# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0002071691-26-005164
**Filing Date:** 2026-2
**Character Count:** 152214
**Document Hash:** d1c7814e27e173ef5dab168fe77e94d7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-005164.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0002071691-26-005164

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**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:** 26694198

**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:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $181634237.40

**Total Liabilities:** $96105386.59

**Net Assets:** $85528850.81

**Cash Not Reported:** $244465.10

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3925.64000000 | **1-Year:** 1.57000000 | **5-Year:** 277.27000000 | **10-Year:** 1721.35000000 | **30-Year:** 6843.83000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 40.45000000 | **10-Year:** 499.93000000 | **30-Year:** 33.05000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203172 | 0.36%                | 0.27%                | -0.35%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $65631.40                | $-125511.64                                |
| Month 2  | $-32678.01               | $26618.68                                  |
| Month 3  | $-87144.84               | $-509438.61                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    250000 | PA      | $54165.98     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 115850000 | PA      | $34047.90     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  40000000 | PA      | $5568.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $151366.28    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1200000 | PA      | $181501.18    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $25404.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $9016.12      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $7827.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $8287.44      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $81393.64     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-20233.47    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $7778.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    900000 | PA      | $-65601.77    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3747.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $33489.40     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $120216.68    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $1748.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     20000 | PA      | $1777.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     90000 | PA      | $-5187.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    160000 | PA      | $5998.76      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-3177.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-10154.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    300000 | PA      | $26890.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    200000 | PA      | $18016.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $9029.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $4664.71      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $9038.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -3700000 | PA      | $-24258.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -3700000 | PA      | $-24258.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $-1650.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-1651.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-1211.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $-1579.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $1222.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $49437.28     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1150000 | PA      | $-4183.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    350000 | PA      | $-1286.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     50000 | PA      | $570.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $2152.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $5777.04      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $4056.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $-20861.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $-20736.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    850000 | PA      | $-15772.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $-22336.21    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $2512.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    260000 | PA      | $19213.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    270000 | PA      | $19839.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $13330.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $13328.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $5187.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     88000 | PA      | $7119.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    142000 | PA      | $11100.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-4087.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-1828.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $1549.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $641.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    231400 | PA      | $885.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    231800 | PA      | $1061.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    195300 | PA      | $935.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $643.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $594.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $291.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $706.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $3635.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $520.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $29.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-249.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    202900 | PA      | $1621.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $-409.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-7.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    111000 | PA      | $118.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    144000 | PA      | $-250.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    264000 | PA      | $-25.53       | -0.00%            |  |  |  | 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        |     18202 | PA      | $16258.32     | 0.02%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                           | UMBS, 30 Year, Single Family                                                                       | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2342437.44   | 2.74%             | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                           | UMBS, 30 Year, Single Family                                                                       | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1848234.42   | 2.16%             | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                           | UMBS, 30 Year, Single Family                                                                       | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1870453.08   | 2.19%             | 2056-01-25      | Fixed         | 6.50%                 | 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        |     35194 | PA      | $34755.75     | 0.04%             | 2046-09-25      | Floating      | 4.23%                 | 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        |     23384 | PA      | $19501.11     | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |     12790 | PA      | $11614.47     | 0.01%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  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      | $400348.40    | 0.47%             | 2034-07-19      | Floating      | 5.12%                 | Yes           |                  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        |      1802 | PA      | $1720.02      | 0.00%             | 2036-02-20      | Variable      | 5.80%                 | 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        |       334 | PA      | $305.43       | 0.00%             | 2035-06-25      | Variable      | 5.32%                 | No            |                  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        |      2179 | PA      | $1999.16      | 0.00%             | 2036-02-25      | Variable      | 4.83%                 | 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        |     52494 | PA      | $45255.18     | 0.05%             | 2047-01-20      | Variable      | 4.39%                 | 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        |      1716 | PA      | $1484.43      | 0.00%             | 2047-01-20      | Variable      | 4.79%                 | No            |                  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      | $20150.00     | 0.02%             | 2028-03-15      | Variable      | 5.88%                 | 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        |      1680 | PA      | $1637.76      | 0.00%             | 2035-01-25      | Variable      | 5.03%                 | 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        |      5719 | PA      | $4661.74      | 0.01%             | 2036-03-25      | Variable      | 4.04%                 | 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        |     16702 | PA      | $8877.36      | 0.01%             | 2035-09-25      | Variable      | 4.79%                 | 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      | $312624.96    | 0.37%             | 2035-01-25      | Floating      | 5.21%                 | 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        |      2729 | PA      | $2504.63      | 0.00%             | 2035-03-25      | Variable      | 4.78%                 | 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        |      2939 | PA      | $2844.86      | 0.00%             | 2035-10-25      | Floating      | 6.42%                 | 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        |      2342 | PA      | $2006.03      | 0.00%             | 2036-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Beignet Investor LLC                                                    | Beignet Investor LLC                                                                               | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $443100.00    | 0.52%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  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        |     79471 | PA      | $79485.26     | 0.09%             | 2030-11-15      | Floating      | 5.05%                 | Yes           |                  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        |      1488 | PA      | $651.15       | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | 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        |     19294 | PA      | $18751.08     | 0.02%             | 2035-06-25      | Floating      | 3.49%                 | 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        |    127581 | PA      | $127792.56    | 0.15%             | 2037-10-25      | Floating      | 5.35%                 | Yes           |                  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        |    105388 | PA      | $60199.27     | 0.07%             | 2037-10-25      | Variable      | 6.42%                 | 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        |      3346 | PA      | $3040.03      | 0.00%             | 2036-10-26      | Variable      | 4.13%                 | Yes           |                  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        |     13115 | PA      | $13034.86     | 0.02%             | 2037-03-25      | Floating      | 4.35%                 | 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        |      2294 | PA      | $2132.00      | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | 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        |       617 | PA      | $536.44       | 0.00%             | 2035-12-25      | Floating      | 5.03%                 | 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        |      5898 | PA      | $4833.22      | 0.01%             | 2047-02-20      | Floating      | 4.03%                 | 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        |      1513 | PA      | $1412.63      | 0.00%             | 2036-05-20      | Variable      | 4.03%                 | 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        |       654 | PA      | $471.60       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | 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      | $4789.91      | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |      7661 | PA      | $7584.98      | 0.01%             | 2047-08-25      | Floating      | 4.59%                 | 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        |    121813 | PA      | $108266.94    | 0.13%             | 2035-05-25      | Floating      | 4.31%                 | 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        |     30636 | PA      | $13191.87     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |      1925 | PA      | $1954.61      | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | 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        |      2963 | PA      | $2154.27      | 0.00%             | 2037-01-25      | Floating      | 4.01%                 | 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        |      4575 | PA      | $4297.23      | 0.01%             | 2037-09-25      | Variable      | 4.46%                 | 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      | $-4677.23     | -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      | $2933.71      | 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      | $-2757.74     | -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      | $-27598.66    | -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      | $3935.45      | 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      | $686.08       | 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      | $1349.83      | 0.00%             |  |  |  | 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        |    490131 | PA      | $125476.25    | 0.15%             | 2037-02-25      | Floating      | 4.07%                 | 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        |      8200 | PA      | $2277.77      | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA                                                                                               | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1820078.20   | 2.13%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Canada Government Bond                                                  | Canada Government Bond                                                                             | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    263491 | PA      | $198111.29    | 0.23%             | 2026-12-01      | Fixed         | 4.25%                 | 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        |       119 | PA      | $99.46        | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | 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        |     11864 | PA      | $11730.66     | 0.01%             | 2037-05-25      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Federal Agricultural Mortgage Corp.                                     | Federal Agricultural Mortgage Corp.                                                                | CUSIP: 31315LRN0<br>LEI: 549300MS654K78GYF580 | Long             | STIV             | USGA              | US        |  15000000 | PA      | $14991153.00  | 17.53%            | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80954 | PA      | $79485.01     | 0.09%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1023875 | PA      | $1040512.69   | 1.22%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC, Series 278, Class F1                                                                        | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38098 | PA      | $37621.69     | 0.04%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                    | FHLB                                                                                               | CUSIP: 313385SB3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |  29000000 | PA      | $28946338.40  | 33.84%            | 2026-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLB                                                                    | FHLB                                                                                               | CUSIP: 313385YK6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |    900000 | PA      | $885037.50    | 1.03%             | 2026-06-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC                                                                                              | CUSIP: 313397SA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | STIV             | USGA              | US        |   1100000 | PA      | $1098087.65   | 1.28%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC                                                                                              | CUSIP: 313397SR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | STIV             | USGA              | US        |   2400000 | PA      | $2392234.08   | 2.80%             | 2026-02-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3133KNXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84110 | PA      | $74481.76     | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | 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        |       250 | PA      | $249.26       | 0.00%             | 2031-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA                                                                                               | CUSIP: 313589UK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | STIV             | USGA              | US        |   5000000 | PA      | $4963271.00   | 5.80%             | 2026-03-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2025-47, Class FJ                                                                     | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373992 | PA      | $376510.14    | 0.44%             | 2055-06-25      | Floating      | 4.90%                 | 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      | $93841.14     | 0.11%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC, Series 5584, Class DF                                                                       | CUSIP: 3137HNCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    962079 | PA      | $965710.37    | 1.13%             | 2055-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2003-W8, Class 3F2                                                                    | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       474 | PA      | $472.26       | 0.00%             | 2042-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2004-63, Class FA                                                                     | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $91.79        | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2006-5, Class 3A2                                                                     | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1279 | PA      | $1310.31      | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2006-30, Class KF                                                                     | CUSIP: 31395B6R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $150.00       | 0.00%             | 2036-05-25      | Floating      | 4.43%                 | 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        |     21172 | PA      | $19527.92     | 0.02%             | 2044-10-25      | Floating      | 5.23%                 | 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        |      6700 | PA      | $6531.35      | 0.01%             | 2045-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2007-63, Class FC                                                                     | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $41.41        | 0.00%             | 2037-07-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140MSLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834368 | PA      | $796104.70    | 0.93%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140N16S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80398 | PA      | $76711.21     | 0.09%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801130 | PA      | $709425.97    | 0.83%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82798 | PA      | $77620.93     | 0.09%             | 2048-02-01      | Fixed         | 3.50%                 | 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        |     60230 | PA      | $57596.41     | 0.07%             | 2036-11-25      | Floating      | 4.55%                 | 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        |      1483 | PA      | $1480.08      | 0.00%             | 2034-06-25      | Variable      | 5.69%                 | No            |                  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        |      2753 | PA      | $1815.90      | 0.00%             | 2035-08-25      | Variable      | 6.00%                 | No            |                  2 | 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        |     23048 | PA      | $20976.14     | 0.02%             | 2036-10-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA                                                                                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263182 | PA      | $241992.54    | 0.28%             | 2052-11-20      | Fixed         | 3.50%                 | 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        |      2435 | PA      | $1113.86      | 0.00%             | 2036-12-25      | Floating      | 3.92%                 | 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        |       735 | PA      | $706.42       | 0.00%             | 2035-07-25      | Variable      | 5.00%                 | 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        |      1396 | PA      | $1336.49      | 0.00%             | 2035-09-25      | Variable      | 4.95%                 | 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        |      1719 | PA      | $1611.97      | 0.00%             | 2034-12-25      | Variable      | 5.22%                 | 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        |       661 | PA      | $630.34       | 0.00%             | 2035-01-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2017-H10, Class FB                                                                    | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21742 | PA      | $21999.65     | 0.03%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2018-H15, Class FG                                                                    | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80219 | PA      | $80711.73     | 0.09%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2025-159, Class FJ                                                                    | CUSIP: 38381U6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    890628 | PA      | $894124.84    | 1.05%             | 2055-09-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2023-H19, Class FA                                                                    | CUSIP: 38383KCS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1154282 | PA      | $1163976.03   | 1.36%             | 2073-08-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2023-H09, Class FA                                                                    | CUSIP: 38383XNS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437693 | PA      | $439194.42    | 0.51%             | 2073-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2023-H15, Class FB                                                                    | CUSIP: 38384AV59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397354 | PA      | $400663.87    | 0.47%             | 2073-03-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2025-H22, Class F                                                                     | CUSIP: 38384LA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897783 | PA      | $900688.28    | 1.05%             | 2075-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2025-H19, Class DF                                                                    | CUSIP: 38384LXG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    899130 | PA      | $902159.76    | 1.05%             | 2075-09-20      | Floating      | 4.72%                 | 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        |      1641 | PA      | $1479.12      | 0.00%             | 2045-06-25      | Floating      | 4.29%                 | 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        |      2767 | PA      | $2664.24      | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | 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        |     37182 | PA      | $35046.84     | 0.04%             | 2046-09-25      | Floating      | 4.21%                 | 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        |       661 | PA      | $644.12       | 0.00%             | 2035-05-19      | Floating      | 4.29%                 | 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        |      1262 | PA      | $1190.52      | 0.00%             | 2035-06-20      | Floating      | 4.53%                 | 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        |      1633 | PA      | $672.78       | 0.00%             | 2036-02-19      | Floating      | 4.41%                 | 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        |     14919 | PA      | $8797.88      | 0.01%             | 2035-05-25      | Floating      | 4.25%                 | 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        |      3113 | PA      | $2275.41      | 0.00%             | 2035-07-25      | Floating      | 4.41%                 | 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        |       546 | PA      | $640.66       | 0.00%             | 2035-11-25      | Variable      | 5.05%                 | 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        |       174 | PA      | $165.06       | 0.00%             | 2034-05-25      | Floating      | 4.63%                 | 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        |      1057 | PA      | $998.93       | 0.00%             | 2034-12-25      | Variable      | 4.37%                 | 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        |       786 | PA      | $765.32       | 0.00%             | 2035-02-25      | Variable      | 5.55%                 | 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        |      1293 | PA      | $1231.08      | 0.00%             | 2035-08-25      | Variable      | 6.02%                 | 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        |       181 | PA      | $170.67       | 0.00%             | 2035-09-25      | Variable      | 5.19%                 | 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        |      1298 | PA      | $1150.63      | 0.00%             | 2035-08-25      | Variable      | 5.10%                 | 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        |     45038 | PA      | $42950.74     | 0.05%             | 2036-03-25      | Floating      | 4.31%                 | 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        |     19504 | PA      | $17678.79     | 0.02%             | 2036-12-25      | Floating      | 4.31%                 | 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        |       384 | PA      | $383.30       | 0.00%             | 2035-07-25      | Variable      | 6.23%                 | No            |                  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        |      1706 | PA      | $1636.42      | 0.00%             | 2035-07-25      | Variable      | 5.19%                 | 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        |      5979 | PA      | $5569.43      | 0.01%             | 2037-07-27      | Variable      | 4.05%                 | Yes           |                  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      | $399396.00    | 0.47%             | 2035-07-25      | Floating      | 5.13%                 | Yes           |                  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        |     94547 | PA      | $31331.65     | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |      8442 | PA      | $2407.44      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | 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        |    150190 | PA      | $49768.51     | 0.06%             | 2036-07-25      | Floating      | 4.17%                 | 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      | $28640.62     | 0.03%             | 2040-04-15      | Variable      | 7.17%                 | 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        |     19352 | PA      | $18585.87     | 0.02%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  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        |      8489 | PA      | $8377.53      | 0.01%             | 2036-06-25      | Variable      | 4.38%                 | 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        |     18609 | PA      | $20575.77     | 0.02%             | 2037-12-25      | Floating      | 6.15%                 | No            |                  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        |       303 | PA      | $96.26        | 0.00%             | 2036-11-25      | Floating      | 3.90%                 | No            |                  2 | 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      | $398904.00    | 0.47%             | 2034-10-22      | Floating      | 5.11%                 | 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        |       903 | PA      | $896.43       | 0.00%             | 2034-11-21      | Variable      | 5.63%                 | 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        |       440 | PA      | $431.50       | 0.00%             | 2030-12-15      | Floating      | 4.30%                 | 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        |       415 | PA      | $403.36       | 0.00%             | 2031-11-15      | Floating      | 4.56%                 | 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      | $469393.21    | 0.55%             | 2035-07-15      | Floating      | 2.97%                 | Yes           |                  2 | 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        |      2579 | PA      | $2513.91      | 0.00%             | 2036-06-25      | Variable      | 5.78%                 | 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        |     24576 | PA      | $24019.33     | 0.03%             | 2059-02-25      | Variable      | 3.25%                 | Yes           |                  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        |    108436 | PA      | $105132.37    | 0.12%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  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        |     65365 | PA      | $65365.21     | 0.08%             | 2032-07-20      | Floating      | 5.31%                 | Yes           |                  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        |     83015 | PA      | $82426.77     | 0.10%             | 2035-12-25      | Floating      | 4.61%                 | No            |                  2 | 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        |     34023 | PA      | $33811.96     | 0.04%             | 2034-10-25      | Floating      | 4.90%                 | 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        |      4988 | PA      | $4914.21      | 0.01%             | 2035-09-25      | Floating      | 4.58%                 | 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        |     25304 | PA      | $20089.83     | 0.02%             | 2037-10-25      | Variable      | 5.01%                 | 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        |    345990 | PA      | $346537.75    | 0.41%             | 2033-01-15      | Floating      | 5.10%                 | Yes           |                  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        |      1352 | PA      | $1268.98      | 0.00%             | 2032-12-25      | Floating      | 4.61%                 | 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        |      1210 | PA      | $833.43       | 0.00%             | 2035-08-25      | Floating      | 4.15%                 | 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      | $35.88        | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | 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        |      3528 | PA      | $2799.45      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  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        |     16456 | PA      | $4892.82      | 0.01%             | 2036-07-25      | Floating      | 3.99%                 | 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        |      1571 | PA      | $421.20       | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | Yes           |                  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        |      9662 | PA      | $1945.16      | 0.00%             | 2036-12-25      | Floating      | 3.97%                 | 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        |    124768 | PA      | $22792.14     | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  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        |       488 | PA      | $93.43        | 0.00%             | 2037-09-25      | Floating      | 4.01%                 | 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        |     20599 | PA      | $19985.83     | 0.02%             | 2037-09-25      | Floating      | 4.16%                 | 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        |       170 | PA      | $168.29       | 0.00%             | 2026-10-19      | Floating      | 4.55%                 | 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        |      4208 | PA      | $3643.90      | 0.00%             | 2036-07-20      | Floating      | 4.25%                 | 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        |      1241 | PA      | $1261.97      | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  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        |      1091 | PA      | $1013.35      | 0.00%             | 2035-01-25      | Floating      | 5.43%                 | 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        |      1011 | PA      | $872.79       | 0.00%             | 2035-08-25      | Variable      | 4.47%                 | No            |                  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        |       614 | PA      | $593.27       | 0.00%             | 2034-02-25      | Variable      | 6.30%                 | 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        |       383 | PA      | $371.01       | 0.00%             | 2034-10-19      | Floating      | 4.51%                 | 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        |      1003 | PA      | $975.06       | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | 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        |       489 | PA      | $488.55       | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | 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        |      2095 | PA      | $2075.80      | 0.00%             | 2035-07-19      | Floating      | 4.35%                 | 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        |      1620 | PA      | $1486.25      | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | 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        |       414 | PA      | $412.56       | 0.00%             | 2036-06-25      | Floating      | 4.23%                 | 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      | $399990.40    | 0.47%             | 2034-10-15      | Floating      | 5.18%                 | Yes           |                  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        |     10788 | PA      | $10985.02     | 0.01%             | 2058-05-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $2747005.43   | 3.21%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  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      | $1262100.58   | 1.48%             | 2029-04-15      | Fixed         | 3.88%                 | 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      | $32555.42     | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | 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      | $2568833.48   | 3.00%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $1049515.79   | 1.23%             | 2029-01-15      | Fixed         | 2.50%                 | 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      | $851901.03    | 1.00%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  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      | $349867.42    | 0.41%             | 2041-02-15      | Fixed         | 2.12%                 | 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      | $1191299.47   | 1.39%             | 2042-02-15      | Fixed         | 0.75%                 | 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      | $570641.53    | 0.67%             | 2043-02-15      | Fixed         | 0.62%                 | 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      | $1781869.93   | 2.08%             | 2044-02-15      | Fixed         | 1.38%                 | 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      | $1939761.12   | 2.27%             | 2045-02-15      | Fixed         | 0.75%                 | 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      | $1526308.73   | 1.78%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1210000 | PA      | $1179819.51   | 1.38%             | 2047-02-15      | Fixed         | 0.88%                 | 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      | $512663.06    | 0.60%             | 2048-02-15      | Fixed         | 1.00%                 | 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      | $93366.58     | 0.11%             | 2049-02-15      | Fixed         | 1.00%                 | 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      | $401817.36    | 0.47%             | 2050-02-15      | Fixed         | 0.25%                 | 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      | $446877.23    | 0.52%             | 2051-02-15      | Fixed         | 0.12%                 | 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      | $185971.20    | 0.22%             | 2052-02-15      | Fixed         | 0.12%                 | 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      | $513721.19    | 0.60%             | 2053-02-15      | Fixed         | 1.50%                 | 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      | $669320.75    | 0.78%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1079958.72   | 1.26%             | 2055-02-15      | Fixed         | 2.38%                 | 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      | $4302798.64   | 5.03%             | 2027-07-15      | Fixed         | 0.38%                 | 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      | $4877210.02   | 5.70%             | 2028-01-15      | Fixed         | 0.50%                 | 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      | $762367.42    | 0.89%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1695000 | PA      | $2080319.15   | 2.43%             | 2029-07-15      | Fixed         | 0.25%                 | 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      | $256609.43    | 0.30%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1210000 | PA      | $1610991.96   | 1.88%             | 2027-01-15      | Fixed         | 0.38%                 | 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      | $2577690.12   | 3.01%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1910000 | PA      | $2294459.17   | 2.68%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1619617.87   | 1.89%             | 2030-07-15      | 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      | $606957.28    | 0.71%             | 2031-01-15      | Fixed         | 0.12%                 | 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      | $1846690.15   | 2.16%             | 2026-04-15      | Fixed         | 0.12%                 | 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      | $9048987.19   | 10.58%            | 2031-07-15      | Fixed         | 0.12%                 | 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      | $1416580.91   | 1.66%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  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      | $2041165.00   | 2.39%             | 2032-01-15      | Fixed         | 0.12%                 | 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      | $452924.01    | 0.53%             | 2027-04-15      | Fixed         | 0.12%                 | 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      | $7053249.58   | 8.25%             | 2032-07-15      | Fixed         | 0.62%                 | 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      | $3212102.51   | 3.76%             | 2027-10-15      | Fixed         | 1.62%                 | 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      | $2730877.50   | 3.19%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1838499.38   | 2.15%             | 2028-04-15      | Fixed         | 1.25%                 | 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      | $3139188.24   | 3.67%             | 2033-07-15      | Fixed         | 1.38%                 | 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      | $1533376.20   | 1.79%             | 2028-10-15      | Fixed         | 2.38%                 | 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      | $1581952.59   | 1.85%             | 2034-01-15      | Fixed         | 1.75%                 | 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      | $1613506.91   | 1.89%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  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      | $3339472.43   | 3.90%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2928606.12   | 3.42%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3680414.62   | 4.30%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1954609.46   | 2.29%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3038447.40   | 3.55%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1290037.02   | 1.51%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                              | VMware LLC                                                                                         | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9998.84      | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | 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        |       125 | PA      | $121.53       | 0.00%             | 2042-11-25      | Floating      | 5.23%                 | No            |                  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        |       496 | PA      | $459.84       | 0.00%             | 2035-12-25      | Variable      | 4.70%                 | 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        |      1259 | PA      | $1165.44      | 0.00%             | 2046-02-25      | Floating      | 5.03%                 | 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      | $407559.40    | 0.48%             | 2037-07-05      | Variable      | 6.30%                 | Yes           |                  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        |      7146 | PA      | $6621.16      | 0.01%             | 2046-07-25      | Floating      | 5.08%                 | 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        |      3206 | PA      | $2863.82      | 0.00%             | 2047-05-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Australian Dollar                                                       | Australian Dollar                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |     26375 | OU      | $17601.66     | 0.02%             |  |  |  | No            |                  1 | 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        |      7683 | PA      | $10348.60     | 0.01%             | 2045-06-13      | Floating      | 4.80%                 | Yes           |                  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        |      3413 | PA      | $4597.45      | 0.01%             | 2045-06-13      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Bond                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 121649370 | PA      | $790080.59    | 0.92%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Japan Government Bond                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 100486340 | PA      | $651942.72    | 0.76%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  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      | $293927.80    | 0.34%             | 2034-01-15      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    122742 | PA      | $143702.01    | 0.17%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    122932 | PA      | $136715.83    | 0.16%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    241404 | PA      | $228226.28    | 0.27%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Bond                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  94745700 | PA      | $592696.29    | 0.69%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Canadian Dollar                                                         | Canadian Dollar                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |     19054 | OU      | $13882.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chinese Renminbi (Yuan)                                                 | Chinese Renminbi (Yuan)                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CN        |      9641 | OU      | $1379.59      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-Schatz                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        31 | NC      | $-5319.18     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                                    | EURO                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |     25369 | OU      | $29813.14     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 5 Year Note                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -39 | NC      | $6351.23      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| British Pound                                                           | British Pound                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | GB        |     58455 | OU      | $78793.89     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Hungarian Forint                                                        | Hungarian Forint                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | HU        |    130931 | OU      | $400.36       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-BTP                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        10 | NC      | $-2884.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Japan 10 Year Bond                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -1 | NC      | $5484.93      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Japanese Yen                                                            | Japanese Yen                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | JP        |   1072021 | OU      | $6843.85      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New Mexican Pesos                                                       | New Mexican Pesos                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |    499636 | OU      | $27745.97     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| New Zealand Dollar                                                      | New Zealand Dollar                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NZ        |     23885 | OU      | $13751.85     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-OAT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -27 | NC      | $14552.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-Bobl                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         3 | NC      | $-2889.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-Bund                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -5 | NC      | $10224.58     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Singapore Dollar                                                        | Singapore Dollar                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SG        |       928 | OU      | $721.95       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 2 Year Note                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -22 | NC      | $-2948.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 10 Year Note                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        33 | NC      | $-6488.56     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | U.S. Treasury Long Bond                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -28 | NC      | $16586.36     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 10 Year Ultra Note                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         9 | NC      | $-7251.27     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Buoni Poliennali del Tesoro                                             | Buoni Poliennali del Tesoro                                                                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    104192 | PA      | $122177.40    | 0.14%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  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        |    636662 | PA      | $273407.44    | 0.32%             | 2036-10-25      | Floating      | 4.07%                 | 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        |      9185 | PA      | $3214.87      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury Ultra Bond                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        27 | NC      | $-28751.48    | -0.03%            |  |  |  | No            |                  1 | 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      | $470754.09    | 0.55%             | 2037-11-15      | Floating      | 3.21%                 | Yes           |                  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        |    172393 | PA      | $202623.78    | 0.24%             | 2033-05-15      | Floating      | 3.03%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer