# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001410368-26-013114
**Filing Date:** 2026-2
**Character Count:** 117615
**Document Hash:** caa1e0f04c45b9998a67246bde3e19c4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-013114.hdr.sgml**: 20260218

**ACCESSION NUMBER**: 0001410368-26-013114

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260218

**DATE AS OF CHANGE**: 20260218

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 26646024

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $794786368.82

**Total Liabilities:** $420315329.89

**Net Assets:** $374471038.93

**Delayed Delivery Securities:** $395028845.86

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -153.99000000 | **1-Year:** -2734.61000000 | **5-Year:** -2388.66000000 | **10-Year:** -1741.37000000 | **30-Year:** -1496.77000000

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

- **3-Month:** -41.44000000 | **1-Year:** -459.34000000 | **5-Year:** -1764.09000000 | **10-Year:** -4342.57000000 | **30-Year:** -1254.74000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078081 | 0.48%                | 0.24%                | -0.58%               |
| Class ID C000098953 | 0.50%                | 0.26%                | -0.57%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $393895.82               | $-999011.95                                |
| Month 2  | $-534782.92              | $59152.16                                  |
| Month 3  | $-3291299.38             | $120081.77                                 |

**Designated Index Information**

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

- **Index Identifier:** LBUTTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1         | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     479100 | PA      | $454009.16    | 0.12%             | 2034-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11700000 | PA      | $11412636.89  | 3.05%             | 2056-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9500000 | PA      | $9624670.59   | 2.57%             | 2056-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11200000 | PA      | $11501097.66  | 3.07%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $8323299.60   | 2.22%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-4                                    | CUSIP: 03464LAA4<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      94279 | PA      | $91327.58     | 0.02%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2004-OPT5 Trust                                               | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     620922 | PA      | $623443.94    | 0.17%             | 2034-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                        | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       3000 | PA      | $2910.89      | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX               | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $482614.10    | 0.13%             | 2038-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL11 LLC                                                  | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     493781 | PA      | $494380.57    | 0.13%             | 2039-03-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                               | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     410000 | PA      | $417331.62    | 0.11%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2004-10                                     | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57746 | PA      | $51873.32     | 0.01%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                              | Beignet Investor LLC                                               | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1900000 | PA      | $2009076.42   | 0.54%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Credit-Based Asset Servicing and Securitization LLC                | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     835797 | PA      | $819884.65    | 0.22%             | 2035-06-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                           | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |      62252 | PA      | $62328.92     | 0.02%             | 2030-10-24      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2822985 | PA      | $2123630.08   | 0.57%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                            | Canyon CLO 2020-1 Ltd                                              | CUSIP: 13876LAW7<br>LEI: 549300IVUME0ILZ1W208 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $499598.28    | 0.13%             | 2034-07-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.                | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-A | CUSIP: 16678RBL0<br>LEI: 549300CK5LJGUSKZWZ58 | Long             | ABS-MBS          | CORP              | US        |      79688 | PA      | $80078.02     | 0.02%             | 2035-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-11                              | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1652 | PA      | $1677.10      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AMC1                            | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146968 | PA      | $144144.29    | 0.04%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2013-A                               | CUSIP: 17320XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     404202 | PA      | $396480.08    | 0.11%             | 2042-05-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $4786.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-55843.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD DKK                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-9874.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-291036.80   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $9224.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $12341.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-30339.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $2154.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4608.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | XX        |          1 | NC      | $2213.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden XXVI Senior Loan Fund                                       | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |      99672 | PA      | $99794.09     | 0.03%             | 2029-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                  | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     203030 | PA      | $203130.39    | 0.05%             | 2031-04-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                           | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      27306 | PA      | $36818.88     | 0.01%             | 2045-06-13      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                          | CUSIP: 3128NC6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $370.31       | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132DWKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210646 | PA      | $218963.21    | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                 | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     427626 | PA      | $422541.85    | 0.11%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                          | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23609 | PA      | $24252.04     | 0.01%             | 2034-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                   | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20591 | PA      | $20548.33     | 0.01%             | 2031-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1589468 | PA      | $1600771.16   | 0.43%             | 2055-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     711288 | PA      | $697229.32    | 0.19%             | 2047-01-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164052 | PA      | $160896.84    | 0.04%             | 2044-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1624756 | PA      | $1581460.95   | 0.42%             | 2057-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HJ7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1241494 | PA      | $1242310.58   | 0.33%             | 2055-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1216602 | PA      | $1221806.74   | 0.33%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HLZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1273274 | PA      | $1278028.59   | 0.34%             | 2055-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31391Q7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5401 | PA      | $5403.29      | 0.00%             | 2042-11-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10711 | PA      | $10528.18     | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101048 | PA      | $103561.47    | 0.03%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145400 | PA      | $142786.43    | 0.04%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1443 | PA      | $1428.94      | 0.00%             | 2037-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4757 | PA      | $4779.95      | 0.00%             | 2044-07-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9325 | PA      | $9508.62      | 0.00%             | 2034-12-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15443 | PA      | $15631.94     | 0.00%             | 2044-09-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19566 | PA      | $19808.60     | 0.01%             | 2044-10-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406KBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32460 | PA      | $33468.79     | 0.01%             | 2035-04-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406UN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42879 | PA      | $44044.58     | 0.01%             | 2035-03-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16971 | PA      | $17289.99     | 0.00%             | 2035-11-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5153 | PA      | $5251.82      | 0.00%             | 2036-01-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408DB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25004 | PA      | $25302.16     | 0.01%             | 2036-02-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408DC85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5936 | PA      | $6094.14      | 0.00%             | 2035-11-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | 522 Funding CLO 2018-3A Ltd                                        | CUSIP: 33835NAA9<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |     144346 | PA      | $144415.14    | 0.04%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531909 | PA      | $490216.63    | 0.13%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6084821 | PA      | $5598498.27   | 1.50%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     406675 | PA      | $374285.41    | 0.10%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7673735 | PA      | $6994726.65   | 1.87%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36202K2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        176 | PA      | $175.75       | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        197 | PA      | $197.00       | 0.00%             | 2026-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        376 | PA      | $375.66       | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        438 | PA      | $438.53       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                   | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37298 | PA      | $35610.38     | 0.01%             | 2035-01-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2003-3                                   | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99470 | PA      | $105113.50    | 0.03%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                     | Gallatin CLO VIII 2017-1 Ltd                                       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     168566 | PA      | $168658.98    | 0.05%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239157 | PA      | $242072.00    | 0.06%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521424 | PA      | $525030.54    | 0.14%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     476961 | PA      | $486174.02    | 0.13%             | 2073-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2330128 | PA      | $2344294.86   | 0.63%             | 2072-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38384LJ67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3782999 | PA      | $3781258.82   | 1.01%             | 2073-02-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38384LTU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3658731 | PA      | $3695481.02   | 0.99%             | 2075-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-2                      | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300345 | PA      | $301527.30    | 0.08%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                              | CUSIP: 41161PSK0<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    1225423 | PA      | $1157968.86   | 0.31%             | 2035-06-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                            | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63857 | PA      | $63635.55     | 0.02%             | 2034-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2005-2                                     | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     555099 | PA      | $553933.09    | 0.15%             | 2035-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-2, Ltd.                          | Invesco CLO 2022-2 Ltd                                             | CUSIP: 46145XAL0<br>LEI: 54930008L2A8UYGN7A86 | Long             | ABS-CBDO         | CORP              | JE        |    1800000 | PA      | $1800181.78   | 0.48%             | 2035-07-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                   | CUSIP: 46630GAA3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      11132 | PA      | $11123.87     | 0.00%             | 2035-07-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                    | LoanCore 2022-CRE7 Issuer Ltd                                      | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     173454 | PA      | $173684.12    | 0.05%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL9 LLC                                                   | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     496402 | PA      | $497254.93    | 0.13%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | MRFC Mortgage Pass-Through Trust Series 2000-TBC3                  | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22890 | PA      | $22449.93     | 0.01%             | 2030-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corporation            | Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1        | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30574 | PA      | $29764.19     | 0.01%             | 2031-11-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-NC1             | CUSIP: 59020URP2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     622129 | PA      | $611028.50    | 0.16%             | 2035-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                    | CUSIP: 61744CFR2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |      57420 | PA      | $61940.03     | 0.02%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                    | CUSIP: 61744CNC6<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-MBS          | CORP              | US        |     298971 | PA      | $294213.25    | 0.08%             | 2035-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Navesink CLO, Limited                             | Navesink CLO 2 Ltd                                                 | CUSIP: 63942YAA2<br>LEI: 254900HNRWNLGN0X1N35 | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1700000.00   | 0.45%             | 2036-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL2                      | CUSIP: 64830HAA2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     196611 | PA      | $192625.47    | 0.05%             | 2059-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                      | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      65365 | PA      | $65412.45     | 0.02%             | 2032-07-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                               | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      40263 | PA      | $40267.34     | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2002-3                          | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135141 | PA      | $129218.54    | 0.03%             | 2032-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                     | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      14075 | PA      | $14092.45     | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Student Loan Trust 2004-3                                      | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |     391680 | PA      | $389428.56    | 0.10%             | 2064-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |      31398 | PA      | $31415.50     | 0.01%             | 2031-08-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-3                                | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      82395 | PA      | $80122.10     | 0.02%             | 2037-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                           | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23750 | PA      | $23563.80     | 0.01%             | 2026-10-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                                | Shackleton 2019-XIV Clo Ltd                                        | CUSIP: 81880XAW2<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600521.91    | 0.16%             | 2034-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                        | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     100792 | PA      | $101446.45    | 0.03%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                             | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |     359790 | PA      | $360263.06    | 0.10%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                     | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9209 | PA      | $8925.18      | 0.00%             | 2034-02-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR5            | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43358 | PA      | $42050.17     | 0.01%             | 2034-10-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5            | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130308 | PA      | $126868.10    | 0.03%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XXIX Ltd                                              | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700018.31    | 0.19%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                           | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     296129 | PA      | $295615.58    | 0.08%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2004-2                         | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559183 | PA      | $541203.12    | 0.14%             | 2044-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                  | Trinitas Clo VII Ltd                                               | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $999982.94    | 0.27%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12375671 | PA      | $12989397.39  | 3.47%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10614396 | PA      | $11437268.00  | 3.05%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     145300 | PA      | $146472.42    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2795826 | PA      | $2817181.79   | 0.75%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5301009 | PA      | $5473079.29   | 1.46%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2664470 | PA      | $2640206.25   | 0.71%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2689208 | PA      | $2635349.45   | 0.70%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7847564 | PA      | $6116452.36   | 1.63%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4429513 | PA      | $3300490.99   | 0.88%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9088351 | PA      | $7617883.56   | 2.03%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7557899 | PA      | $5517115.11   | 1.47%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6495094 | PA      | $4902663.24   | 1.31%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7147755 | PA      | $5159798.58   | 1.38%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5673506 | PA      | $4149102.34   | 1.11%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4137600 | PA      | $2979881.85   | 0.80%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3469854 | PA      | $2000060.96   | 0.53%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2513565 | PA      | $1359436.36   | 0.36%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     818699 | PA      | $433679.30    | 0.12%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2957283 | PA      | $2308402.44   | 0.62%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2968420 | PA      | $2670033.86   | 0.71%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3807263 | PA      | $3615561.44   | 0.97%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8047044 | PA      | $7954957.50   | 2.12%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12631223 | PA      | $12411522.01  | 3.31%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6829368 | PA      | $6725504.79   | 1.80%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4708870 | PA      | $4538124.45   | 1.21%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8578642 | PA      | $8528860.17   | 2.28%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1132169 | PA      | $1118284.61   | 0.30%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8619664 | PA      | $8518223.68   | 2.27%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9914621 | PA      | $9406449.39   | 2.51%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7106512 | PA      | $6708645.54   | 1.79%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6874340 | PA      | $6409918.87   | 1.71%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400868 | PA      | $371542.71    | 0.10%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7263209 | PA      | $7196235.68   | 1.92%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7864058 | PA      | $7188476.44   | 1.92%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9679824 | PA      | $9506403.76   | 2.54%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12542096 | PA      | $11770567.33  | 3.14%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12960962 | PA      | $13061216.39  | 3.49%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11905852 | PA      | $11427840.38  | 3.05%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2822144 | PA      | $2811269.29   | 0.75%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14569816 | PA      | $14206905.92  | 3.79%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23044315 | PA      | $23735377.83  | 6.34%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4022186 | PA      | $4000915.15   | 1.07%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3155730 | PA      | $3223035.00   | 0.86%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20213895 | PA      | $20302173.53  | 5.42%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7962108 | PA      | $8042406.66   | 2.15%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18147505 | PA      | $18474251.73  | 4.93%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8790060 | PA      | $8836586.40   | 2.36%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15804906 | PA      | $15767527.71  | 4.21%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5532285 | PA      | $5449293.15   | 1.46%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant CLO XI Ltd                                                 | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |      78566 | PA      | $78607.79     | 0.02%             | 2032-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                         | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100102.65    | 0.03%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2014-4 Ltd                                                | CUSIP: 92914RAY8<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-CBDO         | CORP              | KY        |      67114 | PA      | $67149.17     | 0.02%             | 2031-07-14      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | DE        |   -2200000 | NC      | $-17537.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                           | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      87075 | PA      | $117409.23    | 0.03%             | 2045-06-13      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |        623 | PA      | $90.40        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       1677 | PA      | $245.12       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       7721 | PA      | $1127.59      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        312 | PA      | $45.57        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  264578490 | PA      | $1718663.97   | 0.46%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1110887419 | PA      | $7208683.49   | 1.93%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                       | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $115343.36    | 0.03%             | 2028-01-14      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    4296740 | PA      | $5029923.95   | 1.34%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    1378626 | PA      | $169362.32    | 0.05%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.22         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.19         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.18         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      13684 | PA      | $1772.74      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1229540 | PA      | $1368428.75   | 0.37%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1774649 | PA      | $215814.34    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.27         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     234698 | PA      | $28908.62     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                           | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |      99562 | PA      | $10526.42     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro             | Carlyle Global Market Strategies Euro CLO 2014-2 Ltd               | CUSIP: 000000000<br>LEI: 6354006SCMVW8LXU4P40 | Long             | ABS-CBDO         | CORP              | IE        |     208866 | PA      | $245612.07    | 0.07%             | 2031-11-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                 | Ares European CLO X DAC                                            | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |     314106 | PA      | $369380.25    | 0.10%             | 2031-10-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Madison Park Euro Funding                         | Madison Park Euro Funding IX DAC                                   | CUSIP: 000000000<br>LEI: 635400IRITPTWQSADZ09 | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1175381.09   | 0.31%             | 2035-07-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                        | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |     212437 | PA      | $249938.09    | 0.07%             | 2034-05-15      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     329939 | PA      | $39069.99     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     500000 | PA      | $52937.78     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest CLO XXII DAC                                               | CUSIP: 000000000<br>LEI: 635400MYQ7BBH2H3RR48 | Long             | ABS-CBDO         | CORP              | IE        |     943330 | PA      | $1109662.24   | 0.30%             | 2032-01-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     199619 | PA      | $26305.97     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Babson Euro CLO B.V.                              | Barings Euro CLO 2021-2 DAC                                        | CUSIP: 000000000<br>LEI: 549300WLKHU1JJG5SG04 | Long             | ABS-CBDO         | CORP              | IE        |    1700000 | PA      | $1999564.52   | 0.53%             | 2034-10-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     625266 | PA      | $734422.04    | 0.20%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  126174000 | PA      | $789902.08    | 0.21%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Dunedin Park CLO                                  | Dunedin Park CLO DAC                                               | CUSIP: 000000000<br>LEI: 635400VZKZZW7P5TBL62 | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $588116.03    | 0.16%             | 2034-11-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| CVC Cordatus Opportunity Loan Fund DAC            | CVC Cordatus Opportunity Loan Fund-R DAC                           | CUSIP: 000000000<br>LEI: 635400C8SJP8XE4FXA57 | Long             | ABS-CBDO         | CORP              | IE        |     834344 | PA      | $979485.90    | 0.26%             | 2033-08-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  112282500 | PA      | $699440.09    | 0.19%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OCP Euro CLO                                      | OCP Euro CLO 2020-4 DAC                                            | CUSIP: 000000000<br>LEI: 635400NSID6FARUW3W95 | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $823317.35    | 0.22%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                   | Contego CLO III BV                                                 | CUSIP: 000000000<br>LEI: 724500XA96HF0GU8WL83 | Long             | ABS-CBDO         | CORP              | NL        |    1700000 | PA      | $1999559.72   | 0.53%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| MV Credit Euro CLO                                | MV Credit Euro CLO III DAC                                         | CUSIP: 000000000<br>LEI: 635400BDB6DLUVKYJO21 | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $2232881.10   | 0.60%             | 2038-02-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         20 | NC      | $-19528.53    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT MAR26                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $-697.88      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -72 | NC      | $148605.07    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR26                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         25 | NC      | $-67813.74    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR26                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         37 | NC      | $-11178.29    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE MAR26                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -121 | NC      | $158245.66    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -172 | NC      | $136365.34    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         36 | NC      | $-7078.39     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        215 | NC      | $-272562.06   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -152 | NC      | $24753.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -173 | NC      | $-33998.31    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR26                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -22 | NC      | $5127.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT MAR26                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -16 | NC      | $42.66        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1496004 | PA      | $1711604.23   | 0.46%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.22         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     999840 | PA      | $117916.48    | 0.03%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.18         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7XVA7 PIMCO FPPSWAPTION 2.35 CALL EUR                          | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -12500000 | NC      | $-39200.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U7XUA8 PIMCO FPPSWAPTION 2.35 PUT EUR                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -12500000 | NC      | $-79327.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U80NA7 PIMCO FPPSWAPTION 2.5 CALL EUR                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -4400000 | NC      | $-20489.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U80OA6 PIMCO FPPSWAPTION 2.5 PUT EUR                            | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -4400000 | NC      | $-20384.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U84TA3 PIMCO SWAPTION 2.44 PUT EUR 20270125                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-7148.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317U84SA4 PIMCO SWAPTION 2.44 CALL EUR 2027012                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-5246.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.3000 09/20/17-10Y LCH                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  377560000 | OU      | $34471.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.4875 05/15/22-15Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |      20000 | OU      | $260.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19000 11/04/22-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1500000 | OU      | $989193.80    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19500 11/04/22-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1550000 | OU      | $1020499.47   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 0.19700 11/08/22-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    2800000 | OU      | $1842636.58   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.08500 02/13/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5000000 | OU      | $-207375.50   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/2.86500 02/13/24-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9400000 | OU      | $2050964.38   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.55000 09/14/23-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  690000000 | OU      | $84285.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.87880 06/12/23-9Y* LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    4700000 | OU      | $58445.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.50000 12/15/21-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  464000000 | OU      | $180848.91    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFRF USD SOFR/2.34000 11/21/23-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14780000 | OU      | $-518715.92   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFRF USD SOFR/2.23650 11/21/23-30Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3050000 | OU      | $1120531.87   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.50000 06/20/24-30Y CME                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    2400000 | OU      | $274139.76    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6500000 | OU      | $34208.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.75000 03/18/26-10Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23800000 | OU      | $-503097.66   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.00000 03/18/26-30Y LCH                                   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5370000 | OU      | $320208.05    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15900000 | OU      | $101242.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 1.636 06/15/25-2Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $5977.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7914700 | OU      | $33667.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4300000 | OU      | $120231.87    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/91282CDX6 MYC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   30000000 | OU      | $-189833.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/91282CCM1 MYC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-116860.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+18/912828V49 MYC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-50378.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10523300 | OU      | $10350.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3939900 | OU      | $68279.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 3.13 05/15/22-5Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     300000 | OU      | $2413.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.049 08/15/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3400000 | OU      | $-61019.19    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.43375 08/27/25-1Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $22695.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.6 05/15/22-10Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     260000 | OU      | $-1235.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 1.38 03/15/21-10Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    5300000 | OU      | $-1102447.79  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.435 08/01/25-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $20336.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.842 02/13/25-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $1213.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.466 09/15/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $31523.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.365 09/15/25-2Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $-20436.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.7975 08/25/20-7Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $156572.19    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.89 08/27/20-7Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $166823.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 3.0 05/15/22-5Y LCH                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    1300000 | OU      | $21373.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.421 05/15/22-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     240000 | OU      | $4963.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.31375 02/26/21-5Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2100000 | OU      | $258206.18    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.41875 03/05/21-5Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2800000 | OU      | $327388.51    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.7675 05/13/21-5Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $161717.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.573 08/26/21-7Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     400000 | OU      | $30764.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.645 09/10/21-7Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     500000 | OU      | $34280.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.76 11/04/19-10Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3100000 | OU      | $-537882.69   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.763 09/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     700000 | OU      | $127908.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.954 06/03/19-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2350000 | OU      | $-360635.63   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.8825 11/20/19-10Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $-112688.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.813 05/14/21-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1000000 | OU      | $92506.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.323 04/23/25-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $10978.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 3.3 06/04/2025-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1700000 | OU      | $9023.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.7 04/15/23 -30Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     900000 | OU      | $145144.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.682 10/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     200000 | OU      | $31232.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.965 05/15/22-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     800000 | OU      | $14955.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.034 09/15/24-10Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-22128.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.736 10/15/23-30Y LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     400000 | OU      | $69397.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.31125 02/24/21-10Y LCH                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    5100000 | OU      | $616298.12    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 1.9975 07/25/19-10Y LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7700000 | OU      | $-1129278.61  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP GB NI 3.5 08/15/24-10Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $80800.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.70 01/14/25-1Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-8251.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.82 02/05/25-1Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $890.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP EM NI 2.59 12/15/22-30Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     500000 | OU      | $58827.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.703 05/25/21-5Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1210000 | OU      | $117818.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-26

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President