# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001410368-25-030722
**Filing Date:** 2025-11
**Character Count:** 132024
**Document Hash:** d2b2cb57531791f4ad54adcfce96c90e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-030722.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001410368-25-030722

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**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:** 251517987

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $753856554.58

**Total Liabilities:** $385536019.50

**Net Assets:** $368320535.08

**Delayed Delivery Securities:** $378527616.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -163.12000000 | **1-Year:** -2674.81000000 | **5-Year:** -2316.58000000 | **10-Year:** -590.05000000 | **30-Year:** -498.93000000

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

- **3-Month:** -42.50000000 | **1-Year:** -471.38000000 | **5-Year:** -1620.05000000 | **10-Year:** -2328.29000000 | **30-Year:** -1021.23000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098953 | 0.16%                | 1.86%                | 0.31%                |
| Class ID C000078081 | 0.15%                | 1.84%                | 0.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $676811.88               | $-3038833.53                               |
| Month 2  | $724744.81               | $4015369.26                                |
| Month 3  | $2155734.12              | $-1497804.19                               |

**Designated Index Information**

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

- **Index Identifier:** LBUTTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        129 | PA      | $15.94        | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1224090 | PA      | $1362941.08   | 0.37%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.32500 12/01/25-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   12000000 | OU      | $2160.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-198.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     500000 | PA      | $53919.05     | 0.01%             | 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      | $120125.13    | 0.03%             | 2053-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12870682 | PA      | $13079730.48  | 3.55%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22890799 | PA      | $23847880.02  | 6.47%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     812294 | PA      | $440753.67    | 0.12%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Barclays Capital Securities Ltd.                  | BARCLAYS REV REPO EUR                                              | CUSIP: 000000000<br>LEI: K9WDOH4D2PYBSLSOB484 | Short            | RA               | CORP              | GB        |   -4256735 | PA      | $-4997622.55  | -1.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                             | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |     458021 | PA      | $458133.20    | 0.12%             | 2032-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CAD / SOLD USD                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $3248.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3442728 | PA      | $2038957.78   | 0.55%             | 2050-02-15      | Fixed         | 0.25%                 | 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        |     403124 | PA      | $404462.10    | 0.11%             | 2064-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-19703.30    | -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      | $17580.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     397732 | PA      | $371553.74    | 0.10%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 5                                           | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24465 | PA      | $24159.46     | 0.01%             | 2026-10-19      | Floating      | 4.95%                 | 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        |      32173 | PA      | $31285.01     | 0.01%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20503 | PA      | $20756.56     | 0.01%             | 2044-10-01      | Floating      | 5.42%                 | 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      | $-8084.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |          1 | NC      | $-25625.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                           | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |      28443 | PA      | $28478.41     | 0.01%             | 2030-04-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                  | Trinitas Clo VII Ltd                                               | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1003341.23   | 0.27%             | 2035-01-25      | Floating      | 5.38%                 | 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      | $3414.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4675108 | PA      | $4536606.58   | 1.23%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     144165 | PA      | $146763.86    | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2017-IV Ltd                                           | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |     104695 | PA      | $104847.14    | 0.03%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/4.25000 12/20/23-2Y CME                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   33710000 | OU      | $-9145.52     | -0.00%            |  |  |  | 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      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2005-2                                     | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578444 | PA      | $575190.44    | 0.16%             | 2035-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36202K2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        306 | PA      | $304.79       | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                          | CUSIP: 3128NC6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        367 | PA      | $374.66       | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3993344 | PA      | $4013653.27   | 1.09%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        257 | PA      | $257.38       | 0.00%             | 2026-12-20      | Floating      | 5.00%                 | 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      | $3747.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE DEC25                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         38 | NC      | $49176.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     234744 | PA      | $29182.58     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | 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      | $908305.58    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9500000 | PA      | $9572694.38   | 2.60%             | 2054-11-01      | Fixed         | 5.50%                 | 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      | $480579.05    | 0.13%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $442.49       | 0.00%             |  |  |  | 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      | $173919.11    | 0.05%             |  |  |  | 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      | $-386420.29   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant CLO XI Ltd                                                 | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |     143601 | PA      | $143838.19    | 0.04%             | 2032-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                             | KKR CLO 9 Ltd                                                      | CUSIP: 48250LAW9<br>LEI: 549300C6QY0XRSC8FH09 | Long             | ABS-CBDO         | CORP              | KY        |      14845 | PA      | $14852.93     | 0.00%             | 2030-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest CLO XXII DAC                                               | CUSIP: 000000000<br>LEI: 635400MYQ7BBH2H3RR48 | Long             | ABS-CBDO         | CORP              | IE        |    1063302 | PA      | $1248058.79   | 0.34%             | 2032-01-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1700000 | PA      | $1648293.50   | 0.45%             | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11823339 | PA      | $11463220.90  | 3.11%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |       7801 | PA      | $1147.41      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) DEC25                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          1 | NC      | $-8928.26     | -0.00%            |  |  |  | No            |                  1 | 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      | $-63859.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 64 CLO Ltd                                                  | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     266480 | PA      | $266743.32    | 0.07%             | 2031-04-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        529 | PA      | $529.18       | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $47252.34     | 0.01%             |  |  |  | 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      | $-30766.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-713.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE DEC25                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -74 | NC      | $-66157.05    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1947861 | PA      | $1903641.85   | 0.52%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                      | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     107789 | PA      | $107999.21    | 0.03%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |          1 | NC      | $714.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-144.53      | -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      | $-3938.99     | -0.00%            |  |  |  | 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        |     106748 | PA      | $106372.21    | 0.03%             | 2035-03-25      | Floating      | 4.63%                 | 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        |     408023 | PA      | $399335.65    | 0.11%             | 2042-05-25      | Variable      | 5.77%                 | 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        |     134646 | PA      | $129821.86    | 0.04%             | 2035-07-19      | Floating      | 4.75%                 | 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        |       9422 | PA      | $9140.70      | 0.00%             | 2034-02-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  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      | $1992444.42   | 0.54%             | 2034-10-15      | Floating      | 3.01%                 | 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      | $70.47        | 0.00%             |  |  |  | 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        |     127678 | PA      | $128286.21    | 0.03%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        241 | NC      | $633640.03    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |       1695 | PA      | $249.36       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Romark CLO Ltd                                    | Romark CLO Ltd                                                     | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      82562 | PA      | $82608.27     | 0.02%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                          | CUSIP: 31336CLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24202 | PA      | $24801.41     | 0.01%             | 2034-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-442.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.10000 12/31/25-28Y* LCH                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8069100 | OU      | $-211816.30   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+13/91282CDX6 MYC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   30000000 | OU      | $-184983.02   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1489368 | PA      | $1702478.70   | 0.46%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |        629 | PA      | $92.57        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132DWKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249249 | PA      | $257868.57    | 0.07%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ares European CLO                                 | Ares European CLO X DAC                                            | CUSIP: 000000000<br>LEI: 635400SFL7VSI4HNPI68 | Long             | ABS-CBDO         | CORP              | IE        |     403807 | PA      | $473995.54    | 0.13%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -168 | NC      | $18171.56     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+13/912828V49 MYC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-72225.88    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | 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      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2003-3                                   | CUSIP: 36290PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101440 | PA      | $107205.16    | 0.03%             | 2043-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE DEC25                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         19 | NC      | $718.68       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6238618 | PA      | $5717218.41   | 1.55%             | 2052-06-20      | Fixed         | 3.50%                 | 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      | $34731.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2934144 | PA      | $2350803.49   | 0.64%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -172 | NC      | $-420013.29   | -0.11%            |  |  |  | No            |                  1 | 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      | $56256.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     545068 | PA      | $501701.74    | 0.14%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.30000 12/01/25-4Y* LCH                              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6200000 | OU      | $7198.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-27175.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |     330078 | PA      | $39657.86     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7503691 | PA      | $5601029.15   | 1.52%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL11 LLC                                                  | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     584547 | PA      | $585363.34    | 0.16%             | 2039-03-19      | Floating      | 5.93%                 | 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        |     572703 | PA      | $550827.98    | 0.15%             | 2044-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-38698.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2817422 | PA      | $2817288.69   | 0.76%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-SCHATZ FUT DEC25                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $-474.03      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Segovia European CLO 6 - 2019 DAC                 | Segovia European CLO 6-2019 DAC                                    | CUSIP: 000000000<br>LEI: 6354006IDDCPIYNLI456 | Long             | ABS-CBDO         | CORP              | IE        |     284371 | PA      | $334170.90    | 0.09%             | 2032-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478874 | PA      | $486345.43    | 0.13%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  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      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11173 | PA      | $10983.92     | 0.00%             | 2034-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-AR1                                   | CUSIP: 36242DUL5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |      38061 | PA      | $36347.29     | 0.01%             | 2035-01-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5262986 | PA      | $5500968.13   | 1.49%             | 2029-01-15      | Fixed         | 2.50%                 | 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      | $68896.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2493908 | PA      | $1384953.15   | 0.38%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD DKK                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-961.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | JP        |          1 | NC      | $38651.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                           | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      31878 | PA      | $42881.04     | 0.01%             | 2045-06-13      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31407XUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17271 | PA      | $17440.28     | 0.00%             | 2035-11-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  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        |       3991 | PA      | $4037.36      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $3158.56      | 0.00%             |  |  |  | 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      | $123848.58    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8559082 | PA      | $8521263.01   | 2.31%             | 2028-07-15      | Fixed         | 0.75%                 | 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      | $129535.95    | 0.04%             |  |  |  | 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      | $-101561.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 3175RWRC3 INF CAP FWD EU JUN35 3 CALL                              | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | DE        |   -2200000 | NC      | $-20200.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3133110 | PA      | $3234774.88   | 0.88%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND DEC25                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         25 | NC      | $76285.70     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2004-OP1         | CUSIP: 004421EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     497631 | PA      | $473746.03    | 0.13%             | 2034-04-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FRANCE (GOVT OF)                                  | French Republic Government Bond OAT                                | CUSIP: 000000000<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    4277665 | PA      | $5003885.60   | 1.36%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  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      | $936859.29    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HLZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1354357 | PA      | $1357780.43   | 0.37%             | 2055-07-25      | Floating      | 5.46%                 | 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        |     138835 | PA      | $131475.59    | 0.04%             | 2032-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $1667.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill European Credit Partners PLC             | OAK Hill European Credit Partners VII DAC                          | CUSIP: 000000000<br>LEI: 5493002IYTC83ODTTK84 | Long             | ABS-CBDO         | CORP              | IE        |     213695 | PA      | $250910.28    | 0.07%             | 2031-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14287550 | PA      | $15204974.30  | 4.13%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.208 10/07/24-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3708000 | OU      | $-19978.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD DKK                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-4911.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273348 | PA      | $277143.88    | 0.08%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9700922.20   | 2.63%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | INF SWAP US IT 2.38 10/15/24-1Y LCH                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2800000 | OU      | $-11788.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A1                                   | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24422 | PA      | $24415.98     | 0.01%             | 2035-07-25      | Variable      | 5.91%                 | 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      | $6190.89      | 0.00%             |  |  |  | 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      | $-572311.53   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                            | CUSIP: 437084CE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66535 | PA      | $66289.95     | 0.02%             | 2034-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9556 | PA      | $9660.48      | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  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      |
| LCH Ltd.                                          | INF SWAP US IT 3.435 08/01/25-1Y LCH                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3500000 | OU      | $4296.77      | 0.00%             |  |  |  | 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      | $339365.44    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4397744 | PA      | $3343488.32   | 0.91%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Beignet                                           | Beignet                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1800000.00   | 0.49%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1667.54     | -0.00%            |  |  |  | No            |                  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      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-72460.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $15372.13     | 0.00%             |  |  |  | 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        |     896787 | PA      | $875089.35    | 0.24%             | 2035-06-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6448504 | PA      | $4977540.60   | 1.35%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     199663 | PA      | $26360.23     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  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        |      24503 | PA      | $23916.04     | 0.01%             | 2030-12-15      | Floating      | 4.71%                 | 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      | $97596.85     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | J P MORGAN TERM REPO                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |    2700000 | PA      | $2700000.00   | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        572 | PA      | $572.70       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | 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      | $128361.47    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2005-HE2                    | CUSIP: 61744CNC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     325631 | PA      | $319136.26    | 0.09%             | 2035-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9845786 | PA      | $9402924.33   | 2.55%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Contego CLO DAC                                   | Contego CLO III BV                                                 | CUSIP: 000000000<br>LEI: 724500XA96HF0GU8WL83 | Long             | ABS-CBDO         | CORP              | NL        |    1700000 | PA      | $2002605.68   | 0.54%             | 2038-04-15      | Floating      | 3.30%                 | 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        |     922767 | PA      | $1083708.61   | 0.29%             | 2033-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1123315 | PA      | $1114816.31   | 0.30%             | 2027-01-15      | Fixed         | 0.38%                 | 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        |     157362 | PA      | $153476.54    | 0.04%             | 2036-09-25      | Floating      | 4.56%                 | 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      | $69508.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-RPL2                      | CUSIP: 64830HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212944 | PA      | $207925.37    | 0.06%             | 2059-02-25      | Variable      | 3.25%                 | 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      | $39572.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1562 | PA      | $1546.82      | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-4                                    | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105701 | PA      | $101862.68    | 0.03%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5245 | PA      | $5276.22      | 0.00%             | 2036-01-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4935 | PA      | $4969.49      | 0.00%             | 2044-07-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7648306 | PA      | $6071168.34   | 1.65%             | 2042-02-15      | Fixed         | 0.75%                 | 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      | $600934.63    | 0.16%             | 2034-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7989328 | PA      | $7936580.52   | 2.15%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                        | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |     253946 | PA      | $297717.42    | 0.08%             | 2034-05-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.28         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  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      | $679785.20    | 0.18%             |  |  |  | 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      | $-175665.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                        | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       3000 | PA      | $2884.99      | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XVIII LP                                                       | CUSIP: 50188GAT0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |      13107 | PA      | $13114.62     | 0.00%             | 2031-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408DB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25421 | PA      | $25618.50     | 0.01%             | 2036-02-01      | Floating      | 5.67%                 | 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      | $185341.44    | 0.05%             |  |  |  | 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        |     292620 | PA      | $292952.94    | 0.08%             | 2031-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17320128 | PA      | $17578916.17  | 4.77%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 3YR BOND FUT DEC25                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -16 | NC      | $3645.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2017-1 Ltd                                                | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |     102313 | PA      | $102390.37    | 0.03%             | 2030-04-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  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      | $-12354.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                       | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $114692.55    | 0.03%             | 2028-01-14      | Fixed         | 0.65%                 | Yes           |                  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      | $-14015.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE DEC25                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -117 | NC      | $-133982.26   | -0.04%            |  |  |  | No            |                  1 | 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      | $-16541.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $8268319.52   | 2.24%             | 2054-10-01      | Fixed         | 6.50%                 | 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        |      57990 | PA      | $52039.82     | 0.01%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406KBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33527 | PA      | $34413.17     | 0.01%             | 2035-04-01      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $25749.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXVIII CLO Ltd                                             | CUSIP: 92331AAU8<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | KY        |      30704 | PA      | $30720.14     | 0.01%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31406UN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43834 | PA      | $44733.74     | 0.01%             | 2035-03-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416982 | PA      | $383280.14    | 0.10%             | 2053-01-20      | Fixed         | 3.50%                 | 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      | $-120571.60   | -0.03%            |  |  |  | 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      | $1807294.41   | 0.49%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7096475 | PA      | $5245883.49   | 1.42%             | 2047-02-15      | Fixed         | 0.88%                 | 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      | $695.89       | 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        |     386010 | PA      | $386202.37    | 0.10%             | 2029-04-15      | Floating      | 5.48%                 | 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      | $718.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     529546 | PA      | $531735.59    | 0.14%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                         | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99654.31     | 0.03%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107928 | PA      | $110414.90    | 0.03%             | 2035-05-25      | Floating      | 6.37%                 | 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      | $16519.62     | 0.00%             |  |  |  | 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      | $31023.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Navesink CLO, Limited                             | Navesink CLO 2 Ltd                                                 | CUSIP: 63942YAA2<br>LEI: 254900HNRWNLGN0X1N35 | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1701520.07   | 0.46%             | 2036-04-15      | Floating      | 5.59%                 | 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      | $824365.32    | 0.22%             | 2039-10-20      | Floating      | 3.30%                 | 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      | $-563629.39   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15369834 | PA      | $15827821.09  | 4.30%             | 2035-01-15      | Fixed         | 2.12%                 | 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        |     374369 | PA      | $375712.35    | 0.10%             | 2037-01-17      | Floating      | 5.93%                 | 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      | $616163.99    | 0.17%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6825060 | PA      | $6410916.04   | 1.74%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                 | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453901 | PA      | $447196.55    | 0.12%             | 2042-09-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31391Q7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5614 | PA      | $5614.19      | 0.00%             | 2042-11-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  263772310 | PA      | $1812825.74   | 0.49%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        315 | PA      | $46.36        | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | 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      | $142013.46    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Dunedin Park CLO                                  | Dunedin Park CLO DAC                                               | CUSIP: 000000000<br>LEI: 635400VZKZZW7P5TBL62 | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $587437.07    | 0.16%             | 2034-11-20      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     753865 | PA      | $756890.54    | 0.21%             | 2028-04-15      | Fixed         | 1.25%                 | 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        |      44349 | PA      | $42761.39     | 0.01%             | 2034-10-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172896 | PA      | $170078.78    | 0.05%             | 2044-07-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1775769 | PA      | $219921.05    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | 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      | $702789.33    | 0.19%             | 2035-10-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1663470 | PA      | $1598385.09   | 0.43%             | 2057-08-15      | Floating      | 4.89%                 | 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        |     538512 | PA      | $632603.08    | 0.17%             | 2031-11-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |      99575 | PA      | $10738.11     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2004-OPT5 Trust                                               | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     660539 | PA      | $665222.42    | 0.18%             | 2034-06-25      | Floating      | 4.97%                 | 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      | $500453.45    | 0.14%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT CPI LINKED                             | Japanese Government CPI Linked Bond                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1107498675 | PA      | $7637625.70   | 2.07%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  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      | $-63723.07    | -0.02%            |  |  |  | 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      | $25654.71     | 0.01%             |  |  |  | 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        |     120729 | PA      | $120810.88    | 0.03%             | 2031-04-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         77 | NC      | $29244.54     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2773950 | PA      | $2820329.53   | 0.77%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9023186 | PA      | $7723544.15   | 2.10%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| TSTAT 2022-1 Ltd                                  | TSTAT 2022-1 Ltd                                                   | CUSIP: 872899AY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      79647 | PA      | $79736.64     | 0.02%             | 2037-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED DKK / SOLD USD                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | DK        |          1 | NC      | $948.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14468768 | PA      | $14251341.48  | 3.87%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3242.38     | -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      | $266697.21    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1366026 | PA      | $1368360.81   | 0.37%             | 2054-11-25      | Floating      | 5.30%                 | 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      | $-1551.40     | -0.00%            |  |  |  | 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      | $1032603.42   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12543602 | PA      | $12400734.03  | 3.37%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -143 | NC      | $-44587.28    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6780396 | PA      | $6730417.57   | 1.83%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2947140 | PA      | $2723362.63   | 0.74%             | 2054-02-15      | Fixed         | 2.12%                 | 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      | $-1213390.03  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BY3C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     731496 | PA      | $711638.26    | 0.19%             | 2047-01-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7211115 | PA      | $7171931.53   | 1.95%             | 2026-10-15      | Fixed         | 0.12%                 | 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      | $-3776.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8728312 | PA      | $8864890.88   | 2.41%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                      | Eurosail-UK 2007-3bl PLC                                           | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |     101644 | PA      | $136740.62    | 0.04%             | 2045-06-13      | Floating      | 5.05%                 | Yes           |                  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      | $116.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Black Diamond CLO                                 | Black Diamond CLO 2017-2 DAC                                       | CUSIP: 000000000<br>LEI: 549300PKZ3LBLGCJNI86 | Long             | ABS-CBDO         | CORP              | IE        |       4311 | PA      | $5063.55      | 0.00%             | 2032-01-20      | Floating      | 2.88%                 | 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        |      21530 | PA      | $21365.84     | 0.01%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5632828 | PA      | $4225330.91   | 1.15%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     622494 | PA      | $727502.48    | 0.20%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                               | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     410000 | PA      | $414655.96    | 0.11%             | 2028-03-15      | Fixed         | 5.88%                 | 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      | $162890.00    | 0.04%             |  |  |  | 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        |     407339 | PA      | $408386.87    | 0.11%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7753048 | PA      | $7075919.80   | 1.92%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                       | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     100000 | PA      | $130959.48    | 0.04%             | 2029-03-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11200000 | PA      | $11440469.49  | 3.11%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1648758 | PA      | $1659949.88   | 0.45%             | 2055-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10540762 | PA      | $11527827.29  | 3.13%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.23         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | 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      | $1174371.88   | 0.32%             | 2035-07-15      | Floating      | 2.91%                 | 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      | $-1128788.08  | -0.31%            |  |  |  | No            |                  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      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12455072 | PA      | $11792709.15  | 3.20%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-10860.66    | -0.00%            |  |  |  | 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      | $39239.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4107936 | PA      | $3034265.39   | 0.82%             | 2049-02-15      | Fixed         | 1.00%                 | 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      | $1738148.36   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC7                    | CUSIP: 61744CFR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      58600 | PA      | $62429.11     | 0.02%             | 2034-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDIT                          | Nordea Kredit Realkreditaktieselskab                               | CUSIP: 000000000<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        621 | PA      | $78.72        | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  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      | $-84896.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      13894 | PA      | $1812.16      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT RRB                           | Canadian Government Real Return Bond                               | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2816085 | PA      | $2109362.40   | 0.57%             | 2026-12-01      | Fixed         | 4.25%                 | 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        |      86590 | PA      | $83727.81     | 0.02%             | 2037-09-25      | Floating      | 4.58%                 | 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      | $-42590.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                            | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    1379858 | PA      | $170781.36    | 0.05%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-9                              | CUSIP: 41161PSK0<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    1245488 | PA      | $1196899.75   | 0.32%             | 2035-06-20      | Floating      | 4.93%                 | 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      | $143703.38    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                               | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382YB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2345704 | PA      | $2354532.73   | 0.64%             | 2072-10-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31408DC85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6040 | PA      | $6143.92      | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2014-4 Ltd                                                | CUSIP: 92914RAY8<br>LEI: 549300JHU3YI1LLL3V27 | Long             | ABS-CBDO         | CORP              | KY        |     128862 | PA      | $129022.41    | 0.04%             | 2031-07-14      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7807711 | PA      | $7191703.92   | 1.95%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -84 | NC      | $-47187.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15815 | PA      | $16008.45     | 0.00%             | 2044-09-01      | Floating      | 5.42%                 | 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      | $35404.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | TRS R SOFRRATE+13/91282CCM1 MYC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   20000000 | OU      | $-134366.55   | -0.04%            |  |  |  | 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        |     202054 | PA      | $202285.23    | 0.05%             | 2031-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                              | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2645354 | PA      | $2668004.13   | 0.72%             | 2040-02-15      | Fixed         | 2.12%                 | 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      | $1691655.28   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7904974 | PA      | $8063692.76   | 2.19%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                 | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |      64616 | PA      | $64727.33     | 0.02%             | 2031-08-13      | Floating      | 5.44%                 | 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        |     514915 | PA      | $516196.97    | 0.14%             | 2037-06-19      | Floating      | 6.28%                 | 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      | $170334.52    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147650 | PA      | $145069.01    | 0.04%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7042140 | PA      | $7101370.31   | 1.93%             | 2035-07-15      | Fixed         | 1.88%                 | 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        |     399102 | PA      | $400725.15    | 0.11%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7055552 | PA      | $6710491.62   | 1.82%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $-2789.24     | -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      | $9561.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $3847.04      | 0.00%             |  |  |  | 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      | $-5754.63     | -0.00%            |  |  |  | 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      | $1633.05      | 0.00%             |  |  |  | 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      | $26957.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $27163.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                                | Realkredit Danmark A/S                                             | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.28         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9612276 | PA      | $9481166.48   | 2.57%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-726.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                              | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9732271 | PA      | $9699010.38   | 2.63%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | 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      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President