlying funds. There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2025 to fair value the Portfolio's investments in securities and other financial instruments is included in the "Valuation Inputs Summary" in the Notes to

Schedule of Investments and Other Information.

**Investment Transactions and Investment Income**

Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities held by the underlying funds will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Any distributions from the underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. Interest income is recorded daily on an accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified

Clayton Street Trust \| 9

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

cost basis, which is the same basis used for federal income tax purposes.

**Expenses**

The Portfolio bears expenses incurred specifically on its behalf. Additionally, the Portfolio, as a shareholder in the

underlying funds, will also indirectly bear its pro rata share of the expenses incurred by the underlying funds.

**Estimates**

The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period.

Actual results could differ from those estimates.

**Indemnifications**

In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio's maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently,

the risk of material loss from such claims is considered remote.

**Dividends and Distributions**

The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution

of its net realized capital gains (if any).

**Income Taxes**

The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio's tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Portfolio's management has determined the Portfolio did not pay a significant amount of income taxes for the year

ended December 31, 2025.

**2. Other Investments and Strategies**

**Market Risk**

The value of the Portfolio's portfolio may decrease if the value of one or more issuers in the Portfolio's portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio's portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio's portfolio decreases, the Portfolio's NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, social unrest, tariffs, financial institution failures, and economic recessions could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.

• *Armed Conflict.* Armed conflicts between countries or in a geographic region, such as the ongoing armed conflicts in Europe and the Middle East, have the potential to adversely impact a Portfolio. The extent and duration of each conflict, resulting sanctions and resulting future market disruptions in each region are impossible to predict, but could be significant and have a severe adverse effect, including significant negative impacts on the U.S. and broader global

economic environment and the markets for certain securities and commodities.

**Exchange-Traded Funds**

ETFs are typically open-end investment companies, which may be actively managed or passively managed. Passively managed ETFs generally seek to track the performance of a specific index. ETFs are traded on a national securities

10 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

exchange at market prices that may vary from the net asset value per share ("NAV") of their underlying investments. Accordingly, there may be times when an ETF trades at a premium or discount to its NAV. As a result, the Portfolio may pay more or less than NAV when it buys ETF shares, and may receive more or less than NAV when it sells those shares. ETFs also involve the risk that an active trading market for an ETF's shares may not develop or be maintained. Similarly, because the value of ETF shares depends on the demand in the market, the Portfolio may not be able to purchase or sell an ETF at the most optimal time, which could adversely affect the Portfolio's performance. In addition, ETFs that track particular indices may be unable to match the performance of such underlying indices due to the temporary unavailability of certain index securities in the secondary market or other factors, such as discrepancies with respect to

the weighting of securities.

**Counterparties**

Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio ("counterparty risk"). Counterparty risk may arise because of the counterparty's financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty's inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio's exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.

The Portfolio may be exposed to counterparty risk through its investments in certain securities, including, but not limited to, repurchase agreements and debt securities. The Portfolio intends to enter into financial transactions with counterparties that the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser's analysis of a counterparty's creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to

the risks associated with one or more counterparties.

**Securities Lending**

Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, the Adviser makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the "SEC"). If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.

Upon receipt of cash collateral, the Adviser may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, the Adviser has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, the Adviser receives an investment advisory fee

Clayton Street Trust \| 11

------

**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

of 0.05% for managing Janus Henderson Cash Collateral Fund LLC and therefore may have an incentive to allocate collateral to the Janus Henderson Cash Collateral Fund LLC rather than to other collateral management options for which the Adviser does not receive compensation.

The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).

Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as "Affiliated securities lending income, net" and "Unaffiliated securities lending income, net" on the Statement of Operations. As of December 31, 2025, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $1,892,747. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2025 is $1,949,639,

resulting in the net amount due to the counterparty of $56,892.

**Offsetting Assets and Liabilities**

The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.

The Offsetting Assets and Liabilities table located in the Schedule of Investments presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of

instrument, see the Portfolio's Schedule of Investments.

**3. Investment Advisory Agreements and Other Transactions with Affiliates**

The Portfolio pays the Adviser an investment advisory fee which is calculated daily and paid monthly. The Portfolio's

contractual investment advisory fee rate (expressed as an annual rate) is 0.40% of its average daily net assets.

The Adviser has contractually agreed to waive the advisory fee and/or reimburse operating expenses to the extent that the Portfolio's normal operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees, administrative services fees payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes and extraordinary expenses, exceed the annual rate of 0.55%. The Adviser has agreed to continue the waivers until April 30, 2026. If applicable, amounts reimbursed to the Portfolio by the

Adviser are disclosed as "Excess Expense Reimbursement and Waivers" on the Statement of Operations.

The Adviser has also contractually agreed to waive and/or reimburse a portion of each Portfolio's management fee in an amount equal to the management fee it earns as an investment adviser to any affiliated exchange traded funds ("ETFs") in which the Portfolio invests. The Adviser has agreed to continue the waivers for at least a one-year period commencing April 30, 2026. If applicable, amounts waived and/or reimbursed to the Portfolio by the Adviser are disclosed as "Excess Expense Reimbursement and Waivers" on the Statement of Operations. During the period ended December 31, 2025, the Adviser waived $1,209 of the Portfolio's management fee, attributable to the Portfolio's

investment in the Janus Henderson Short Duration Income ETF.

The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser is authorized to perform, or cause others to perform certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the cost incurred for salaries, fees, and expenses of the Adviser employees with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser

12 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

provides to the Portfolio. These amounts are disclosed as "Affiliated Portfolio administration fees" on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and certain compliance staff, all of whom are employees of the Adviser and/or its affiliates are shared with the Portfolio. Total allocated expenses of $90,440 for the Chief Compliance Officer and certain compliance staff was paid by the

Trust during the year ended December 31, 2025.

Janus Henderson Services US LLC (the "Transfer Agent"), a wholly-owned subsidiary of the Adviser, is the Portfolio's transfer agent. The Transfer Agent provides or arranges for the provision of shareholder services including, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided to or on behalf of shareholders. These amounts are disclosed as "Transfer agent administrative fees and expenses" on the

Statement of Operations.

The Transfer Agent receives an administrative services fee at an annual rate of 0.10% of the Portfolio's average daily net assets for providing, or arranging for the provision by Protective Life of administrative services. The Transfer Agent expects to use this entire fee to compensate Protective Life for providing these services to its customers who invest in the Portfolio. These amounts are disclosed as "Transfer agent administrative fees and expenses" on the Statement of

Operations.

Shareholder Services provided by Protective Life may include, but are not limited to, recordkeeping, subaccounting, order processing, providing order confirmations, periodic statements, forwarding prospectuses, shareholder reports, and other materials to existing contract holders, answering inquiries regarding accounts, and other administrative services. Order processing includes the submission of transactions through the National Securities Clearing Corporation

("NSCC") or similar systems, or those processed on a manual basis with the Adviser.

Under a distribution and shareholder servicing plan (the "Plan") adopted in accordance with Rule 12b-1 under the 1940 Act, the Portfolio may pay the Trust's distributor, Janus Henderson Distributors US LLC (the "Distributor"), a wholly-owned subsidiary of the Adviser, a fee at an annual rate of up to 0.25% of the average daily net assets of the Portfolio. Under the terms of the Plan, the Trust is authorized to make payments to the Distributor for remittance to Protective Life or other intermediaries as compensation for distribution and/or shareholder services performed by Protective Life or its agents, or by such intermediary. Amounts that have been paid are disclosed as "12b-1 Distribution and

shareholder servicing fees" on the Statement of Operations.

Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the "Investing Funds"). The Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the "Sweep Vehicle") is an affiliated unregistered cash management pooled investment vehicle that invests at least 80% of its net assets (plus any borrowings for investment purposes) in U.S. Government securities and repurchase agreements that are collateralized by U.S. Government securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a "floating" NAV) rounded to the fourth decimal place (e.g., $1.0000). There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.

Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2025 can be found in the "Schedules of Affiliated Investments" located in the Schedule of

Investments.

The Portfolio is permitted to purchase or sell securities ("cross-trade") between itself and other funds or accounts managed by the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 ("Rule 17a-7"), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted and amended by the Trust's Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common

Clayton Street Trust \| 13

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2025, the Portfolio engaged in cross trades amounting to $1,340,004 in purchases and $247,327 in sales, resulting in a net realized gain of $3,881. The net realized gain is included within the "Net Realized Gain/(Loss) on Investments"

section of the Portfolio's Statement of Operations.

**4. Federal Income Tax**

The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.

The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal

income tax purposes pursuant to Section 988 of the Internal Revenue Code.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Undistributed* <br>*Ordinary Income*<br>| *Undistributed* <br>*Long-Term Gains*<br>| *Accumulated* <br>*Capital Losses*<br>| *Loss Deferrals* | *Other Book* <br>*to Tax* <br>*Differences*<br>| *Net Tax* <br>*Appreciation/* <br>*(Depreciation)*<br>|
| $523195 | $1460882 | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $892892 |

---

The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2025 are noted below. The primary differences between

book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.

---

| | | | |
|:---|:---|:---|:---|
| *Federal Tax Cost* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Net Tax Appreciation/* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| $41329555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $2919178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(2026286) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $892892 |

---

Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, and capital loss carryovers. Certain permanent differences such as tax returns

of capital and net investment losses noted below have been reclassified to capital.

---

| | | | |
|:---|:---|:---|:---|
| *For the year ended December 31, 2025* | *For the year ended December 31, 2025* | *For the year ended December 31, 2025* | *For the year ended December 31, 2025* |
| *Distributions*  | *Distributions*  | *Distributions*  |  |
| *From Ordinary Income* | *From Long-Term Capital Gains* | *Tax Return of Capital* | *Net Investment Loss* |
| $1049138 | &nbsp;&nbsp;&nbsp; $2142933 | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- |

---

---

| | | | |
|:---|:---|:---|:---|
| *For the year ended December 31, 2024* | *For the year ended December 31, 2024* | *For the year ended December 31, 2024* | *For the year ended December 31, 2024* |
| *Distributions*  | *Distributions*  | *Distributions*  |  |
| *From Ordinary Income* | *From Long-Term Capital Gains* | *Tax Return of Capital* | *Net Investment Loss* |
| $1151874 | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- |

---

Permanent book to tax basis differences may result in reclassifications between the components of net assets. These

differences have no impact on the results of operations or net assets.

**5. Capital Share Transactions** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Year ended December 31, 2025* | *Year ended December 31, 2025* | *Year ended December 31, 2024* | *Year ended December 31, 2024* |
|  | *Shares* | *Amount* | *Shares* | *Amount* |
| Shares sold | 343244 | &nbsp;&nbsp; $3986809 | &nbsp;&nbsp; 287418 | &nbsp;&nbsp; $3335552 |
| Reinvested dividends and distributions | 285131 | &nbsp;&nbsp; 3192071 | &nbsp;&nbsp; 99851 | &nbsp;&nbsp; 1151874 |
| Shares repurchased | (732982) | &nbsp;&nbsp; (8530391) | &nbsp;&nbsp; (881536) | &nbsp;&nbsp; (10055407) |
| Net Increase/(Decrease) | (104607) | &nbsp;&nbsp; $(1351511) | &nbsp;&nbsp; (494267) | &nbsp;&nbsp; $(5567981) |

---

14 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes to Financial Statements** 

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

**6. Purchases and Sales of Investment Securities**

For the year ended December 31, 2025, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as

applicable) was as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Purchases of* <br>*Securities*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Proceeds from Sales* <br>*of Securities*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Purchases of Long-* <br>*Term U.S. Government* <br>*Obligations*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Proceeds from Sales* <br>*of Long-Term U.S.* <br>*Government Obligations*<br>|
| $33037676 | &nbsp;&nbsp;&nbsp;&nbsp; $34732225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $- |

---

**7. Acquisition Note**

On December 22, 2025, Janus Henderson Group plc, the parent company of the Portfolio's investment adviser, announced a definitive agreement to be acquired by Trian Fund Management and General Catalyst. The Transaction is expected to close in 2026, subject to customary closing conditions, including requisite regulatory approvals, client

consents, and approval by Janus Henderson's shareholders. Management is assessing the impact to the portfolios.

**8. Subsequent Event**

Management has evaluated whether any events or transactions occurred subsequent to December 31, 2025 and through the date of issuance of the Portfolio's financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio's financial statements.

Clayton Street Trust \| 15

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Clayton Street Trust and Shareholders of Protective Life Dynamic Allocation Series – Conservative Portfolio

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Protective Life Dynamic Allocation Series - Conservative Portfolio (one of the portfolios constituting Clayton Street Trust, referred to hereafter as the "Portfolio") as of December 31, 2025, the related statement of operations for the year ended December 31, 2025, the statement of changes in net assets for each of the two years in the period ended December 31, 2025, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2025 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2025, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2025 and the financial highlights for each of the five years in the period ended December 31, 2025 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements are the responsibility of the Portfolio's management. Our responsibility is to express an opinion on the Portfolio's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2025 by correspondence with the custodian and transfer agent. We believe that our audits

provide a reasonable basis for our opinion.

![](img5927d90d1.jpg)

Denver, Colorado

February 18, 2026

We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.

16 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Designation Requirements (unaudited)**

For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2025:

---

| | |
|:---|:---|
| Capital Gain Distributions | $2142933 |
| Foreign Taxes Paid | $7565 |
| Foreign Source Income | $175878 |
| Dividends Received Deduction Percentage | 10% |

---

Clayton Street Trust \| 17

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Additional Information (unaudited)**

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Each board member also serves as a board member of other portfolios in the Clayton Street Trust. Annual retainer fees and attendance fees are allocated to each portfolio based on net assets. Trustees fees paid by the portfolio are within

Item 7. Statement of Operations as Trustees' fees and expenses.

**Item 11. Board Considerations Regarding Renewal of the CST Investment Advisory Agreements**

Not applicable.

18 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes**

Clayton Street Trust \| 19

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes**

20 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Conservative Portfolio**

**Notes**

Clayton Street Trust \| 21

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*This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.*

Janus Henderson is a trademark of Janus Henderson Group plc or one of its subsidiaries.© Janus Henderson Group plc

Mutual funds distributed by Janus Henderson Distributors US LLC

109-02-93063 02-26

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ANNUAL FINANCIAL STATEMENTS

December 31, 2025

**Protective Life Dynamic Allocation Series - Growth Portfolio**

Clayton Street Trust

------

**Table of Contents**

**Protective Life Dynamic Allocation Series - Growth Portfolio** 

---

| | |
|:---|:---|
| [Item 7. Financial Statements and Financial Highlights for Open-End](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SOI-SOI-RunningFooter-49_1)<br> [Management Investment Companies](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SOI-SOI-RunningFooter-49_1)<br>|  |
| [Schedule of Investments](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SOI-SOI-RunningFooter-49_1) | 1 |
| [Notes to Schedule of Investments and Other Information](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SOI-SOI-RunningFooter-49_2) | 2 |
| [Statement of Assets and Liabilities](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SAL-SAL-RunningFooter-49_1) | 3 |
| [Statement of Operations](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SOP-SOP-RunningFooter-49_1) | 4 |
| [Statements of Changes in Net Assets](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_SOC-SOC-RunningFooter-49_1) | 5 |
| [Financial Highlights](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_FIHI-FIHI-RunningFooter-49_1) | 6 |
| [Notes to Financial Statements](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_NTF-NTF-RunningFooter-49_1) | 7 |
| [Report of Independent Registered Public Accounting Firm](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_AUD-AR-RunningFooter-49_1) | 15 |
| [Designation Requirements](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_DR-DR-RunningFooter-49_1) | 16 |
| [Items 8-11 - Additional Information](#xx_ecca8991-77f4-4498-860b-971cb0106c8b_AI-AI-RunningFooter-49_1) | 17 |

---

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Schedule of Investments** 

**December 31, 2025**

---

| | | |
|:---|:---|:---|
|  | *Shares or* <br>*Principal Amounts*<br>| *Value* |
| Investment Companies – 100.0% |  |  |
| Exchange-Traded Funds (ETFs) – 100.0% |  |  |
| Franklin FTSE Japan | 50427 | $1737210 |
| Franklin FTSE United Kingdom | 105341 | 3555259 |
| Invesco NASDAQ 100 | 20252 | 5122136 |
| JPMorgan BetaBuilders Developed Asia ex-Japan<sup>#</sup> <br>| 30705 | 1728691 |
| Vanguard FTSE Europe | 41822 | 3496737 |
| Vanguard S&P 500 | 21982 | 13785572 |
| Vanguard Small-Cap | 19531 | 5038021 |
| Total Investment Companies (cost $28,988,843) |  | 34463626 |
| Investments Purchased with Cash Collateral from Securities Lending – 2.5% |  |  |
| Investment Companies – 2.0% |  |  |
| Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº,</sup><sup>£</sup> <br>| 703146 | 703146 |
| Time Deposits – 0.5% |  |  |
| Royal Bank of Canada, 3.7000%, 1/2/26 | $175786 | 175786 |
| Total Investments Purchased with Cash Collateral from Securities Lending (cost $878,932) | Total Investments Purchased with Cash Collateral from Securities Lending (cost $878,932) | 878932 |
| Total Investments (total cost $29,867,775) – 102.5% |  | 35342558 |
| Liabilities, net of Cash, Receivables and Other Assets – (2.5)% |  | (876511) |
| Net Assets – 100% |  | $34466047 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** |
| *Affiliate* | *Affiliated* <br>*Investments,* <br>*at Value at* <br>*12/31/24*<br>| *Purchases* | *Sales* <br>*Proceeds*<br>| *Realized* <br>*Gain/(Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation/* <br>*Depreciation*<br>| *Affiliated* <br>*Investments,* <br>*at Value at* <br>*12/31/25*<br>| *Ending* <br>*Shares*<br>| *Dividend* <br>*Income*<br>|
| Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A | Investment Companies - N/A |
| Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A |
| Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income |
|  | $- | $9311956 | $(9294113) | $(17843) | $- | $- | - | $75399 |
| Money Markets - N/A | Money Markets - N/A | Money Markets - N/A | Money Markets - N/A | Money Markets - N/A | Money Markets - N/A | Money Markets - N/A | Money Markets - N/A | Money Markets - N/A |
| Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  |
|  | 4057037 | 53757317 | (57814360) | 6 | - | - | - | 127730 |
| Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A | Total Investment Companies - N/A |
|  | $4057037 | $63069273 | $(67108473) | $(17837) | $- | $- | - | $203129 |
| Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% | Investments Purchased with Cash Collateral from Securities Lending - 2.0% |
| Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% | Investment Companies - 2.0% |
| Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  |
|  | 1353007 | 75860831 | (76510692) | - | - | 703146 | 703146 | 13629 <br><sup>∆</sup><br>|
| Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% | Total Affiliated Investments - 2.0% |
|  | $5410044 | $138930104 | $(143619165) | $(17837) | $- | $703146 | 703146 | $216758 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** |
| *Counterparty* | *Gross Amounts* <br>*of Recognized* <br>*Assets*<br>| &nbsp;&nbsp; *Offsetting Asset* <br>*or Liability*<sup>(a)</sup> <br>| &nbsp;&nbsp; *Collateral* <br>*Pledged*<sup>(b)</sup> <br>| *Net Amount* |
| JPMorgan Chase Bank, National Association | $853170 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(853170) | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;(a) Represents the amount of assets or liabilities that could be offset with the same
 counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Collateral pledged is limited to the net outstanding amount due to/from an individual
 counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value.

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

Clayton Street Trust \| 1

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Schedule of Investments and Other Information** 

LLC Limited Liability Company

---

| |
|:---|
| Rate shown is the 7-day yield as of December 31, 2025. |
| Loaned security; a portion of the security is on loan at December 31, 2025. |
| £&nbsp;&nbsp; The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, <br> as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which <br> is under common ownership or control.<br>|
| Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |

---

The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other

financial instruments as of December 31, 2025. See Notes to Financial Statements for more information.

---

| | | | |
|:---|:---|:---|:---|
| **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** |
|  | ***Level 1 -*** <br>***Quoted Prices***<br>| &nbsp;&nbsp; ***Level 2 -*** <br>***Other Significant*** <br>***Observable Inputs***<br>| &nbsp;&nbsp; ***Level 3 -*** <br>***Significant*** <br>***Unobservable Inputs***<br>|
| **Assets** |  |  |  |
| **Investments In Securities:** |  |  |  |
| *Investment Companies* | $34463626 | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- |
| *Investments Purchased with Cash Collateral from Securities Lending* | - | &nbsp;&nbsp; 878932 | &nbsp;&nbsp; - |
| **Total Assets** | $34463626 | &nbsp;&nbsp; $878932 | &nbsp;&nbsp; $- |

---

2 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Statement of Assets and Liabilities** 

**December 31, 2025**

---

| | |
|:---|:---|
| Assets: |  |
| Unaffiliated investments, at value (cost $29,164,629)<sup>(1)</sup> <br>| $34639412 |
| Affiliated investments, at value (cost $703,146) | 703146 |
| Receivables: |  |
| Dividends from affiliates | 1468 |
| Portfolio shares sold | 175 |
| Investments sold | 98742 |
| Other assets | 1698 |
| Total Assets | 35444641 |
| Liabilities: |  |
| Due to custodian | 17954 |
| Collateral for securities loaned (Note 2) | 878932 |
| Payables: |  |
| Professional fees | 38004 |
| 12b-1 Distribution and shareholder servicing fees | 7655 |
| Investments purchased | 4642 |
| Transfer agent fees and expenses | 3303 |
| Portfolio shares repurchased | 2075 |
| Advisory fees | 1590 |
| Trustees' fees and expenses | 281 |
| Affiliated portfolio administration fees payable | 230 |
| Custodian fees | 159 |
| Accrued expenses and other payables | 23769 |
| Total Liabilities | 978594 |
| Commitments and contingent liabilities (Note 3) |  |
| Net Assets | $34466047 |
| Net Assets Consist of: |  |
| Capital (par value and paid-in surplus) | $24945505 |
| Total distributable earnings (loss) | 9520542 |
| Total Net Assets | $34466047 |
| Net Assets | $34466047 |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 2479105 |
| Net Asset Value Per Share | $13.90 |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) Includes $853,170 of securities on loan. See Note 2 in Notes to Financial Statements.

See Notes to Financial Statements.

Clayton Street Trust \| 3

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Statement of Operations** 

**For the year ended December 31, 2025**

---

| | |
|:---|:---|
| Investment Income: |  |
| Dividends | $631060 |
| Dividends from affiliates | 203129 |
| Affiliated securities lending income, net | 13629 |
| Interest | 8756 |
| Unaffiliated securities lending income, net | 3746 |
| Total Investment Income | 860320 |
| Expenses: |  |
| Advisory fees | 150822 |
| 12b-1 Distribution and shareholder servicing fees | 94220 |
| Transfer agent administrative fees and expenses | 37706 |
| Other transfer agent fees and expenses | 1019 |
| Non-affiliated portfolio administration fees  | 46297 |
| Professional fees | 44204 |
| Shareholder reports expense | 11542 |
| Trustees' fees and expenses | 9248 |
| Custodian fees | 4179 |
| Affiliated portfolio administration fees | 3374 |
| Other expenses | 16225 |
| Total Expenses | 418836 |
| Less: Excess Expense Reimbursement and Waivers | (106053) |
| Net Expenses | 312783 |
| Net Investment Income/(Loss) | 547537 |
| Net Realized Gain/(Loss) on Investments: |  |
| Investments | 4313201 |
| Investments in affiliates | (17837) |
| Total Net Realized Gain/(Loss) on Investments | 4295364 |
| Change in Unrealized Net Appreciation/Depreciation: |  |
| Investments | 630729 |
| Total Change in Unrealized Net Appreciation/Depreciation | 630729 |
| Net Increase/(Decrease) in Net Assets Resulting from Operations | $5473630 |

---

See Notes to Financial Statements.

4 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Statements of Changes in Net Assets**

---

| | | |
|:---|:---|:---|
|  | *Year ended* <br>*December 31, 2025*<br>| &nbsp;&nbsp; *Year ended* <br>*December 31, 2024*<br>|
| Operations: |  |  |
| Net investment income/(loss) | $547537 | &nbsp;&nbsp; $601297 |
| Net realized gain/(loss) on investments | 4295364 | &nbsp;&nbsp; 6822400 |
| Change in unrealized net appreciation/depreciation | 630729 | &nbsp;&nbsp; (1380696) |
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 5473630 | &nbsp;&nbsp; 6043001 |
| Dividends and Distributions to Shareholders:  |  |  |
| Dividends and Distributions to Shareholders | (6438051) | &nbsp;&nbsp; (1775514) |
| Net Decrease from Dividends and Distributions to Shareholders | (6438051) | &nbsp;&nbsp; (1775514) |
| Capital Shares Transactions | (6166595) | &nbsp;&nbsp; (9338898) |
| Net Increase/(Decrease) in Net Assets | (7131016) | &nbsp;&nbsp; (5071411) |
| Net Assets: |  |  |
| Beginning of period | 41597063 | &nbsp;&nbsp; 46668474 |
| End of period | $34466047 | &nbsp;&nbsp; $41597063 |

---

See Notes to Financial Statements.

Clayton Street Trust \| 5

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Financial Highlights**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| For a share outstanding during the year ended December 31 | 2025 | 2024 | 2023 | 2022 | 2021 |
| Net Asset Value, Beginning of Period | $14.43 | &nbsp;&nbsp; $13.15 | &nbsp;&nbsp; $12.15 | &nbsp;&nbsp; $15.29 | &nbsp;&nbsp; $12.77 |
| Income/(Loss) from Investment Operations: |  |  |  |  |  |
| Net investment income/(loss)<sup>(1)</sup> <br>| 0.20 | &nbsp;&nbsp;&nbsp;&nbsp;0.19 | &nbsp;&nbsp;&nbsp;&nbsp;0.23 | &nbsp;&nbsp;&nbsp;&nbsp;0.16 | &nbsp;&nbsp;&nbsp;&nbsp;0.14 |
| Net realized and unrealized gain/(loss) | 1.82 | &nbsp;&nbsp;&nbsp;&nbsp;1.65 | &nbsp;&nbsp;&nbsp;&nbsp;1.93 | &nbsp;&nbsp; (3.14) | &nbsp;&nbsp;&nbsp;&nbsp;2.51 |
| Total from Investment Operations | 2.02 | &nbsp;&nbsp;&nbsp;&nbsp;1.84 | &nbsp;&nbsp;&nbsp;&nbsp;2.16 | &nbsp;&nbsp; (2.98) | &nbsp;&nbsp;&nbsp;&nbsp;2.65 |
| Less Dividends and Distributions: |  |  |  |  |  |
| Dividends (from net investment income) | (0.22) | &nbsp;&nbsp; (0.22) | &nbsp;&nbsp; (0.23) | &nbsp;&nbsp; (0.16) | &nbsp;&nbsp; (0.13) |
| Distributions (from capital gains) | (2.33) | &nbsp;&nbsp; (0.34) | &nbsp;&nbsp; (0.93) | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total Dividends and Distributions | (2.55) | &nbsp;&nbsp; (0.56) | &nbsp;&nbsp; (1.16) | &nbsp;&nbsp; (0.16) | &nbsp;&nbsp; (0.13) |
| Net Asset Value, End of Period | $13.90 | &nbsp;&nbsp; $14.43 | &nbsp;&nbsp; $13.15 | &nbsp;&nbsp; $12.15 | &nbsp;&nbsp; $15.29 |
| Total Return<sup>\*</sup> <br>| 16.01% | &nbsp;&nbsp; 14.15% | &nbsp;&nbsp; 18.34% | &nbsp;&nbsp; (19.57)% | &nbsp;&nbsp; 20.79% |
| Net Assets, End of Period (in thousands) | $34466 | &nbsp;&nbsp; $41597 | &nbsp;&nbsp; $46668 | &nbsp;&nbsp; $48769 | &nbsp;&nbsp; $65595 |
| Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: |
| Ratio of Gross Expenses<sup>(2)</sup> <br>| 1.11% | &nbsp;&nbsp; 1.01% | &nbsp;&nbsp; 1.03% | &nbsp;&nbsp; 0.96% | &nbsp;&nbsp; 0.98% |
| Ratio of Net Expenses (After Waivers and Expense Offsets)<sup>(2)</sup> <br>| 0.83% | &nbsp;&nbsp; 0.83% | &nbsp;&nbsp; 0.84% | &nbsp;&nbsp; 0.82% | &nbsp;&nbsp; 0.82% |
| Ratio of Net Investment Income/(Loss)<sup>(2)</sup> <br>| 1.45% | &nbsp;&nbsp; 1.34% | &nbsp;&nbsp; 1.81% | &nbsp;&nbsp; 1.17% | &nbsp;&nbsp; 0.95% |
| Portfolio Turnover Rate | 164% | &nbsp;&nbsp; 92% | &nbsp;&nbsp; 204% | &nbsp;&nbsp; 415% | &nbsp;&nbsp; 57% |

---

\* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity contracts for which Clayton Street Trust serves as an underlying investment vehicle. 

(1) Per share amounts are calculated based on average shares outstanding during the year or period.

(2) Ratios do not include indirect expenses of the underlying funds and/or investment companies in which the Portfolio invests.

See Notes to Financial Statements.

6 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

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

**1. Organization and Significant Accounting Policies**

Protective Life Dynamic Allocation Series - Growth Portfolio (the "Portfolio") is a series of Clayton Street Trust (the "Trust"), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946. The Portfolio operates as a "fund of funds," meaning substantially all of the Portfolio's assets may be invested in exchange-traded funds (the "underlying funds"). The Trust offers three portfolios with differing investment objectives and policies. The Portfolio seeks total return through growth of capital, balanced by capital preservation. The Portfolio is classified as diversified, as defined in the 1940 Act. Janus Henderson Investors

US LLC is the investment adviser (the "Adviser") to the Portfolio.

The Portfolio currently offers one class of shares. The shares are offered in connection with investment in and payments under variable annuity contracts issued exclusively by Protective Life Insurance Company and its affiliates ("Protective

Life").

Shareholders, including participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio's shares and can be considered to "control" the Portfolio when that ownership exceeds 25% of the Portfolio's assets (and which may differ from control as determined in accordance with

United States of America generally accepted accounting principles ("US GAAP")).

The Chief Financial Officer of the Portfolio is designated as the Chief Operating Decision Maker ("CODM") as it relates to ASC Topic 280, *Segment Reporting*. The CODM has concluded that the Portfolio operated as a single segment entity for the year ended December 31, 2025. The key indicator of performance of the Portfolio is net investment income as reported on the Statement of Operations.

The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.

**Underlying Funds**

During the period, the Portfolio invested in a dynamic portfolio of exchange-traded funds across seven different equity asset classes and a short duration allocation that may be comprised of cash, money market instruments and short duration exchange-traded funds. The equity asset classes are adjusted weekly based on market conditions pursuant to a proprietary, quantitative-based allocation program. Over the long term, and when fully invested, the Portfolio seeks to maintain an asset allocation of approximately 100% global equity investments. Additional details and descriptions of the

investment objectives of each of the potential underlying funds are available in the Portfolio's prospectus.

**Investment Valuation**

Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the "Valuation Procedures"). Equity securities, including shares of exchange-traded funds, traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange ("NYSE"). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities, and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market

Clayton Street Trust \| 7

------

**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

closing early or not opening, or a security trading halt; and (iv) pricing of a non-valued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to "odd-lot" fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the

Portfolio, if any, will be calculated using the NAV of such funds.

**Valuation Inputs Summary**

FASB ASC 820, *Fair Value Measurements and Disclosures* ("ASC 820"), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:

Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.

Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default

rates and similar data.

Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio's Trustees; and certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options,

and forward contracts.

Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio's own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

The Portfolio classifies each of its investments in underlying funds as Level 1, without consideration as to the classification level of the specific investments held by the underlying funds. There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2025 to fair value the Portfolio's investments in securities and other financial instruments is included in the "Valuation Inputs Summary" in the Notes to

Schedule of Investments and Other Information.

**Investment Transactions and Investment Income**

Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities held by the underlying funds will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Any distributions from the underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. Interest income is recorded daily on an accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified

cost basis, which is the same basis used for federal income tax purposes.

8 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

**Expenses**

The Portfolio bears expenses incurred specifically on its behalf. Additionally, the Portfolio, as a shareholder in the

underlying funds, will also indirectly bear its pro rata share of the expenses incurred by the underlying funds.

**Estimates**

The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period.

Actual results could differ from those estimates.

**Indemnifications**

In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio's maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently,

the risk of material loss from such claims is considered remote.

**Dividends and Distributions**

The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution

of its net realized capital gains (if any).

**Income Taxes**

The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio's tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Portfolio's management has determined the Portfolio did not pay a significant amount of income taxes for the year

ended December 31, 2025.

**2. Other Investments and Strategies**

**Market Risk**

The value of the Portfolio's portfolio may decrease if the value of one or more issuers in the Portfolio's portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio's portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio's portfolio decreases, the Portfolio's NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, social unrest, tariffs, financial institution failures, and economic recessions could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.

• *Armed Conflict.* Armed conflicts between countries or in a geographic region, such as the ongoing armed conflicts in Europe and the Middle East, have the potential to adversely impact a Portfolio. The extent and duration of each conflict, resulting sanctions and resulting future market disruptions in each region are impossible to predict, but could be significant and have a severe adverse effect, including significant negative impacts on the U.S. and broader global

economic environment and the markets for certain securities and commodities.

**Exchange-Traded Funds**

ETFs are typically open-end investment companies, which may be actively managed or passively managed. Passively managed ETFs generally seek to track the performance of a specific index. ETFs are traded on a national securities exchange at market prices that may vary from the net asset value per share ("NAV") of their underlying investments.

Clayton Street Trust \| 9

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

Accordingly, there may be times when an ETF trades at a premium or discount to its NAV. As a result, the Portfolio may pay more or less than NAV when it buys ETF shares, and may receive more or less than NAV when it sells those shares. ETFs also involve the risk that an active trading market for an ETF's shares may not develop or be maintained. Similarly, because the value of ETF shares depends on the demand in the market, the Portfolio may not be able to purchase or sell an ETF at the most optimal time, which could adversely affect the Portfolio's performance. In addition, ETFs that track particular indices may be unable to match the performance of such underlying indices due to the temporary unavailability of certain index securities in the secondary market or other factors, such as discrepancies with respect to

the weighting of securities.

**Counterparties**

Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio ("counterparty risk"). Counterparty risk may arise because of the counterparty's financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty's inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio's exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.

The Portfolio may be exposed to counterparty risk through its investments in certain securities, including, but not limited to, repurchase agreements and debt securities. The Portfolio intends to enter into financial transactions with counterparties that the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser's analysis of a counterparty's creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to

the risks associated with one or more counterparties.

**Securities Lending**

Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, the Adviser makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the "SEC"). If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.

Upon receipt of cash collateral, the Adviser may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, the Adviser has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, the Adviser receives an investment advisory fee of 0.05% for managing Janus Henderson Cash Collateral Fund LLC and therefore may have an incentive to allocate

10 \| December 31, 2025

------

**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

collateral to the Janus Henderson Cash Collateral Fund LLC rather than to other collateral management options for which the Adviser does not receive compensation.

The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).

Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as "Affiliated securities lending income, net" and "Unaffiliated securities lending income, net" on the Statement of Operations. As of December 31, 2025, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $853,170. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2025 is $878,932,

resulting in the net amount due to the counterparty of $25,762.

**Offsetting Assets and Liabilities**

The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.

The Offsetting Assets and Liabilities table located in the Schedule of Investments presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of

instrument, see the Portfolio's Schedule of Investments.

**3. Investment Advisory Agreements and Other Transactions with Affiliates**

The Portfolio pays the Adviser an investment advisory fee which is calculated daily and paid monthly. The Portfolio's

contractual investment advisory fee rate (expressed as an annual rate) is 0.40% of its average daily net assets.

The Adviser has contractually agreed to waive the advisory fee and/or reimburse operating expenses to the extent that the Portfolio's normal operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees, administrative services fees payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes and extraordinary expenses, exceed the annual rate of 0.55%. The Adviser has agreed to continue the waivers until April 30, 2026. If applicable, amounts reimbursed to the Portfolio by the

Adviser are disclosed as "Excess Expense Reimbursement and Waivers" on the Statement of Operations.

The Adviser has also contractually agreed to waive and/or reimburse a portion of each Portfolio's management fee in an amount equal to the management fee it earns as an investment adviser to any affiliated exchange traded funds ("ETFs") in which the Portfolio invests. The Adviser has agreed to continue the waivers for at least a one-year period commencing April 30, 2026. If applicable, amounts waived and/or reimbursed to the Portfolio by the Adviser are disclosed as "Excess Expense Reimbursement and Waivers" on the Statement of Operations. During the year ended December 31, 2025, the Adviser waived $3,103 of the Portfolio's management fee, attributable to the Portfolio's

investment in the Janus Henderson Short Duration Income ETF.

The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser is authorized to perform, or cause others to perform certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the cost incurred for salaries, fees, and expenses of the Adviser employees with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser provides to the Portfolio. These amounts are disclosed as "Affiliated Portfolio administration fees" on the Statement of

Clayton Street Trust \| 11

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

Operations. In addition, some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and certain compliance staff, all of whom are employees of the Adviser and/or its affiliates are shared with the Portfolio. Total allocated expenses of $90,440 for the Chief Compliance Officer and certain compliance staff was paid by the

Trust during the year ended December 31, 2025.

Janus Henderson Services US LLC (the "Transfer Agent"), a wholly-owned subsidiary of the Adviser, is the Portfolio's transfer agent. The Transfer Agent provides or arranges for the provision of shareholder services including, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided to or on behalf of shareholders. These amounts are disclosed as "Transfer agent administrative fees and expenses" on the

Statement of Operations.

The Transfer Agent receives an administrative services fee at an annual rate of 0.10% of the Portfolio's average daily net assets for providing, or arranging for the provision by Protective Life of administrative services. The Transfer Agent expects to use this entire fee to compensate Protective Life for providing these services to its customers who invest in the Portfolio. These amounts are disclosed as "Transfer agent administrative fees and expenses" on the Statement of

Operations.

Shareholder Services provided by Protective Life may include, but are not limited to, recordkeeping, subaccounting, order processing, providing order confirmations, periodic statements, forwarding prospectuses, shareholder reports, and other materials to existing contract holders, answering inquiries regarding accounts, and other administrative services. Order processing includes the submission of transactions through the National Securities Clearing Corporation

("NSCC") or similar systems, or those processed on a manual basis with the Adviser.

Under a distribution and shareholder servicing plan (the "Plan") adopted in accordance with Rule 12b-1 under the 1940 Act, the Portfolio may pay the Trust's distributor, Janus Henderson Distributors US LLC (the "Distributor"), a wholly-owned subsidiary of the Adviser, a fee at an annual rate of up to 0.25% of the average daily net assets of the Portfolio. Under the terms of the Plan, the Trust is authorized to make payments to the Distributor for remittance to Protective Life or other intermediaries as compensation for distribution and/or shareholder services performed by Protective Life or its agents, or by such intermediary. Amounts that have been paid are disclosed as "12b-1 Distribution and

shareholder servicing fees" on the Statement of Operations.

Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the "Investing Funds"). The Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the "Sweep Vehicle") is an affiliated unregistered cash management pooled investment vehicle that invests at least 80% of its net assets (plus any borrowings for investment purposes) in U.S. Government securities and repurchase agreements that are collateralized by U.S. Government securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a "floating" NAV) rounded to the fourth decimal place (e.g., $1.0000). There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.

Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2025 can be found in the "Schedules of Affiliated Investments" located in the Schedule of

Investments.

The Portfolio is permitted to purchase or sell securities ("cross-trade") between itself and other funds or accounts managed by the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 ("Rule 17a-7"), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted and amended by the Trust's Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each

12 \| December 31, 2025

------

**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2025, the Portfolio engaged in cross trades amounting to $442,216 in purchases and $810,590 in sales, resulting in a net realized gain of $55,347. The net realized gain is included within the "Net Realized Gain/(Loss) on Investments"

section of the Portfolio's Statement of Operations.

**4. Federal Income Tax**

The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.

The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal

income tax purposes pursuant to Section 988 of the Internal Revenue Code.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Undistributed* <br>*Ordinary Income*<br>| *Undistributed* <br>*Long-Term Gains*<br>| *Accumulated* <br>*Capital Losses*<br>| *Loss Deferrals* | *Other Book* <br>*to Tax* <br>*Differences*<br>| *Net Tax* <br>*Appreciation/* <br>*(Depreciation)*<br>|
| $766881 | $3573101 | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $5180560 |

---

The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2025 are noted below. The primary differences between

book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.

---

| | | | |
|:---|:---|:---|:---|
| *Federal Tax Cost* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Net Tax Appreciation/* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| $30161998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5180560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $5180560 |

---

Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, and capital loss carryovers. Certain permanent differences such as tax returns

of capital and net investment losses noted below have been reclassified to capital.

---

| | | | |
|:---|:---|:---|:---|
| *For the year ended December 31, 2025* | *For the year ended December 31, 2025* | *For the year ended December 31, 2025* | *For the year ended December 31, 2025* |
| *Distributions*  | *Distributions*  | *Distributions*  |  |
| *From Ordinary Income* | *From Long-Term Capital Gains* | *Tax Return of Capital* | *Net Investment Loss* |
| $904956 | &nbsp;&nbsp;&nbsp; $5533095 | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- |

---

---

| | | | |
|:---|:---|:---|:---|
| *For the year ended December 31, 2024* | *For the year ended December 31, 2024* | *For the year ended December 31, 2024* | *For the year ended December 31, 2024* |
| *Distributions*  | *Distributions*  | *Distributions*  |  |
| *From Ordinary Income* | *From Long-Term Capital Gains* | *Tax Return of Capital* | *Net Investment Loss* |
| $1775514 | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- |

---

Permanent book to tax basis differences may result in reclassifications between the components of net assets. These

differences have no impact on the results of operations or net assets.

**5. Capital Share Transactions** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Year ended December 31, 2025* | *Year ended December 31, 2025* | *Year ended December 31, 2024* | *Year ended December 31, 2024* |
|  | *Shares* | *Amount* | *Shares* | *Amount* |
| Shares sold | 99561 | &nbsp;&nbsp; $1380164 | &nbsp;&nbsp; 46766 | &nbsp;&nbsp; $652673 |
| Reinvested dividends and distributions | 513173 | &nbsp;&nbsp; 6438051 | &nbsp;&nbsp; 126780 | &nbsp;&nbsp; 1775514 |
| Shares repurchased | (1016195) | &nbsp;&nbsp; (13984810) | &nbsp;&nbsp; (839240) | &nbsp;&nbsp; (11767085) |
| Net Increase/(Decrease) | (403461) | &nbsp;&nbsp; $(6166595) | &nbsp;&nbsp; (665694) | &nbsp;&nbsp; $(9338898) |

---

**6. Purchases and Sales of Investment Securities**

For the year ended December 31, 2025, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as

Clayton Street Trust \| 13

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Notes to Financial Statements** 

applicable) was as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Purchases of* <br>*Securities*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Proceeds from Sales* <br>*of Securities*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Purchases of Long-* <br>*Term U.S. Government* <br>*Obligations*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Proceeds from Sales* <br>*of Long-Term U.S.* <br>*Government Obligations*<br>|
| $57148239 | &nbsp;&nbsp;&nbsp;&nbsp; $65211878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $- |

---

**7. Acquisition Note**

On December 22, 2025, Janus Henderson Group plc, the parent company of the Portfolio's investment adviser, announced a definitive agreement to be acquired by Trian Fund Management and General Catalyst. The Transaction is expected to close in 2026, subject to customary closing conditions, including requisite regulatory approvals, client

consents, and approval by Janus Henderson's shareholders. Management is assessing the impact to the portfolios.

**8. Subsequent Event**

Management has evaluated whether any events or transactions occurred subsequent to December 31, 2025 and through the date of issuance of the Portfolio's financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio's financial statements.

14 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Clayton Street Trust and Shareholders of Protective Life Dynamic Allocation Series - Growth Portfolio

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Protective Life Dynamic Allocation Series - Growth Portfolio (one of the portfolios constituting Clayton Street Trust, referred to hereafter as the "Portfolio") as of December 31, 2025, the related statement of operations for the year ended December 31, 2025, the statement of changes in net assets for each of the two years in the period ended December 31, 2025, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2025 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2025, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2025 and the financial highlights for each of the five years in the period ended December 31, 2025 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements are the responsibility of the Portfolio's management. Our responsibility is to express an opinion on the Portfolio's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2025 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable

basis for our opinion.

![](img77cf0d2d1.jpg)

Denver, Colorado

February 18, 2026

We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.

Clayton Street Trust \| 15

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Designation Requirements (unaudited)**

For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2025:

---

| | |
|:---|:---|
| Section 163(j) Interest Dividend | 1% |
| Capital Gain Distributions | $5533095 |
| Foreign Taxes Paid | $13743 |
| Foreign Source Income | $315486 |
| Dividends Received Deduction Percentage | 21% |

---

16 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Growth Portfolio**

**Additional Information (unaudited)**

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Each board member also serves as a board member of other portfolios in the Clayton Street Trust. Annual retainer fees and attendance fees are allocated to each portfolio based on net assets. Trustees fees paid by the portfolio are within

Item 7. Statement of Operations as Trustees' fees and expenses.

**Item 11. Board Considerations Regarding Renewal of the CST Investment Advisory Agreements**

Not applicable.

Clayton Street Trust \| 17

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*This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.*

Janus Henderson is a trademark of Janus Henderson Group plc or one of its subsidiaries.© Janus Henderson Group plc

Mutual funds distributed by Janus Henderson Distributors US LLC

109-02-93065 02-26

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ANNUAL FINANCIAL STATEMENTS

December 31, 2025

**Protective Life Dynamic Allocation Series - Moderate Portfolio**

Clayton Street Trust

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**Table of Contents**

**Protective Life Dynamic Allocation Series - Moderate Portfolio** 

---

| | |
|:---|:---|
| [Item 7. Financial Statements and Financial Highlights for Open-End](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SOI-SOI-RunningFooter-48_1)<br> [Management Investment Companies](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SOI-SOI-RunningFooter-48_1)<br>|  |
| [Schedule of Investments](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SOI-SOI-RunningFooter-48_1) | 1 |
| [Notes to Schedule of Investments and Other Information](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SOI-SOI-RunningFooter-48_3) | 3 |
| [Statement of Assets and Liabilities](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SAL-SAL-RunningFooter-48_1) | 4 |
| [Statement of Operations](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SOP-SOP-RunningFooter-48_1) | 5 |
| [Statements of Changes in Net Assets](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_SOC-SOC-RunningFooter-48_1) | 6 |
| [Financial Highlights](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_FIHI-FIHI-RunningFooter-48_1) | 7 |
| [Notes to Financial Statements](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_NTF-NTF-RunningFooter-48_1) | 8 |
| [Report of Independent Registered Public Accounting Firm](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_AUD-AR-RunningFooter-48_1) | 16 |
| [Designation Requirements](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_DR-DR-RunningFooter-48_1) | 17 |
| [Items 8-11 - Additional Information](#xx_e4a0098d-4b1b-4cf2-9300-c0cb6e5de2b4_AI-AI-RunningFooter-48_1) | 18 |

---

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Schedule of Investments** 

**December 31, 2025**

---

| | | |
|:---|:---|:---|
|  | *Shares or* <br>*Principal Amounts*<br>| *Value* |
| Investment Companies – 100.1% |  |  |
| Exchange-Traded Funds (ETFs) – 100.0% |  |  |
| Franklin FTSE Japan<sup>#</sup> <br>| 694157 | $23913708 |
| Franklin FTSE United Kingdom<sup>#</sup> <br>| 1439789 | 48592879 |
| Invesco NASDAQ 100<sup>#</sup> <br>| 277628 | 70217674 |
| iShares Core U.S. Aggregate Bond | 2507163 | 250415440 |
| JPMorgan BetaBuilders Developed Asia ex-Japan<sup>#</sup> <br>| 420736 | 23687437 |
| Vanguard FTSE Europe | 571177 | 47756109 |
| Vanguard S&P 500 | 301313 | 188962422 |
| Vanguard Small-Cap<sup>#</sup> <br>| 268744 | 69322515 |
|  |  | 722868184 |
| Money Markets – 0.1% |  |  |
| Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº,</sup><sup>£</sup> <br>| 408741 | 408864 |
| Total Investment Companies (cost $662,135,349) |  | 723277048 |
| Investments Purchased with Cash Collateral from Securities Lending – 1.9% |  |  |
| Investment Companies – 1.5% |  |  |
| Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº,</sup><sup>£</sup> <br>| 11226655 | 11226655 |
| Time Deposits – 0.4% |  |  |
| Royal Bank of Canada, 3.7000%, 1/2/26 | $2806664 | 2806664 |
| Total Investments Purchased with Cash Collateral from Securities Lending (cost $14,033,319) | Total Investments Purchased with Cash Collateral from Securities Lending (cost $14,033,319) | 14033319 |
| Total Investments (total cost $676,168,668) – 102.0% |  | 737310367 |
| Liabilities, net of Cash, Receivables and Other Assets – (2.0)% |  | (14608874) |
| Net Assets – 100% |  | $722701493 |

---

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** | ***Schedule of Affiliated Investments - (% of Net Assets)*** |
| *Affiliate* | *Affiliated* <br>*Investments,* <br>*at Value at* <br>*12/31/24*<br>| *Purchases* | *Sales* <br>*Proceeds*<br>| *Realized* <br>*Gain/(Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation/* <br>*Depreciation*<br>| *Affiliated* <br>*Investments,* <br>*at Value at* <br>*12/31/25*<br>| *Ending* <br>*Shares*<br>| *Dividend* <br>*Income*<br>|
| Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% | Investment Companies - 0.1% |
| Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A | Exchange-Traded Funds (ETFs) - N/A |
| Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income | Janus Henderson Short Duration Income |
|  | $- | $117385226 | $(117164798) | $(220428) | $- | $- | - | $950466 |
| Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% | Money Markets - 0.1% |
| Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  | Janus Henderson Cash Liquidity Fund LLC, 3.7222%<sup>ºº</sup>  |
|  | 45087846 | 598754159 | (643433141) | - | - | 408864 | 408741 | 1419502 |
| Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% | Total Investment Companies - 0.1% |
|  | $45087846 | $716139385 | $(760597939) | $(220428) | $- | $408864 | 408741 | $2369968 |
| Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% | Investments Purchased with Cash Collateral from Securities Lending - 1.5% |
| Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% | Investment Companies - 1.5% |
| Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  | Janus Henderson Cash Collateral Fund LLC, 3.6894%<sup>ºº</sup>  |
|  | 7700853 | 667277347 | (663751545) | - | - | 11226655 | 11226655 | 151438 <br><sup>∆</sup><br>|
| Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% | Total Affiliated Investments - 1.6% |
|  | $52788699 | $1383416732 | $(1424349484) | $(220428) | $- | $11635519 | 11635396 | $2521406 |

---

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

Clayton Street Trust \| 1

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Schedule of Investments** 

**December 31, 2025**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** | **Offsetting of Financial Assets and Derivative Assets** |
| *Counterparty* | *Gross Amounts* <br>*of Recognized* <br>*Assets*<br>| &nbsp;&nbsp; *Offsetting Asset* <br>*or Liability*<sup>(a)</sup> <br>| &nbsp;&nbsp; *Collateral* <br>*Pledged*<sup>(b)</sup> <br>| *Net Amount* |
| JPMorgan Chase Bank, National Association | $13625501 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(13625501) | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;(a) Represents the amount of assets or liabilities that could be offset with the same
 counterparty under master netting or similar agreements that management elects not to offset on the Statement of Assets and Liabilities.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Collateral pledged is limited to the net outstanding amount due to/from an individual
 counterparty. The actual collateral amounts pledged may exceed these amounts and may fluctuate in value.

See Notes to Schedule of Investments and Other Information and Notes to Financial Statements.

2 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Schedule of Investments and Other Information** 

LLC Limited Liability Company

---

| |
|:---|
| Rate shown is the 7-day yield as of December 31, 2025. |
| Loaned security; a portion of the security is on loan at December 31, 2025. |
| £&nbsp;&nbsp; The Portfolio may invest in certain securities that are considered affiliated companies. As defined by the Investment Company Act of 1940, <br> as amended, an affiliated company is one in which the Portfolio owns 5% or more of the outstanding voting securities, or a company which <br> is under common ownership or control.<br>|
| Net of income paid to the securities lending agent and rebates paid to the borrowing counterparties. |

---

The following is a summary of the inputs that were used to value the Portfolio's investments in securities and other

financial instruments as of December 31, 2025. See Notes to Financial Statements for more information.

---

| | | | |
|:---|:---|:---|:---|
| **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** | **Valuation Inputs Summary** |
|  | ***Level 1 -*** <br>***Quoted Prices***<br>| &nbsp;&nbsp; ***Level 2 -*** <br>***Other Significant*** <br>***Observable Inputs***<br>| &nbsp;&nbsp; ***Level 3 -*** <br>***Significant*** <br>***Unobservable Inputs***<br>|
| **Assets** |  |  |  |
| **Investments In Securities:** |  |  |  |
| *Investment Companies* | $722868184 | &nbsp;&nbsp; $408864 | &nbsp;&nbsp; $- |
| *Investments Purchased with Cash Collateral from Securities Lending* | - | &nbsp;&nbsp; 14033319 | &nbsp;&nbsp; - |
| **Total Assets** | $722868184 | &nbsp;&nbsp; $14442183 | &nbsp;&nbsp; $- |

---

Clayton Street Trust \| 3

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Statement of Assets and Liabilities** 

**December 31, 2025**

---

| | |
|:---|:---|
| Assets: |  |
| Unaffiliated investments, at value (cost $664,533,149)<sup>(1)</sup> <br>| $725674848 |
| Affiliated investments, at value (cost $11,635,519) | 11635519 |
| Receivables: |  |
| Dividends from affiliates | 19038 |
| Other assets | 19895 |
| Total Assets | 737349300 |
| Liabilities: |  |
| Due to custodian | 1512 |
| Collateral for securities loaned (Note 2) | 14033319 |
| Payables: |  |
| Advisory fees | 254197 |
| 12b-1 Distribution and shareholder servicing fees | 158873 |
| Transfer agent fees and expenses | 64140 |
| Portfolio shares repurchased | 52559 |
| Professional fees | 39243 |
| Affiliated portfolio administration fees payable | 4251 |
| Trustees' fees and expenses | 2162 |
| Custodian fees | 280 |
| Accrued expenses and other payables | 37271 |
| Total Liabilities | 14647807 |
| Commitments and contingent liabilities (Note 3) |  |
| Net Assets | $722701493 |
| Net Assets Consist of: |  |
| Capital (par value and paid-in surplus) | $630184886 |
| Total distributable earnings (loss) | 92516607 |
| Total Net Assets | $722701493 |
| Net Assets | $722701493 |
| Shares Outstanding, $0.001 Par Value (unlimited shares authorized) | 52410391 |
| Net Asset Value Per Share | $13.79 |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) Includes $13,625,501 of securities on loan. See Note 2 in Notes to Financial Statements.

See Notes to Financial Statements.

4 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Statement of Operations** 

**For the year ended December 31, 2025**

---

| | |
|:---|:---|
| Investment Income: |  |
| Dividends | $17710429 |
| Dividends from affiliates | 2369968 |
| Affiliated securities lending income, net | 151438 |
| Interest | 92917 |
| Unaffiliated securities lending income, net | 40160 |
| Total Investment Income | 20364912 |
| Expenses: |  |
| Advisory fees | 2828163 |
| 12b-1 Distribution and shareholder servicing fees | 1767602 |
| Transfer agent administrative fees and expenses | 707041 |
| Other transfer agent fees and expenses | 3315 |
| Trustees' fees and expenses | 176073 |
| Professional fees | 120025 |
| Affiliated portfolio administration fees | 59611 |
| Custodian fees | 25092 |
| Shareholder reports expense | 12347 |
| Other expenses | 176201 |
| Total Expenses | 5875470 |
| Less: Excess Expense Reimbursement and Waivers | (39302) |
| Net Expenses | 5836168 |
| Net Investment Income/(Loss) | 14528744 |
| Net Realized Gain/(Loss) on Investments: |  |
| Investments | 35860870 |
| Investments in affiliates | (220428) |
| Total Net Realized Gain/(Loss) on Investments | 35640442 |
| Change in Unrealized Net Appreciation/Depreciation: |  |
| Investments | 34141888 |
| Total Change in Unrealized Net Appreciation/Depreciation | 34141888 |
| Net Increase/(Decrease) in Net Assets Resulting from Operations | $84311074 |

---

See Notes to Financial Statements.

Clayton Street Trust \| 5

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Statements of Changes in Net Assets**

---

| | | |
|:---|:---|:---|
|  | *Year ended* <br>*December 31, 2025*<br>| &nbsp;&nbsp; *Year ended* <br>*December 31, 2024*<br>|
| Operations: |  |  |
| Net investment income/(loss) | $14528744 | &nbsp;&nbsp; $13404025 |
| Net realized gain/(loss) on investments | 35640442 | &nbsp;&nbsp; 61966371 |
| Change in unrealized net appreciation/depreciation | 34141888 | &nbsp;&nbsp; (12615967) |
| Net Increase/(Decrease) in Net Assets Resulting from Operations | 84311074 | &nbsp;&nbsp; 62754429 |
| Dividends and Distributions to Shareholders:  |  |  |
| Dividends and Distributions to Shareholders | (66755313) | &nbsp;&nbsp; (13091439) |
| Net Decrease from Dividends and Distributions to Shareholders | (66755313) | &nbsp;&nbsp; (13091439) |
| Capital Shares Transactions | 1149629 | &nbsp;&nbsp; (41714282) |
| Net Increase/(Decrease) in Net Assets | 18705390 | &nbsp;&nbsp; 7948708 |
| Net Assets: |  |  |
| Beginning of period | 703996103 | &nbsp;&nbsp; 696047395 |
| End of period | $722701493 | &nbsp;&nbsp; $703996103 |

---

See Notes to Financial Statements.

6 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Financial Highlights**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| For a share outstanding during the year ended December 31 | 2025 | 2024 | 2023 | 2022 | 2021 |
| Net Asset Value, Beginning of Period | $13.51 | &nbsp;&nbsp; $12.60 | &nbsp;&nbsp; $11.29 | &nbsp;&nbsp; $13.99 | &nbsp;&nbsp; $12.54 |
| Income/(Loss) from Investment Operations: |  |  |  |  |  |
| Net investment income/(loss)<sup>(1)</sup> <br>| 0.28 | &nbsp;&nbsp;&nbsp;&nbsp;0.25 | &nbsp;&nbsp;&nbsp;&nbsp;0.24 | &nbsp;&nbsp;&nbsp;&nbsp;0.16 | &nbsp;&nbsp;&nbsp;&nbsp;0.14 |
| Net realized and unrealized gain/(loss) | 1.32 | &nbsp;&nbsp;&nbsp;&nbsp;0.91 | &nbsp;&nbsp;&nbsp;&nbsp;1.28 | &nbsp;&nbsp; (2.61) | &nbsp;&nbsp;&nbsp;&nbsp;1.40 |
| Total from Investment Operations | 1.60 | &nbsp;&nbsp;&nbsp;&nbsp;1.16 | &nbsp;&nbsp;&nbsp;&nbsp;1.52 | &nbsp;&nbsp; (2.45) | &nbsp;&nbsp;&nbsp;&nbsp;1.54 |
| Less Dividends and Distributions: |  |  |  |  |  |
| Dividends (from net investment income) | (0.27) | &nbsp;&nbsp; (0.25) | &nbsp;&nbsp; (0.21) | &nbsp;&nbsp; (0.12) | &nbsp;&nbsp; (0.09) |
| Distributions (from capital gains) | (1.05) | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (0.13) | &nbsp;&nbsp; — |
| Total Dividends and Distributions | (1.32) | &nbsp;&nbsp; (0.25) | &nbsp;&nbsp; (0.21) | &nbsp;&nbsp; (0.25) | &nbsp;&nbsp; (0.09) |
| Net Asset Value, End of Period | $13.79 | &nbsp;&nbsp; $13.51 | &nbsp;&nbsp; $12.60 | &nbsp;&nbsp; $11.29 | &nbsp;&nbsp; $13.99 |
| Total Return<sup>\*</sup> <br>| 12.70% | &nbsp;&nbsp; 9.20% | &nbsp;&nbsp; 13.52% | &nbsp;&nbsp; (17.60)% | &nbsp;&nbsp; 12.32% |
| Net Assets, End of Period (in thousands) | $722701 | &nbsp;&nbsp; $703996 | &nbsp;&nbsp; $696047 | &nbsp;&nbsp; $590267 | &nbsp;&nbsp; $530876 |
| Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: | Ratios to Average Net Assets: |
| Ratio of Gross Expenses<sup>(2)</sup> <br>| 0.83% | &nbsp;&nbsp; 0.82% | &nbsp;&nbsp; 0.82% | &nbsp;&nbsp; 0.83% | &nbsp;&nbsp; 0.85% |
| Ratio of Net Expenses (After Waivers and Expense Offsets)<sup>(2)</sup> <br>| 0.83% | &nbsp;&nbsp; 0.82% | &nbsp;&nbsp; 0.82% | &nbsp;&nbsp; 0.81% | &nbsp;&nbsp; 0.84% |
| Ratio of Net Investment Income/(Loss)<sup>(2)</sup> <br>| 2.06% | &nbsp;&nbsp; 1.89% | &nbsp;&nbsp; 2.04% | &nbsp;&nbsp; 1.38% | &nbsp;&nbsp; 1.01% |
| Portfolio Turnover Rate | 105% | &nbsp;&nbsp; 63% | &nbsp;&nbsp; 122% | &nbsp;&nbsp; 260% | &nbsp;&nbsp; 35% |

---

\* Total return includes adjustments in accordance with generally accepted accounting principles required at the year or period end and are not annualized for periods of less than one full year. Total return does not include fees, charges, or expenses imposed by the variable annuity contracts for which Clayton Street Trust serves as an underlying investment vehicle. 

(1) Per share amounts are calculated based on average shares outstanding during the year or period.

(2) Ratios do not include indirect expenses of the underlying funds and/or investment companies in which the Portfolio invests.

See Notes to Financial Statements.

Clayton Street Trust \| 7

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

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

**1. Organization and Significant Accounting Policies**

Protective Life Dynamic Allocation Series - Moderate Portfolio (the "Portfolio") is a series of Clayton Street Trust (the "Trust"), which is organized as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company, and therefore has applied the specialized accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946. The Portfolio operates as a "fund of funds," meaning substantially all of the Portfolio's assets may be invested in exchange-traded funds (the "underlying funds"). The Trust offers three portfolios with differing investment objectives and policies. The Portfolio seeks total return through growth of capital and income, balanced by capital preservation. The Portfolio is classified as diversified, as defined in the 1940 Act. Janus Henderson

Investors US LLC is the investment adviser (the "Adviser") to the Portfolio.

The Portfolio currently offers one class of shares. The shares are offered in connection with investment in and payments under variable annuity contracts issued exclusively by Protective Life Insurance Company and its affiliates ("Protective

Life").

Shareholders, including participating insurance companies, as well as accounts, may from time to time own (beneficially or of record) a significant percentage of the Portfolio's shares and can be considered to "control" the Portfolio when that ownership exceeds 25% of the Portfolio's assets (and which may differ from control as determined in accordance with

United States of America generally accepted accounting principles ("US GAAP")).

The Chief Financial Officer of the Portfolio is designated as the Chief Operating Decision Maker ("CODM") as it relates to ASC Topic 280, *Segment Reporting*. The CODM has concluded that the Portfolio operated as a single segment entity for the year ended December 31, 2025. The key indicator of performance of the Portfolio is net investment income as reported on the Statement of Operations.

The following accounting policies have been followed by the Portfolio and are in conformity with US GAAP.

**Underlying Funds**

During the period, the Portfolio invested in a dynamic portfolio of exchange-traded funds across seven different equity asset classes, as well as fixed-income investments, and a short duration allocation that may be comprised of cash, money market instruments and short duration exchange-traded funds. The equity asset classes are adjusted weekly based on market conditions pursuant to a proprietary, quantitative-based allocation program. Over the long term, and when fully invested, the Portfolio seeks to maintain an asset allocation of approximately 65% global equity investments and 35% fixed income investments. Additional details and descriptions of the investment objectives of each of the

potential underlying funds are available in the Portfolio's prospectus.

**Investment Valuation**

Portfolio holdings are valued in accordance with policies and procedures established by the Adviser pursuant to Rule 2a-5 under the 1940 Act and approved by and subject to the oversight of the Trustees (the "Valuation Procedures"). Equity securities, including shares of exchange-traded funds, traded on a domestic securities exchange are generally valued at readily available market quotations, which are (i) the official close prices or (ii) last sale prices on the primary market or exchange in which the securities trade. If such price is lacking for the trading period immediately preceding the time of determination, such securities are valued at their current bid price. Equity securities that are traded on a foreign exchange are generally valued at the closing prices on such markets. In the event that there is no current trading volume on a particular security in such foreign exchange, the bid price from the primary exchange is generally used to value the security. Foreign securities and currencies are converted to U.S. dollars using the current spot USD dollar exchange rate in effect at the close of the New York Stock Exchange ("NYSE"). The Adviser will determine the market value of individual securities held by it by using prices provided by one or more Adviser-approved professional pricing services or, as needed, by obtaining market quotations from independent broker-dealers. Most debt securities are valued in accordance with the evaluated bid price supplied by the pricing service that is intended to reflect market value. The evaluated bid price supplied by the pricing service is an evaluation that may consider factors such as security prices, yields, maturities, and ratings. Certain short-term securities maturing within 60 days or less may be evaluated and valued on an amortized cost basis provided that the amortized cost determined approximates market value. Securities for which market quotations or evaluated prices are not readily available or deemed unreliable are valued at fair value determined in good faith by the Adviser pursuant to the Valuation Procedures. Circumstances in which fair valuation may be utilized include, but are not limited to: (i) a significant event that may affect the securities of a single issuer, such as a merger, bankruptcy, or significant issuer-specific development; (ii) an event that may affect an

8 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

entire market, such as a natural disaster or significant governmental action; (iii) a nonsignificant event such as a market closing early or not opening, or a security trading halt; and (iv) pricing of a non-valued security and a restricted or nonpublic security. Special valuation considerations may apply with respect to "odd-lot" fixed-income transactions which, due to their small size, may receive evaluated prices by pricing services which reflect a large block trade and not what actually could be obtained for the odd-lot position. The value of the securities of other mutual funds held by the Portfolio, if any, will be calculated using the NAV of such mutual funds, and the prospectuses for such mutual funds explain the circumstances under which they use fair valuation and the effects of using fair valuation. The value of the securities of any cash management pooled investment vehicles that operate as money market funds held by the

Portfolio, if any, will be calculated using the NAV of such funds.

**Valuation Inputs Summary**

FASB ASC 820, *Fair Value Measurements and Disclosures* ("ASC 820"), defines fair value, establishes a framework for measuring fair value, and expands disclosure requirements regarding fair value measurements. This standard emphasizes that fair value is a market-based measurement that should be determined based on the assumptions that market participants would use in pricing an asset or liability and establishes a hierarchy that prioritizes inputs to valuation techniques used to measure fair value. These inputs are summarized into three broad levels:

Level 1 – Unadjusted quoted prices in active markets the Portfolio has the ability to access for identical assets or liabilities.

Level 2 – Observable inputs other than unadjusted quoted prices included in Level 1 that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default

rates and similar data.

Assets or liabilities categorized as Level 2 in the hierarchy generally include: debt securities fair valued in accordance with the evaluated bid or ask prices supplied by a pricing service; securities traded on OTC markets and listed securities for which no sales are reported that are fair valued at the latest bid price (or yield equivalent thereof) obtained from one or more dealers transacting in a market for such securities or by a pricing service approved by the Portfolio's Trustees; and certain short-term debt securities with maturities of 60 days or less that are fair valued at amortized cost. Other securities that may be categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, swaps, investments in unregistered investment companies, options,

and forward contracts.

Level 3 – Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Portfolio's own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

The Portfolio classifies each of its investments in underlying funds as Level 1, without consideration as to the classification level of the specific investments held by the underlying funds. There have been no significant changes in valuation techniques used in valuing any such positions held by the Portfolio since the beginning of the fiscal year.

The inputs or methodology used for fair valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of inputs used as of December 31, 2025 to fair value the Portfolio's investments in securities and other financial instruments is included in the "Valuation Inputs Summary" in the Notes to

Schedule of Investments and Other Information.

**Investment Transactions and Investment Income**

Investment transactions are accounted for as of the date purchased or sold (trade date). Dividend income is recorded on the ex-dividend date. Certain dividends from foreign securities held by the underlying funds will be recorded as soon as the Portfolio is informed of the dividend, if such information is obtained subsequent to the ex-dividend date. Dividends from foreign securities may be subject to withholding taxes in foreign jurisdictions. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Any distributions from the underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. Interest income is recorded daily on an accrual basis and includes amortization of premiums and accretion of discounts. The Portfolio classifies gains and losses on prepayments received as an adjustment to interest income. Debt securities may be placed in non-accrual status and related interest income may be reduced by stopping current accruals and writing off interest receivables when collection of all or a portion of interest has become doubtful. Gains and losses are determined on the identified

Clayton Street Trust \| 9

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

cost basis, which is the same basis used for federal income tax purposes.

**Expenses**

The Portfolio bears expenses incurred specifically on its behalf. Additionally, the Portfolio, as a shareholder in the

underlying funds, will also indirectly bear its pro rata share of the expenses incurred by the underlying funds.

**Estimates**

The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses during the reporting period.

Actual results could differ from those estimates.

**Indemnifications**

In the normal course of business, the Portfolio may enter into contracts that contain provisions for indemnification of other parties against certain potential liabilities. The Portfolio's maximum exposure under these arrangements is unknown, and would involve future claims that may be made against the Portfolio that have not yet occurred. Currently,

the risk of material loss from such claims is considered remote.

**Dividends and Distributions**

The Portfolio may make semiannual distributions of substantially all of its investment income and an annual distribution

of its net realized capital gains (if any).

**Income Taxes**

The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income in accordance with the requirements of Subchapter M of the Internal Revenue Code. Management has analyzed the Portfolio's tax positions taken for all open federal income tax years, generally a three-year period, and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Portfolio's management has determined the Portfolio did not pay a significant amount of income taxes for the year

ended December 31, 2025.

**2. Other Investments and Strategies**

**Market Risk**

The value of the Portfolio's portfolio may decrease if the value of one or more issuers in the Portfolio's portfolio decreases. Further, regardless of how well individual companies or securities perform, the value of the Portfolio's portfolio could also decrease if there are deteriorating economic or market conditions, including, but not limited to, a general decline in prices on the stock markets, a general decline in real estate markets, a decline in commodities prices, or if the market favors different types of securities than the types of securities in which the Portfolio invests. If the value of the Portfolio's portfolio decreases, the Portfolio's NAV will also decrease, which means if you sell your shares in the Portfolio you may lose money. Market risk may affect a single issuer, industry, economic sector, or the market as a whole. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Social, political, economic and other conditions and events, such as natural disasters, health emergencies (e.g., epidemics and pandemics), terrorism, conflicts, including related sanctions, social unrest, tariffs, financial institution failures, and economic recessions could reduce consumer demand or economic output, result in market closures, travel restrictions and/or quarantines, and generally have a significant impact on the global economies and financial markets.

• *Armed Conflict.* Armed conflicts between countries or in a geographic region, such as the ongoing armed conflicts in Europe and the Middle East, have the potential to adversely impact a Portfolio. The extent and duration of each conflict, resulting sanctions and resulting future market disruptions in each region are impossible to predict, but could be significant and have a severe adverse effect, including significant negative impacts on the U.S. and broader global

economic environment and the markets for certain securities and commodities.

**Exchange-Traded Funds**

ETFs are typically open-end investment companies, which may be actively managed or passively managed. Passively managed ETFs generally seek to track the performance of a specific index. ETFs are traded on a national securities

10 \| December 31, 2025

------

**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

exchange at market prices that may vary from the net asset value per share ("NAV") of their underlying investments. Accordingly, there may be times when an ETF trades at a premium or discount to its NAV. As a result, the Portfolio may pay more or less than NAV when it buys ETF shares, and may receive more or less than NAV when it sells those shares. ETFs also involve the risk that an active trading market for an ETF's shares may not develop or be maintained. Similarly, because the value of ETF shares depends on the demand in the market, the Portfolio may not be able to purchase or sell an ETF at the most optimal time, which could adversely affect the Portfolio's performance. In addition, ETFs that track particular indices may be unable to match the performance of such underlying indices due to the temporary unavailability of certain index securities in the secondary market or other factors, such as discrepancies with respect to

the weighting of securities.

**Counterparties**

Portfolio transactions involving a counterparty are subject to the risk that the counterparty or a third party will not fulfill its obligation to the Portfolio ("counterparty risk"). Counterparty risk may arise because of the counterparty's financial condition (i.e., financial difficulties, bankruptcy, or insolvency), market activities and developments, or other reasons, whether foreseen or not. A counterparty's inability to fulfill its obligation may result in significant financial loss to the Portfolio. The Portfolio may be unable to recover its investment from the counterparty or may obtain a limited recovery, and/or recovery may be delayed. The extent of the Portfolio's exposure to counterparty risk with respect to financial assets and liabilities approximates its carrying value. See the "Offsetting Assets and Liabilities" section of this Note for further details.

The Portfolio may be exposed to counterparty risk through its investments in certain securities, including, but not limited to, repurchase agreements and debt securities. The Portfolio intends to enter into financial transactions with counterparties that the Adviser believes to be creditworthy at the time of the transaction. There is always the risk that the Adviser's analysis of a counterparty's creditworthiness is incorrect or may change due to market conditions. To the extent that the Portfolio focuses its transactions with a limited number of counterparties, it will have greater exposure to

the risks associated with one or more counterparties.

**Securities Lending**

Under procedures adopted by the Trustees, the Portfolio may seek to earn additional income by lending securities to certain qualified broker-dealers and institutions. JPMorgan Chase Bank, National Association acts as securities lending agent and a limited purpose custodian or subcustodian to receive and disburse cash balances and cash collateral, hold short-term investments, hold collateral, and perform other custodial functions in accordance with the Non-Custodial Securities Lending Agreement. For financial reporting purposes, the Portfolio does not offset financial instruments' payables and receivables and related collateral on the Statement of Assets and Liabilities. The Portfolio may lend portfolio securities in an amount equal to up to 1/3 of its total assets as determined at the time of the loan origination. There is the risk of delay in recovering a loaned security or the risk of loss in collateral rights if the borrower fails financially. In addition, the Adviser makes efforts to balance the benefits and risks from granting such loans. All loans will be continuously secured by collateral which may consist of cash, U.S. Government securities, domestic and foreign short-term debt instruments, letters of credit, time deposits, repurchase agreements, money market mutual funds or other money market accounts, or such other collateral as permitted by the Securities and Exchange Commission (the "SEC"). If the Portfolio is unable to recover a security on loan, the Portfolio may use the collateral to purchase replacement securities in the market. There is a risk that the value of the collateral could decrease below the cost of the replacement security by the time the replacement investment is made, resulting in a loss to the Portfolio. In certain circumstances individual loan transactions could yield negative returns.

Upon receipt of cash collateral, the Adviser may invest it in affiliated or non-affiliated cash management vehicles, whether registered or unregistered entities, as permitted by the 1940 Act and rules promulgated thereunder. The Adviser currently intends to primarily invest the cash collateral in a cash management vehicle for which the Adviser serves as investment adviser, Janus Henderson Cash Collateral Fund LLC, or in time deposits. An investment in Janus Henderson Cash Collateral Fund LLC is generally subject to the same risks that shareholders experience when investing in similarly structured vehicles, such as the potential for significant fluctuations in assets as a result of the purchase and redemption activity of the securities lending program, a decline in the value of the collateral, and possible liquidity issues. Such risks may delay the return of the cash collateral and cause the Portfolio to violate its agreement to return the cash collateral to a borrower in a timely manner. As adviser to the Portfolio and Janus Henderson Cash Collateral Fund LLC, the Adviser has an inherent conflict of interest as a result of its fiduciary duties to both the Portfolio and Janus Henderson Cash Collateral Fund LLC. Additionally, the Adviser receives an investment advisory fee

Clayton Street Trust \| 11

------

**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

of 0.05% for managing Janus Henderson Cash Collateral Fund LLC and therefore may have an incentive to allocate collateral to the Janus Henderson Cash Collateral Fund LLC rather than to other collateral management options for which the Adviser does not receive compensation.

The value of the collateral must be at least 102% of the market value of the loaned securities that are denominated in U.S. dollars and 105% of the market value of the loaned securities that are not denominated in U.S. dollars. Loaned securities and related collateral are marked-to-market each business day based upon the market value of the loaned securities at the close of business, employing the most recent available pricing information. Collateral levels are then adjusted based on this mark-to-market evaluation. Additional required collateral, or excess collateral returned, is delivered on the next business day. Therefore, the value of the collateral held may be temporarily less than 102% or 105% value of the securities on loan. The cash collateral invested by the Adviser is disclosed in the Schedule of Investments (if applicable).

Income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to the lending agent are included as "Affiliated securities lending income, net" and "Unaffiliated securities lending income, net" on the Statement of Operations. As of December 31, 2025, securities lending transactions accounted for as secured borrowings with an overnight and continuous contractual maturity are $13,625,501. Gross amounts of recognized liabilities for securities lending (collateral received) as of December 31, 2025 is $14,033,319,

resulting in the net amount due to the counterparty of $407,818.

**Offsetting Assets and Liabilities**

The Portfolio presents gross and net information about transactions that are either offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement with a designated counterparty, regardless of whether the transactions are actually offset in the Statement of Assets and Liabilities.

The Offsetting Assets and Liabilities table located in the Schedule of Investments presents gross amounts of recognized assets and/or liabilities and the net amounts after deducting collateral that has been pledged by counterparties or has been pledged to counterparties (if applicable). For corresponding information grouped by type of

instrument, see the Portfolio's Schedule of Investments.

**3. Investment Advisory Agreements and Other Transactions with Affiliates**

The Portfolio pays the Adviser an investment advisory fee which is calculated daily and paid monthly. The Portfolio's

contractual investment advisory fee rate (expressed as an annual rate) is 0.40% of its average daily net assets.

The Adviser has contractually agreed to waive the advisory fee and/or reimburse operating expenses to the extent that the Portfolio's normal operating expenses, including the investment advisory fee, but excluding the 12b-1 distribution and shareholder servicing fees, administrative services fees payable pursuant to the Transfer Agency Agreement, brokerage commissions, interest, dividends, taxes and extraordinary expenses, exceed the annual rate of 0.55%. The Adviser has agreed to continue the waivers until April 30, 2026. If applicable, amounts reimbursed to the Portfolio by the

Adviser are disclosed as "Excess Expense Reimbursement and Waivers" on the Statement of Operations.

The Adviser has also contractually agreed to waive and/or reimburse a portion of each Portfolio's management fee in an amount equal to the management fee it earns as an investment adviser to any affiliated exchange traded funds ("ETFs") in which the Portfolio invests. The Adviser has agreed to continue the waivers for at least a one-year period commencing April 30, 2026. If applicable, amounts waived and/or reimbursed to the Portfolio by the Adviser are disclosed as "Excess Expense Reimbursement and Waivers" on the Statement of Operations. During the year ended December 31, 2025, the Adviser waived $39,302 of the Portfolio's management fee, attributable to the Portfolio's

investment in the Janus Henderson Short Duration Income ETF.

The Adviser serves as administrator to the Portfolio pursuant to an administration agreement between the Adviser and the Trust. Under the administration agreement, the Adviser is authorized to perform, or cause others to perform certain administration, compliance, and accounting services to the Portfolio, including providing office space for the Portfolio, and is reimbursed by the Portfolio for certain of its costs in providing these services (to the extent the Adviser seeks reimbursement and such costs are not otherwise waived). In addition, employees of the Adviser and/or its affiliates may serve as officers of the Trust. The Portfolio pays for some or all of the cost incurred for salaries, fees, and expenses of the Adviser employees with respect to certain specified administration functions they perform on behalf of the Portfolio. The Portfolio pays these costs based on out-of-pocket expenses incurred by the Adviser, and these costs are separate and apart from advisory fees and other expenses paid in connection with the investment advisory services the Adviser

12 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

provides to the Portfolio. These amounts are disclosed as "Affiliated Portfolio administration fees" on the Statement of Operations. In addition, some expenses related to compensation payable to the Portfolio's Chief Compliance Officer and certain compliance staff, all of whom are employees of the Adviser and/or its affiliates are shared with the Portfolio. Total allocated expenses of $90,440 for the Chief Compliance Officer and certain compliance staff was paid by the

Trust during the year ended December 31, 2025.

Janus Henderson Services US LLC (the "Transfer Agent"), a wholly-owned subsidiary of the Adviser, is the Portfolio's transfer agent. The Transfer Agent provides or arranges for the provision of shareholder services including, but not limited to, recordkeeping, subaccounting, answering inquiries regarding accounts, order processing, transaction confirmations, the mailing of prospectuses and shareholder reports, and other shareholder services provided to or on behalf of shareholders. These amounts are disclosed as "Transfer agent administrative fees and expenses" on the

Statement of Operations.

The Transfer Agent receives an administrative services fee at an annual rate of 0.10% of the Portfolio's average daily net assets for providing, or arranging for the provision by Protective Life of administrative services. The Transfer Agent expects to use this entire fee to compensate Protective Life for providing these services to its customers who invest in the Portfolio. These amounts are disclosed as "Transfer agent administrative fees and expenses" on the Statement of

Operations.

Shareholder Services provided by Protective Life may include, but are not limited to, recordkeeping, subaccounting, order processing, providing order confirmations, periodic statements, forwarding prospectuses, shareholder reports, and other materials to existing contract holders, answering inquiries regarding accounts, and other administrative services. Order processing includes the submission of transactions through the National Securities Clearing Corporation

("NSCC") or similar systems, or those processed on a manual basis with the Adviser.

Under a distribution and shareholder servicing plan (the "Plan") adopted in accordance with Rule 12b-1 under the 1940 Act, the Portfolio may pay the Trust's distributor, Janus Henderson Distributors US LLC (the "Distributor"), a wholly-owned subsidiary of the Adviser, a fee at an annual rate of up to 0.25% of the average daily net assets of the Portfolio. Under the terms of the Plan, the Trust is authorized to make payments to the Distributor for remittance to Protective Life or other intermediaries as compensation for distribution and/or shareholder services performed by Protective Life or its agents, or by such intermediary. Amounts that have been paid are disclosed as "12b-1 Distribution and

shareholder servicing fees" on the Statement of Operations.

Pursuant to the provisions of the 1940 Act and related rules, the Portfolio may participate in an affiliated or non-affiliated cash sweep program. In the cash sweep program, uninvested cash balances of the Portfolio may be used to purchase shares of affiliated or non-affiliated money market funds or cash management pooled investment vehicles that operate as money market funds. The Portfolio is eligible to participate in the cash sweep program (the "Investing Funds"). The Adviser has an inherent conflict of interest because of its fiduciary duties to the affiliated money market funds or cash management pooled investment vehicles and the Investing Funds. Janus Henderson Cash Liquidity Fund LLC (the "Sweep Vehicle") is an affiliated unregistered cash management pooled investment vehicle that invests at least 80% of its net assets (plus any borrowings for investment purposes) in U.S. Government securities and repurchase agreements that are collateralized by U.S. Government securities. The Sweep Vehicle operates pursuant to the provisions of the 1940 Act that govern the operation of money market funds and prices its shares at NAV reflecting market-based values of its portfolio securities (i.e., a "floating" NAV) rounded to the fourth decimal place (e.g., $1.0000). There are no restrictions on the Portfolio's ability to withdraw investments from the Sweep Vehicle at will, and there are no unfunded capital commitments due from the Portfolio to the Sweep Vehicle. The Sweep Vehicle does not charge any management fee, sales charge or service fee.

Any purchases and sales, realized gains/losses and recorded dividends from affiliated investments during the year ended December 31, 2025 can be found in the "Schedules of Affiliated Investments" located in the Schedule of

Investments.

The Portfolio is permitted to purchase or sell securities ("cross-trade") between itself and other funds or accounts managed by the Adviser in accordance with Rule 17a-7 under the Investment Company Act of 1940 ("Rule 17a-7"), when the transaction is consistent with the investment objectives and policies of the Portfolio and in accordance with the Internal Cross Trade Procedures adopted and amended by the Trust's Board of Trustees. These procedures have been designed to ensure that any cross-trade of securities by the Portfolio from or to another fund or account that is or could be considered an affiliate of the Portfolio under certain limited circumstances by virtue of having a common

Clayton Street Trust \| 13

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

investment adviser, common Officer, or common Trustee complies with Rule 17a-7. Under these procedures, each cross-trade is effected at the current market price to save costs where allowed. During the year ended December 31, 2025, the Portfolio engaged in cross trades amounting to $770,310 in purchases and $1,494,613 in sales, resulting in a net realized loss of $78,427. The net realized loss is included within the "Net Realized Gain/(Loss) on Investments"

section of the Portfolio's Statement of Operations.

**4. Federal Income Tax**

The tax components of capital shown in the table below represent: (1) distribution requirements the Portfolio must satisfy under the income tax regulations; (2) losses or deductions the Portfolio may be able to offset against income and gains realized in future years; and (3) unrealized appreciation or depreciation of investments for federal income tax purposes.

The Portfolio has elected to treat gains and losses on forward foreign currency contracts as capital gains and losses, if applicable. Other foreign currency gains and losses on debt instruments are treated as ordinary income for federal

income tax purposes pursuant to Section 988 of the Internal Revenue Code.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Undistributed* <br>*Ordinary Income*<br>| *Undistributed* <br>*Long-Term Gains*<br>| *Accumulated* <br>*Capital Losses*<br>| *Loss Deferrals* | *Other Book* <br>*to Tax* <br>*Differences*<br>| *Net Tax* <br>*Appreciation/* <br>*(Depreciation)*<br>|
| $8435367 | $33270613 | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $- | &nbsp;&nbsp; $50810627 |

---

The aggregate cost of investments and the composition of unrealized appreciation and depreciation of investment securities for federal income tax purposes as of December 31, 2025 are noted below. The primary differences between

book and tax appreciation or depreciation of investments are wash sale loss deferrals and investments in partnerships.

---

| | | | |
|:---|:---|:---|:---|
| *Federal Tax Cost* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Net Tax Appreciation/* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| $686499740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $68469330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(17658703) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $50810627 |

---

Income and capital gains distributions are determined in accordance with income tax regulations that may differ from US GAAP. These differences are due to differing treatments for items such as net short-term gains, deferral of wash sale losses, foreign currency transactions, and capital loss carryovers. Certain permanent differences such as tax returns

of capital and net investment losses noted below have been reclassified to capital.

---

| | | | |
|:---|:---|:---|:---|
| *For the year ended December 31, 2025* | *For the year ended December 31, 2025* | *For the year ended December 31, 2025* | *For the year ended December 31, 2025* |
| *Distributions*  | *Distributions*  | *Distributions*  |  |
| *From Ordinary Income* | *From Long-Term Capital Gains* | *Tax Return of Capital* | *Net Investment Loss* |
| $14703392 | &nbsp;&nbsp;&nbsp; $52051921 | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- |

---

---

| | | | |
|:---|:---|:---|:---|
| *For the year ended December 31, 2024* | *For the year ended December 31, 2024* | *For the year ended December 31, 2024* | *For the year ended December 31, 2024* |
| *Distributions*  | *Distributions*  | *Distributions*  |  |
| *From Ordinary Income* | *From Long-Term Capital Gains* | *Tax Return of Capital* | *Net Investment Loss* |
| $13091439 | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp; $- |

---

Permanent book to tax basis differences may result in reclassifications between the components of net assets. These

differences have no impact on the results of operations or net assets.

**5. Capital Share Transactions** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Year ended December 31, 2025* | *Year ended December 31, 2025* | *Year ended December 31, 2024* | *Year ended December 31, 2024* |
|  | *Shares* | *Amount* | *Shares* | *Amount* |
| Shares sold | 411463 | &nbsp;&nbsp; $5585713 | &nbsp;&nbsp; 345159 | &nbsp;&nbsp; $4555672 |
| Reinvested dividends and distributions | 5188373 | &nbsp;&nbsp; 66755313 | &nbsp;&nbsp; 965868 | &nbsp;&nbsp; 13091439 |
| Shares repurchased | (5280914) | &nbsp;&nbsp; (71191397) | &nbsp;&nbsp; (4463731) | &nbsp;&nbsp; (59361393) |
| Net Increase/(Decrease) | 318922 | &nbsp;&nbsp; $1149629 | &nbsp;&nbsp; (3152704) | &nbsp;&nbsp; $(41714282) |

---

14 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes to Financial Statements** 

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

**6. Purchases and Sales of Investment Securities**

For the year ended December 31, 2025, the aggregate cost of purchases and proceeds from sales of investment securities (excluding any short-term securities, short-term options contracts, TBAs, and in-kind transactions, as

applicable) was as follows:

---

| | | | |
|:---|:---|:---|:---|
| *Purchases of* <br>*Securities*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Proceeds from Sales* <br>*of Securities*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Purchases of Long-* <br>*Term U.S. Government* <br>*Obligations*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Proceeds from Sales* <br>*of Long-Term U.S.* <br>*Government Obligations*<br>|
| $711331768 | &nbsp;&nbsp;&nbsp;&nbsp; $717733752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $- |

---

**7. Acquisition Note**

On December 22, 2025, Janus Henderson Group plc, the parent company of the Portfolio's investment adviser, announced a definitive agreement to be acquired by Trian Fund Management and General Catalyst. The Transaction is expected to close in 2026, subject to customary closing conditions, including requisite regulatory approvals, client

consents, and approval by Janus Henderson's shareholders. Management is assessing the impact to the portfolios.

**8. Subsequent Event**

Management has evaluated whether any events or transactions occurred subsequent to December 31, 2025 and through the date of issuance of the Portfolio's financial statements and determined that there were no material events or transactions that would require recognition or disclosure in the Portfolio's financial statements.

Clayton Street Trust \| 15

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Clayton Street Trust and Shareholders of Protective Life Dynamic Allocation Series -Moderate

Portfolio

**Opinion on the Financial Statements**

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Protective Life Dynamic Allocation Series - Moderate Portfolio (one of the portfolios constituting Clayton Street Trust, referred to hereafter as the "Portfolio") as of December 31, 2025, the related statement of operations for the year ended December 31, 2025, the statement of changes in net assets for each of the two years in the period ended December 31, 2025, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2025 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2025, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2025 and the financial highlights for each of the five years in the period ended December 31, 2025 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements are the responsibility of the Portfolio's management. Our responsibility is to express an opinion on the Portfolio's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2025 by correspondence with the custodian and transfer agent. We believe that our audits

provide a reasonable basis for our opinion.

![](img718d3a2f1.jpg)

Denver, Colorado

February 18, 2026

We have served as the auditor of one or more investment companies in Janus Henderson Funds since 1990.

16 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Designation Requirements (unaudited)**

For federal income tax purposes, the Portfolio designated the following for the year ended December 31, 2025:

---

| | |
|:---|:---|
| Capital Gain Distributions | $52051921 |
| Foreign Taxes Paid | $172649 |
| Foreign Source Income | $4033755 |
| Dividends Received Deduction Percentage | 16% |

---

Clayton Street Trust \| 17

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Additional Information (unaudited)**

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Each board member also serves as a board member of other portfolios in the Clayton Street Trust. Annual retainer fees and attendance fees are allocated to each portfolio based on net assets. Trustees fees paid by the portfolio are within

Item 7. Statement of Operations as Trustees' fees and expenses.

**Item 11. Board Considerations Regarding Renewal of the CST Investment Advisory Agreements**

Not applicable.

18 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes**

Clayton Street Trust \| 19

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes**

20 \| December 31, 2025

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**Protective Life Dynamic Allocation Series - Moderate Portfolio**

**Notes**

Clayton Street Trust \| 21

------

*This report is submitted for the general information of shareholders of the Portfolio. It is not an offer or solicitation for the Portfolio and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.*

Janus Henderson is a trademark of Janus Henderson Group plc or one of its subsidiaries.© Janus Henderson Group plc

Mutual funds distributed by Janus Henderson Distributors US LLC

109-02-93064 02-26

------

Item 12 - Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

------

Item 13 - Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

------

Item 14 - Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

------

Item 15 - Submission of Matters to a Vote of Security Holders

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees.

------

Item 16 - Controls and Procedures

(a) The Registrant's Principal Executive Officer and Principal Financial Officer have evaluated the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) within 90 days of this filing and have concluded that the Registrant's disclosure controls and procedures were effective, as of that date.

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

(b) There have been no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

------

Item 17 - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

(a) Not applicable.

(b) Not applicable.

------

Item 18. Recovery of Erroneously Awarded Compensation.

(a) Not applicable.

(b) Not applicable.

------

Item 19 - Exhibits

(a)(1) Not applicable because the Registrant has posted its code of ethics (as defined in Item 2(b) of Form N-CSR) on its website pursuant to paragraph (f)(2) of Item 2 of Form N-CSR.

(a)(2) Not applicable.

(a)(3) Separate certifications for the Registrant's Principal Executive Officer and Principal Financial Officer, as required under Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached as [Ex99CERT](CST_12-31-25_N-CSR_EX-99.htm).

(b) A certification for the Registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, is attached as [Ex99.906CERT](CST_12-31-25_N-CSR_EX-99.906.htm).

------

## Ex-99

Section 302 Certifications

I, Nick Cherney, certify that:

1. I have reviewed this report on Form N-CSR of Clayton Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 27, 2026

/s/ Nick Cherney

Nick Cherney, President and Chief Executive Officer of Clayton Street Trust (Principal Executive Officer)

Section 302 Certifications

I, Jesper Nergaard, certify that:

1. I have reviewed this report on Form N-CSR of Clayton Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: February 27, 2026

/s/ Jesper Nergaard

Jesper Nergaard, Vice President, Chief Financial Officer, Treasurer and Principal Accounting Officer of Clayton Street Trust (Principal Accounting Officer and Principal Financial Officer)

Classification : Confidential

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## Exhibit 99.906

Section 906 Certification

The following certification is provided by the undersigned Principal Executive Officer and Principal Financial Officer of Registrant on the basis of such officers' knowledge and belief for the sole purpose of complying with 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940.

Certification

In connection with the Annual Report of Clayton Street Trust (the "Registrant") on Form N-CSR for the period ended December 31, 2025, as filed with the Securities and Exchange Commission on February 27, 2026 (the "Report"), we, Nick Cherney, Principal Executive Officer of the Registrant, and Jesper Nergaard, Principal Accounting Officer and Principal Financial Officer of the Registrant, hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940, that:

(1) The Report fully complies with the requirements of Sections 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

(2) The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

/s/ Nick Cherney

Nick Cherney, President and Chief Executive Officer of Clayton Street Trust (Principal Executive Officer)

February 27, 2026

/s/ Jesper Nergaard

Jesper Nergaard, Vice President, Chief Financial Officer, Treasurer and Principal Accounting Officer of Clayton Street Trust (Principal Accounting Officer and Principal Financial Officer)

February 27, 2026

This certification is being furnished to the Commission solely pursuant to the requirements of Form N-CSR and is not being "filed" as part of this report. A signed original of this written statement required by Section 906, or other documents authenticating, acknowledging, or otherwise adopting the signatures that appear in typed form within the electronic version of this written statement required by Section 906, has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.

Classification : Confidential

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