# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0001752724-25-204796
**Filing Date:** 2025-8
**Character Count:** 147139
**Document Hash:** ce392db98e298bad68de454bf4ee03b6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-204796.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-204796

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EQ ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0001027263

**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:** 811-07953
- **FILM NUMBER:** 251255200

**BUSINESS ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 212-554-1234

**MAIL ADDRESS:**
- **STREET 1:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 787 TRUST
- **DATE OF NAME CHANGE:** 19961125

## Series and Classes Contracts Data

### EQ/PIMCO Real Return Portfolio (Series ID: S000062646)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000203172 | Class IB     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EQ Advisors Trust

- **b. Investment Company Act file number:** 811-07953

- **c. CIK number of Registrant:** 0001027263

- **d. LEI of Registrant:** 549300Q691FLN6WHB832

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

  - **Street Address 1:** 1345 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10105

  - **Telephone number:** 212-554-1234

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

- **a. Name of Series:** EQ/PIMCO Real Return Portfolio

- **b. EDGAR series identifier (if any):** S000062646

- **c. LEI of Series:** 549300PDY1UUPDL76755

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $169808253.89

**Total Liabilities:** $86781655.46

**Net Assets:** $83026598.43

**Cash Not Reported:** $528862.23

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3284.67000000 | **1-Year:** 9.51000000 | **5-Year:** 299.30000000 | **10-Year:** 1902.69000000 | **30-Year:** 5253.54000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 17.09000000 | **10-Year:** 513.51000000 | **30-Year:** 41.65000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203172 | 0.00%                | -0.56%               | 1.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $6048.53                 | $1766.41                                   |
| Month 2  | $-197635.36              | $-691577.23                                |
| Month 3  | $-18779.86               | $1054279.74                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Treasury Inflation-Linked Bond Index

- **Index Identifier:** LEH_TIPS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $2740271.55   | 3.30%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $32333.62     | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                | Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1                                                | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17432 | PA      | $9969.33      | 0.01%             | 2035-09-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                     | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1                     | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1585 | PA      | $1586.19      | 0.00%             | 2034-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       754 | PA      | $709.04       | 0.00%             | 2035-07-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| GreenPoint MTA Trust                                                    | GreenPoint MTA Trust, Series 2005-AR1, Class A2                                                    | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1689 | PA      | $1539.49      | 0.00%             | 2045-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                    | FHLB                                                                                               | CUSIP: 313385JE7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |  17000000 | PA      | $16971397.50  | 20.44%            | 2025-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                             | RFMSI Trust, Series 2007-S6, Class 1A10                                                            | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3606 | PA      | $2854.77      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1520000 | PA      | $1758577.59   | 2.12%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3400000 | PA      | $-21300.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6700000 | PA      | $6902244.15   | 8.31%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                        | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                       | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       502 | PA      | $486.99       | 0.00%             | 2030-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8030000 | PA      | $8845988.88   | 10.65%            | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3760000 | PA      | $4796952.86   | 5.78%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1908.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                  | Bear Stearns ARM Trust, Series 2006-2, Class 3A2                                                   | CUSIP: 07388DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2420 | PA      | $2051.75      | 0.00%             | 2036-07-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust                           | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A1B1                         | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123 | PA      | $101.79       | 0.00%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1814043.51   | 2.18%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2010000 | PA      | $2537067.50   | 3.06%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                              | RALI Trust, Series 2007-QH8, Class A                                                               | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26868 | PA      | $21565.31     | 0.03%             | 2037-10-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $5807.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Life Agency, Inc.                                         | Merrill Lynch Life Agency, Inc.                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |      8278 | PA      | $2322.88      | 0.00%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $98045.41     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                     | First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7                    | CUSIP: 32052DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9172 | PA      | $3330.15      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $-14336.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84551 | PA      | $81191.12     | 0.10%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                           | Banc of America Funding Trust, Series 2006-A, Class 1A1                                            | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1877 | PA      | $1786.27      | 0.00%             | 2036-02-20      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2005-19, Class 1A6                                         | CUSIP: 126694AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       664 | PA      | $482.65       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arbour CLO VI DAC                                                       | Arbour CLO VI DAC, Series 6A, Class AR                                                             | CUSIP: N/A<br>LEI: 635400HEJB8VLV1GBH66       | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $470782.80    | 0.57%             | 2037-11-15      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                            | Bain Capital Credit CLO Ltd., Series 2020-2A, Class ARR                                            | CUSIP: 05683EAW2<br>LEI: 254900JJEDONFKODOF95 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400486.00    | 0.48%             | 2034-07-19      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Bund                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -20 | NC      | $23786.53     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                    | GNMA                                                                                               | CUSIP: 36180AB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    990961 | PA      | $900440.94    | 1.08%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $514316.87    | 0.62%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA                                                                                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275017 | PA      | $251012.26    | 0.30%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 Month Euro EURIBOR                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |        19 | NC      | $14237.74     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fremont Home Loan Trust                                                 | Fremont Home Loan Trust, Series 2006-C, Class 1A1                                                  | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24158 | PA      | $21735.13     | 0.03%             | 2036-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2060000 | PA      | $4597.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates     | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1    | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       464 | PA      | $449.37       | 0.00%             | 2031-11-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A                                          | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       693 | PA      | $665.57       | 0.00%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 2A1                         | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528 | PA      | $520.30       | 0.00%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2003-W8, Class 3F2                                                                    | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       517 | PA      | $515.32       | 0.00%             | 2042-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1470000 | PA      | $1509955.73   | 1.82%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Magnetite XII Ltd.                                                      | Magnetite XII Ltd., Series 2015-12A, Class AR4                                                     | CUSIP: 55953HBD4<br>LEI: 549300Z6VW568TT64K70 | Long             | ABS-CBDO         | CORP              | KY        |    117151 | PA      | $117151.17    | 0.14%             | 2031-10-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    591000 | PA      | $1258828.93   | 1.52%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-79156.81    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                                                 | CIT Mortgage Loan Trust, Series 2007-1, Class 1M1                                                  | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143059 | PA      | $142547.84    | 0.17%             | 2037-10-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                           | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A1                             | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       309 | PA      | $99.40        | 0.00%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA                                                                                               | CUSIP: 3618N5H93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    993419 | PA      | $902363.88    | 1.09%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    121904 | PA      | $142710.82    | 0.17%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2007-A1, Class 3A3                                                | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1854 | PA      | $1775.57      | 0.00%             | 2035-07-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust, Series 2007-A6, Class 2A1                                  | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124276 | PA      | $23996.55     | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    702000 | PA      | $-4307.26     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $444851.74    | 0.54%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                              | CSMC Trust, Series 2007-4R, Class 1A1                                                              | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3472 | PA      | $3159.70      | 0.00%             | 2036-10-26      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    240000 | PA      | $344320.25    | 0.41%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust                                        | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1                                        | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53006 | PA      | $49692.92     | 0.06%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC Multifamily Structured Pass-Through Certificates, Series KBX1, Class A2                      | CUSIP: 3137F4CZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94094 | PA      | $93078.77     | 0.11%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $5352.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1647.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1597314.97   | 1.92%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2172.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2005-62, Class 2A1                                                  | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       654 | PA      | $560.16       | 0.00%             | 2035-12-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| C-Bass Trust                                                            | C-Bass Trust, Series 2006-CB9, Class A1                                                            | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1518 | PA      | $665.02       | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust, Series 2006-A10, Class A5                                  | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8523 | PA      | $2565.36      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1                                    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124330 | PA      | $119250.04    | 0.14%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                   | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-7XS, Class 2A1A                 | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       335 | PA      | $333.66       | 0.00%             | 2035-04-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2007-4CB, Class 1A35                                                | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24640 | PA      | $20664.58     | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3078687.78   | 3.71%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2060000 | PA      | $6349.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury Long Bond                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -28 | NC      | $-141572.40   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust, Series 2006-8AR, Class 5A4                                     | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2783 | PA      | $2722.43      | 0.00%             | 2036-06-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                      | First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M2                                     | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66959 | PA      | $63443.34     | 0.08%             | 2036-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust, Series 2004-AR10, Class 2A2A                                     | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177 | PA      | $164.09       | 0.00%             | 2034-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1342.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                        | IndyMac INDA Mortgage Loan Trust, Series 2005-AR1, Class 2A1                                       | CUSIP: 45660LZK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       558 | PA      | $579.03       | 0.00%             | 2035-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $6866.22      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $4003.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                         | Eurosail-UK plc, Series 2007-3X, Class A3A                                                         | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     10853 | PA      | $14875.35     | 0.02%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                   | Bank of America Corp., Series FF                                                                   | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20275.00     | 0.02%             | 2028-03-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                        | Soundview Home Equity Loan Trust                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    497529 | PA      | $127633.13    | 0.15%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2D                               | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649001 | PA      | $281309.94    | 0.34%             | 2036-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $507776.67    | 0.61%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $1349.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2023-H19, Class FA                                                                    | CUSIP: 38383KCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1187769 | PA      | $1192323.65   | 1.44%             | 2073-08-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO XVIII Ltd.                                                | Jamestown CLO XVIII Ltd., Series 2022-18A, Class A1R                                               | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399688.80    | 0.48%             | 2035-07-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-3280.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2006-OA19, Class A1                                                 | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6184 | PA      | $4955.49      | 0.01%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust                                        | JP Morgan Alternative Loan Trust, Series 2006-A7, Class 1A4                                        | CUSIP: 466286AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20399 | PA      | $18814.91     | 0.02%             | 2036-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 11A1                        | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1787 | PA      | $1617.17      | 0.00%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2006-30, Class KF                                                                     | CUSIP: 31395B6R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $154.85       | 0.00%             | 2036-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust, Series 2004-AR11, Class 2A                                       | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1087 | PA      | $1022.44      | 0.00%             | 2034-12-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    350000 | PA      | $-4592.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-BTP                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        19 | NC      | $6669.44      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-Bobl                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        12 | NC      | $-4249.10     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1210000 | PA      | $1166267.20   | 1.40%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                           | Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA                                          | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4906 | PA      | $4518.69      | 0.01%             | 2037-09-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                  | Bear Stearns ARM Trust, Series 2005-1, Class 2A1                                                   | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2800 | PA      | $2575.24      | 0.00%             | 2035-03-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  40000000 | PA      | $2759.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1150000 | PA      | $-15042.02    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $2160.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1052 | PA      | $1005.23      | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2005-A6, Class 2A1                                                | CUSIP: 466247TQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1395 | PA      | $1320.15      | 0.00%             | 2035-08-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2008-R2, Class 1A1                                                | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6412 | PA      | $5921.48      | 0.01%             | 2037-07-27      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3133KNXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87267 | PA      | $75602.16     | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 120240180 | PA      | $864445.03    | 1.04%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC Structured Pass-Through Certificates, Series T-62, Class 1A1                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23042 | PA      | $21096.37     | 0.03%             | 2044-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                         | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       427 | PA      | $408.67       | 0.00%             | 2034-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $672135.23    | 0.81%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2245.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 10 Year Note                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         9 | NC      | $17495.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $1041364.84   | 1.25%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-5365.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                          | Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2A                         | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9788 | PA      | $1966.26      | 0.00%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-5016.91     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    300000 | PA      | $14068.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140MSLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875306 | PA      | $816387.40    | 0.98%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                               | Towd Point Mortgage Trust, Series 2019-HY2, Class A1                                               | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12684 | PA      | $12978.55     | 0.02%             | 2058-05-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    860000 | PA      | $1392147.66   | 1.68%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $21078.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                           | UMBS, 30 Year, Single Family                                                                       | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2296125.12   | 2.77%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    570000 | PA      | $835351.06    | 1.01%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA4, Class 1A                           | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3337 | PA      | $2902.52      | 0.00%             | 2047-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835389 | PA      | $723721.54    | 0.87%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                          | Banc of America Mortgage Trust, Series 2005-E, Class 2A1                                           | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       367 | PA      | $336.54       | 0.00%             | 2035-06-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 2 Year Note                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -41 | NC      | $-33333.00    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates      | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-WCW2, Class M3     | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42689 | PA      | $42174.43     | 0.05%             | 2034-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2002-AR17, Class 1A                          | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133 | PA      | $127.12       | 0.00%             | 2042-11-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    200000 | PA      | $9469.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Park Place Securities, Inc. Asset-Backed Pass-Through Certificates      | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WHQ4, Class M2     | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6756 | PA      | $6599.26      | 0.01%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $507506.07    | 0.61%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-1951.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                           | UMBS, 30 Year, Single Family                                                                       | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1855546.92   | 2.23%             | 2055-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $2751.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2005-9, Class 1A3                                          | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127356 | PA      | $111459.99    | 0.13%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust, Series 2007-3, Class 1A1                                                   | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4628 | PA      | $4004.57      | 0.00%             | 2036-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Argent Mortgage Loan Trust                                              | Argent Mortgage Loan Trust, Series 2005-W1, Class A1                                               | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13654 | PA      | $12196.16     | 0.01%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                              | RALI Trust, Series 2005-QO1, Class A1                                                              | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250 | PA      | $874.34       | 0.00%             | 2035-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    120000 | PA      | $6416.55      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                               | Soundview Home Loan Trust, Series 2006-NLC1, Class A1                                              | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1595 | PA      | $436.96       | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2023-H15, Class FB                                                                    | CUSIP: 38384AV59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398002 | PA      | $399325.78    | 0.48%             | 2073-03-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1391925.04   | 1.68%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $3178504.24   | 3.83%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust, Series 2007-FM1, Class A2A                                                            | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2521 | PA      | $1188.79      | 0.00%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1                                                | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       819 | PA      | $800.55       | 0.00%             | 2035-02-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                              | VMware LLC                                                                                         | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9908.82      | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    660000 | PA      | $443914.16    | 0.53%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    122093 | PA      | $137274.68    | 0.17%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                   | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1048 | PA      | $1010.82      | 0.00%             | 2034-11-21      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 115850000 | PA      | $12014.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AIMCO CLO                                                               | AIMCO CLO, Series 2015-AA, Class AR3                                                               | CUSIP: 00900LAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400312.40    | 0.48%             | 2034-10-17      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Class 2A1                         | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       551 | PA      | $511.04       | 0.00%             | 2035-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-16834.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    239756 | PA      | $236424.83    | 0.28%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $3279149.51   | 3.95%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1640000 | PA      | $2542025.42   | 3.06%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $399088.49    | 0.48%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1                                           | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30630 | PA      | $13552.34     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC Structured Pass-Through Certificates, Series T-32, Class A1                                  | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       293 | PA      | $292.91       | 0.00%             | 2031-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1                          | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1041 | PA      | $906.43       | 0.00%             | 2035-08-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $2407.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    160000 | PA      | $4102.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3206011.52   | 3.86%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     90000 | PA      | $-4374.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                | Bear Stearns ALT-A Trust, Series 2006-2, Class 23A1                                                | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5813 | PA      | $4726.55      | 0.01%             | 2036-03-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       547 | PA      | $542.46       | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  95975140 | PA      | $692945.11    | 0.83%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 Month Euro EURIBOR                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       -19 | NC      | $-16137.74    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2025-47, Class FJ                                                                     | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397163 | PA      | $398888.06    | 0.48%             | 2055-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $181.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $-6635.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC, Series 278, Class F1                                                                        | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41306 | PA      | $40733.39     | 0.05%             | 2042-09-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 5 Year Note                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -53 | NC      | $-52237.70    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1210000 | PA      | $1584280.60   | 1.91%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2006-HYB3, Class 3A1B                                      | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1574 | PA      | $1466.87      | 0.00%             | 2036-05-20      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $560151.45    | 0.67%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                  | Bear Stearns ARM Trust, Series 2004-10, Class 13A1                                                 | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1860 | PA      | $1822.35      | 0.00%             | 2035-01-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1                                 | CUSIP: 31395M2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7255 | PA      | $7009.67      | 0.01%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Alliance Bancorp Trust                                                  | Alliance Bancorp Trust, Series 2007-OA1, Class A1                                                  | CUSIP: 01852TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18586 | PA      | $16554.94     | 0.02%             | 2037-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                    | FHLB                                                                                               | CUSIP: 313385HP4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |   1100000 | PA      | $1100000.00   | 1.32%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                         | Eurosail-UK plc, Series 2007-3X, Class A3C                                                         | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |      4822 | PA      | $6608.98      | 0.01%             | 2045-06-13      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1610.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                  | Bear Stearns ARM Trust, Series 2005-9, Class A1                                                    | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3153 | PA      | $2984.85      | 0.00%             | 2035-10-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2006-6, Class A4                                           | CUSIP: 126694K64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9884 | PA      | $4771.54      | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                          | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2537 | PA      | $2484.65      | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2610000 | PA      | $3070194.70   | 3.70%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC                                                                                              | CUSIP: 313397HQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | STIV             | USGA              | US        |  19000000 | PA      | $18997877.70  | 22.88%            | 2025-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $93871.25     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                      | Renaissance Home Equity Loan Trust, Series 2002-3, Class A                                         | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1396 | PA      | $1305.77      | 0.00%             | 2032-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust, Series 5, Class A                                                          | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183 | PA      | $180.03       | 0.00%             | 2026-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                          | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M2                            | CUSIP: 52519SAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30228 | PA      | $28100.84     | 0.03%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3401.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-2977.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -3700000 | PA      | $-26139.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     30000 | PA      | $200.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-6005.83     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 3A                           | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7254 | PA      | $6562.81      | 0.01%             | 2046-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-5, Class 1A1D | CUSIP: 68383NCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90007 | PA      | $88755.96     | 0.11%             | 2035-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $6818.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                           | UMBS, 30 Year, Single Family                                                                       | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1829390.58   | 2.20%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust, Series 2005-A5, Class A3                                   | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15019 | PA      | $9086.79      | 0.01%             | 2035-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                           | Banc of America Funding Trust, Series 2006-J, Class 4A1                                            | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1886 | PA      | $1640.10      | 0.00%             | 2047-01-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Palmer Square European Loan Funding DAC                                 | Palmer Square European Loan Funding DAC, Series 2023-3A, Class AR                                  | CUSIP: N/A<br>LEI: 54930004WJL9ZPQZOM50       | Long             | ABS-CBDO         | CORP              | IE        |    311546 | PA      | $367083.45    | 0.44%             | 2033-05-15      | Floating      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1993526.25   | 2.40%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $2676716.34   | 3.22%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140N16S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84493 | PA      | $78805.56     | 0.09%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     50000 | PA      | $-721.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Canada Government Bond                                                  | Canada Government Bond                                                                             | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    260516 | PA      | $201017.87    | 0.24%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2006-OA11, Class A1B                                                | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36221 | PA      | $35162.72     | 0.04%             | 2046-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    250000 | PA      | $33568.48     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust, Series 2005-13, Class 2A11                                         | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1686 | PA      | $734.63       | 0.00%             | 2036-02-19      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2006-5, Class 3A2                                                                     | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1532 | PA      | $1568.35      | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust, Series 2019-RPL2, Class A1                                    | CUSIP: 64830HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28237 | PA      | $27410.54     | 0.03%             | 2059-02-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                          | Banc of America Mortgage Trust, Series 2006-A, Class 2A1                                           | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2484 | PA      | $2294.90      | 0.00%             | 2036-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1920000 | PA      | $1911251.37   | 2.30%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1553030.69   | 1.87%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $394661.32    | 0.48%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                           | Citigroup Mortgage Loan Trust, Series 2007-AMC2, Class A3A                                         | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3026 | PA      | $2181.24      | 0.00%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR3, Class A1A                          | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1288 | PA      | $1175.13      | 0.00%             | 2046-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                          | OZLM XXIV Ltd., Series 2019-24A, Class A1AR                                                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    118527 | PA      | $118589.52    | 0.14%             | 2032-07-20      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A2                           | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       647 | PA      | $629.77       | 0.00%             | 2034-02-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust, Series 2007-20N, Class A1                                                         | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19776 | PA      | $21297.25     | 0.03%             | 2037-12-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-backed Certificates                                   | CWABS, Inc. Asset-backed Certificates, Series 2007-12, Class 1A1                                   | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-O            | CORP              | US        |      8427 | PA      | $8280.27      | 0.01%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1766.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $25077.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-657.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     20000 | PA      | $1291.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1520836.72   | 1.83%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration                             | United States Small Business Administration, Series 2008-20H, Class 1                              | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1607 | PA      | $1642.70      | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Mexican Udibonos                                                        | Mexican Udibonos                                                                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |    204049 | PA      | $10127.26     | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                            | Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE1, Class M4                            | CUSIP: 073879PU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309016 | PA      | $306706.37    | 0.37%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WSTN Trust                                                              | WSTN Trust, Series 2023-MAUI, Class A                                                              | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $405926.16    | 0.49%             | 2037-07-05      | Variable      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1                              | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3180 | PA      | $2274.32      | 0.00%             | 2035-08-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-10471.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A6A                                      | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39979 | PA      | $36889.43     | 0.04%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $6813.79      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1063.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                           | Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 2A1                                          | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2181 | PA      | $2193.26      | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                       | Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB3, Class M4                       | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21935 | PA      | $21164.84     | 0.03%             | 2035-06-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                                                | Regatta XVI Funding Ltd., Series 2019-2A, Class A1R                                                | CUSIP: 75888TAL9<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |    389430 | PA      | $389800.00    | 0.47%             | 2033-01-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-19, Class 2A1                          | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1151 | PA      | $1034.74      | 0.00%             | 2035-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| 37 Capital CLO 1 Ltd.                                                   | 37 Capital CLO 1 Ltd., Series 2021-1A, Class AR                                                    | CUSIP: 88430TAQ4<br>LEI: 549300GZ8MP9ZGVMJ424 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399780.40    | 0.48%             | 2034-10-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2017-H10, Class FB                                                                    | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29744 | PA      | $30170.73     | 0.04%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $92655.51     | 0.11%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust, Series 2004-12, Class 3A6                                                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1998 | PA      | $1880.01      | 0.00%             | 2034-12-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2023-H09, Class FA                                                                    | CUSIP: 38383XNS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359493 | PA      | $360356.30    | 0.43%             | 2073-04-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1858222.69   | 2.24%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1110000 | PA      | $45673.54     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $27844.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                           | Banc of America Funding Trust, Series 2006-J, Class 2A1                                            | CUSIP: 05951EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54193 | PA      | $46642.99     | 0.06%             | 2047-01-20      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $251934.52    | 0.30%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Australia 10 Year Bond                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |        13 | NC      | $7829.05      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $-9735.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $-54234.79    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1200000 | PA      | $129648.44    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    840000 | PA      | $688.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1111892 | PA      | $1112923.64   | 1.34%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1807.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust, Series 2007-A6, Class 2A1                                  | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       196 | PA      | $37.92        | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $4911.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2241.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-310.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2007-63, Class FC                                                                     | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        48 | PA      | $47.60        | 0.00%             | 2037-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3270000 | PA      | $4229668.05   | 5.09%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    860000 | PA      | $1154356.31   | 1.39%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury Ultra Bond                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        17 | NC      | $65439.01     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2004-63, Class FA                                                                     | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       100 | PA      | $98.24        | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1850000 | PA      | $2173810.94   | 2.62%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1590000 | PA      | $9401.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6897.34      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Schatz                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        31 | NC      | $-5808.45     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $67853.60     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 10 Year Ultra Note                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $38064.94     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-1862.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2495000 | PA      | $3003895.45   | 3.62%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                              | CSMC Mortgage-Backed Trust, Series 2007-6, Class A1                                                | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108135 | PA      | $62599.29     | 0.08%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | Countrywide Asset-Backed Certificates, Series 2006-19, Class 2A3                                   | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14398 | PA      | $14269.84     | 0.02%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust, Series 2005-AR1, Class 1A1                                                | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       688 | PA      | $652.51       | 0.00%             | 2035-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -3700000 | PA      | $-26139.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1059.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $1779.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2018-H15, Class FG                                                                    | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82360 | PA      | $82687.75     | 0.10%             | 2068-08-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $4127.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $-2537.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    610000 | PA      | $2601.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                          | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C                         | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152190 | PA      | $50749.37     | 0.06%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2005-A6, Class 7A1                                                | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1324 | PA      | $1171.45      | 0.00%             | 2035-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-OAT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -26 | NC      | $20989.96     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Madison Park Funding XXXIX Ltd.                                         | Madison Park Funding XXXIX Ltd., Series 2021-39A, Class AR                                         | CUSIP: 55821LAJ3<br>LEI: 254900K0MU6TXERK4I83 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399151.20    | 0.48%             | 2034-10-22      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $131.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1                                      | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2803 | PA      | $2633.57      | 0.00%             | 2045-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     80000 | PA      | $499.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-134.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FFCB                                                                    | FFCB                                                                                               | CUSIP: 313313LG1<br>LEI: N/A                  | Long             | STIV             | USGA              | US        |  16000000 | PA      | $15878320.00  | 19.12%            | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 1A1A                                     | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3179 | PA      | $2303.02      | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1060000 | PA      | $1169189.22   | 1.41%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2007-OA7, Class A1A                                                 | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |      2483 | PA      | $2281.64      | 0.00%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust, Series 2006-7, Class 1A1A                                                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19798 | PA      | $18735.52     | 0.02%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2007-A1, Class 1A1                                                | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       859 | PA      | $858.09       | 0.00%             | 2035-07-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2005-A6, Class 4A1                                                | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       184 | PA      | $171.95       | 0.00%             | 2035-09-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                   | BlueMountain CLO Ltd., Series 2016-3A, Class A1R2                                                  | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |    191071 | PA      | $191075.30    | 0.23%             | 2030-11-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7080.12     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya Euro CLO II DAC                                                    | Voya Euro CLO II DAC, Series 2A, Class AR                                                          | CUSIP: N/A<br>LEI: 635400URG3IUW6R6W254       | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $470116.08    | 0.57%             | 2035-07-15      | Floating      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| CIFC European Funding CLO III DAC                                       | CIFC European Funding CLO III DAC, Series 3A, Class A                                              | CUSIP: N/A<br>LEI: 5493000EF0244RPYUG32       | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $294487.79    | 0.35%             | 2034-01-15      | Floating      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| IndyMac INDB Mortgage Loan Trust                                        | IndyMac INDB Mortgage Loan Trust, Series 2006-1, Class A1                                          | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16727 | PA      | $4902.35      | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-1475.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $185031.11    | 0.22%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    520000 | PA      | $593609.61    | 0.71%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86811 | PA      | $79601.76     | 0.10%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A                                          | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1307 | PA      | $1243.15      | 0.00%             | 2035-06-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2007-1T1, Class 1A1                                                 | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95247 | PA      | $32391.31     | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $750393.18    | 0.90%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Ellington Loan Acquisition Trust                                        | Ellington Loan Acquisition Trust, Series 2007-1, Class A1                                          | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13130 | PA      | $12888.82     | 0.02%             | 2037-05-25      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust, Series 2006-8, Class 3A4                                                          | CUSIP: 52522HAM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9043 | PA      | $8835.67      | 0.01%             | 2036-06-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                            | Saxon Asset Securities Trust, Series 2007-3, Class 1A                                              | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23097 | PA      | $22202.36     | 0.03%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Buoni Poliennali del Tesoro                                             | Buoni Poliennali del Tesoro                                                                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    103481 | PA      | $121825.53    | 0.15%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust, Series 2006-RM4, Class A2A                                 | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       491 | PA      | $94.69        | 0.00%             | 2037-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1                                                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1707 | PA      | $1638.85      | 0.00%             | 2035-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $503.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $6986.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer