# EDGAR Filing Document

**Accession Number:** 0001027263
**File Stem:** 0001752724-23-048895
**Filing Date:** 2023-3
**Character Count:** 170646
**Document Hash:** 66e9d955b579a4ecea38161470f5f16d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-048895.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-048895

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EQ ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0001027263
- **IRS NUMBER:** 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:** 23690535

**BUSINESS ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104
- **BUSINESS PHONE:** 212-554-1234

**MAIL ADDRESS:**
- **STREET 1:** 1290 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10104

**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:** 1290 Avenue of the Americas

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10104

  - **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:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $162497781.52

**Total Liabilities:** $80515261.77

**Net Assets:** $81982519.75

**Cash Not Reported:** $178267.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 235.08000000 | **1-Year:** 1718.39000000 | **5-Year:** 923.00000000 | **10-Year:** 1144.11000000 | **30-Year:** 2025.06000000

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

- **3-Month:** 10.99000000 | **1-Year:** 1.04000000 | **5-Year:** 0.06000000 | **10-Year:** 727.76000000 | **30-Year:** 171.25000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203172 | 1.24%                | 1.24%                | -0.24%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-75201.82               | $1109909.67                                |
| Month 2  | $-15074.73               | $1744050.59                                |
| Month 3  | $10372.64                | $-529076.66                                |

**Designated Index Information**

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

- **Index Identifier:** LEH_TIPS

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $4024066.82   | 4.91%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $30158.85     | 0.04%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                | Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1                                                | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21429 | PA      | $13195.90     | 0.02%             | 2035-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Ares European CLO VI DAC                                                | Ares European CLO VI DAC, Series 2013-6A, Class ARR                                                | CUSIP: N/A<br>LEI: 635400IKZCKH2JKELA27       | Long             | ABS-CBDO         | CORP              | IE        |    494180 | PA      | $513412.82    | 0.63%             | 2030-04-15      | Floating      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| New Zealand Government Inflation Linked Bond                            | New Zealand Government Bond                                                                        | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    161174 | PA      | $101649.48    | 0.12%             | 2025-09-20      | Fixed         | 2.00%                 | Yes           |                  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        |      2642 | PA      | $2448.03      | 0.00%             | 2034-06-25      | Variable      | 4.54%                 | 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        |      2004 | PA      | $1835.40      | 0.00%             | 2035-07-25      | Variable      | 3.65%                 | 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        |      3450 | PA      | $3135.02      | 0.00%             | 2045-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $22103.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Schatz                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -52 | NC      | $69014.49     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-770.05      | -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      | $377.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                             | RFMSI Trust, Series 2007-S6, Class 1A10                                                            | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4058 | PA      | $3008.39      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1620000 | PA      | $1922443.17   | 2.34%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | FCPIX                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $9771.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-27650.78    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $7573.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1788844.02   | 2.18%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                        | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                       | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1160 | PA      | $1080.74      | 0.00%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6430000 | PA      | $6320057.21   | 7.71%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -1400000 | PA      | $-4693.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5077.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  20889200 | PA      | $164863.82    | 0.20%             | 2031-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3160000 | PA      | $3595399.59   | 4.39%             | 2028-01-15      | Fixed         | 0.50%                 | 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        |      3294 | PA      | $2870.99      | 0.00%             | 2036-07-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO II Ltd.                                     | Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2                                   | CUSIP: 08179XAW5<br>LEI: 549300PVYNJC7QL0GC48 | Long             | ABS-CBDO         | CORP              | KY        |    267266 | PA      | $264818.11    | 0.32%             | 2029-07-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $2433.26      | 0.00%             |  |  |  | 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        |       161 | PA      | $136.22       | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5448.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2210000 | PA      | $2797257.33   | 3.41%             | 2023-07-15      | 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        |   3210000 | PA      | $3634922.82   | 4.43%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $28623.34     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3222.27      | 0.00%             |  |  |  | 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        |     31468 | PA      | $27256.19     | 0.03%             | 2037-10-25      | Variable      | 2.64%                 | 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        |      8972 | PA      | $2575.25      | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-20560.37    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3469713.37   | 4.23%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                                 | Kingdom of Saudi Arabia                                                                            | CUSIP: N/A<br>LEI: 635400FMICXSM3SI3H65       | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $197500.00    | 0.24%             | 2025-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Bund                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -1 | NC      | $-6112.27     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99070 | PA      | $95647.75     | 0.12%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4216.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                           | Banc of America Funding Trust, Series 2006-A, Class 1A1                                            | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2861 | PA      | $2657.86      | 0.00%             | 2036-02-20      | Variable      | 3.96%                 | 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        |       781 | PA      | $580.89       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-1445.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -400000 | PA      | $-0.09        | -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      | $-40138.73    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2644849.81   | 3.23%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FFCB                                                                    | FFCB                                                                                               | CUSIP: 3133EN5D8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |  13000000 | PA      | $12987783.90  | 15.84%            | 2023-12-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    250000 | PA      | $126716.41    | 0.15%             |  |  |  | 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        |     30731 | PA      | $25427.37     | 0.03%             | 2036-10-25      | Floating      | 4.52%                 | 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        |      1176 | PA      | $1114.14      | 0.00%             | 2031-11-15      | Floating      | 5.02%                 | 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        |       834 | PA      | $739.01       | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | 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      | $4440.38      | 0.01%             |  |  |  | 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        |       771 | PA      | $734.63       | 0.00%             | 2036-06-25      | Floating      | 4.77%                 | 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      | $-4103.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2003-W8, Class 3F2                                                                    | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $786.73       | 0.00%             | 2042-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1670000 | PA      | $1785960.00   | 2.18%             | 2046-02-15      | Fixed         | 1.00%                 | 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      | $1205100.59   | 1.47%             | 2029-04-15      | Fixed         | 3.88%                 | 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        |    200000 | PA      | $187310.08    | 0.23%             | 2037-10-25      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                           | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A1                             | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       328 | PA      | $109.90       | 0.00%             | 2036-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $69249.11     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -300000 | PA      | $-9728.27     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    114893 | PA      | $121774.01    | 0.15%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-6001.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                                        | Barings CLO Ltd., Series 2013-IA, Class AR                                                         | CUSIP: 06760EAA4<br>LEI: 54930079SUKCXYW8DR07 | Long             | ABS-CBDO         | CORP              | KY        |    197515 | PA      | $196054.79    | 0.24%             | 2028-01-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust, Series 2007-A1, Class 3A3                                                | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2870 | PA      | $2648.76      | 0.00%             | 2035-07-25      | Variable      | 3.35%                 | 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        |    124134 | PA      | $30715.89     | 0.04%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $26987.07     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                           | UniCredit SpA                                                                                      | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    350000 | PA      | $353376.80    | 0.43%             | 2023-12-04      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $492247.53    | 0.60%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                              | CSMC Trust, Series 2007-4R, Class 1A1                                                              | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4430 | PA      | $3774.70      | 0.00%             | 2036-10-26      | Variable      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-50503.03    | -0.06%            |  |  |  | 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      | $345806.43    | 0.42%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Alternative Loan Trust                                        | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1                                        | CUSIP: 46627MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125991 | PA      | $117188.75    | 0.14%             | 2036-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $2046.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7180000 | PA      | $8530517.21   | 10.41%            | 2023-04-15      | Fixed         | 0.62%                 | 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        |       856 | PA      | $691.83       | 0.00%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                         | NovaStar Mortgage Funding Trust, Series 2005-3, Class M2                                           | CUSIP: 66987XGY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26055 | PA      | $25335.18     | 0.03%             | 2036-01-25      | Floating      | 5.09%                 | 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      | $-2678.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| C-BASS TRUST                                                            | C-Bass Trust, Series 2006-CB9, Class A1                                                            | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1668 | PA      | $760.77       | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     20000 | PA      | $-2318.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-14847.62    | -0.02%            |  |  |  | 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        |      8391 | PA      | $3205.17      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                     | New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1                                    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202867 | PA      | $188646.62    | 0.23%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                   | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-7XS, Class 2A1A                 | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2820 | PA      | $2689.26      | 0.00%             | 2035-04-25      | Floating      | 5.62%                 | 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        |     31022 | PA      | $26234.28     | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA                                                                                               | CUSIP: 313588AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | STIV             | USGA              | US        |   4400000 | PA      | $4392751.88   | 5.36%             | 2023-01-17      | None          | 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      | $8691.99      | 0.01%             |  |  |  | No            |                  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        |      4019 | PA      | $3819.50      | 0.00%             | 2036-06-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2120.10     | -0.00%            |  |  |  | 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        |     92323 | PA      | $86331.85     | 0.11%             | 2036-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-524.52      | -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      | $-2534.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Government Inflation Linked Bond                            | New Zealand Government Bond                                                                        | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |    639080 | PA      | $424240.18    | 0.52%             | 2030-09-20      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-144014.77   | -0.18%            |  |  |  | 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        |       256 | PA      | $226.58       | 0.00%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $504.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -800000 | PA      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-190327.62   | -0.23%            |  |  |  | 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        |      1018 | PA      | $961.06       | 0.00%             | 2035-11-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                       | Buoni Poliennali del Tesoro                                                                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    116674 | PA      | $109334.46    | 0.13%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK plc                                                         | Eurosail-UK plc, Series 2007-3X, Class A3A                                                         | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     28092 | PA      | $33574.95     | 0.04%             | 2045-06-13      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Bund                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -1 | NC      | $-10.70       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                                   | Bank of America Corp., Series FF                                                                   | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17538.20     | 0.02%             | 2028-03-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Securities 32 plc                                  | Residential Mortgage Securities 32 plc, Series 32A, Class A                                        | CUSIP: N/A<br>LEI: 54930041T52UP3IPLN03       | Long             | ABS-MBS          | CORP              | GB        |     65767 | PA      | $78992.59     | 0.10%             | 2070-06-20      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     80000 | PA      | $-13611.81    | -0.02%            |  |  |  | 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        |    529833 | PA      | $160120.34    | 0.20%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR10, Class 3A1                         | CUSIP: 92922FW87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       351 | PA      | $306.20       | 0.00%             | 2035-08-25      | Variable      | 2.81%                 | 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      | $538856.54    | 0.66%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| LCM XXV Ltd.                                                            | LCM XXV Ltd., Series 25A, Class AR                                                                 | CUSIP: 50189PAY8<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |    296787 | PA      | $290829.86    | 0.35%             | 2030-07-20      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2050.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1800000 | PA      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14300000 | PA      | $-2994.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -400000 | PA      | $-0.05        | -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      | $-150.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2006-OA19, Class A1                                                 | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7584 | PA      | $5712.63      | 0.01%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd.                                                      | Wellfleet CLO Ltd., Series 2016-1A, Class AR                                                       | CUSIP: 94949RAS6<br>LEI: 254900N8RLNFSYP97206 | Long             | ABS-CBDO         | CORP              | KY        |    358044 | PA      | $354709.02    | 0.43%             | 2028-04-20      | Floating      | 5.15%                 | Yes           |                  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        |     27679 | PA      | $24183.89     | 0.03%             | 2036-12-25      | Floating      | 4.85%                 | 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        |      3117 | PA      | $2662.97      | 0.00%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2006-30, Class KF                                                                     | CUSIP: 31395B6R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $178.88       | 0.00%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CVC Cordatus Loan Fund III DAC                                          | CVC Cordatus Loan Fund III DAC, Series 3A, Class A1RR                                              | CUSIP: N/A<br>LEI: 213800XV458LVR3TU384       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $520135.94    | 0.63%             | 2032-08-15      | Floating      | 2.58%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-21935.83    | -0.03%            |  |  |  | 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        |      1368 | PA      | $1288.18      | 0.00%             | 2034-12-25      | Variable      | 3.84%                 | 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      | $192.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLB                                                                    | FHLB                                                                                               | CUSIP: 313384BZ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |   1600000 | PA      | $1591422.24   | 1.94%             | 2023-02-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-19360.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5784.71      | 0.01%             |  |  |  | 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      | $1226008.60   | 1.50%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                           | Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA                                          | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6487 | PA      | $5549.36      | 0.01%             | 2037-09-25      | Variable      | 3.87%                 | 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        |      4337 | PA      | $4002.66      | 0.00%             | 2035-03-25      | Variable      | 3.37%                 | 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        |      1451 | PA      | $1274.20      | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund Ltd.                                             | Atlas Senior Loan Fund Ltd., Series 2017-8A, Class A                                               | CUSIP: 04943AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285700 | PA      | $281440.78    | 0.34%             | 2030-01-16      | Floating      | 5.23%                 | Yes           |                  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        |      1938 | PA      | $1778.95      | 0.00%             | 2035-08-25      | Variable      | 4.24%                 | 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        |      8842 | PA      | $7950.07      | 0.01%             | 2037-07-27      | Variable      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                              | UMBS                                                                                               | CUSIP: 3133KNXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99617 | PA      | $87779.79     | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 112201270 | PA      | $883816.18    | 1.08%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                   | United Mexican States                                                                              | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   1980000 | PA      | $93892.89     | 0.11%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 10 Year Note                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        24 | NC      | $-6407.88     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2162.22     | -0.00%            |  |  |  | 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        |     32027 | PA      | $31871.96     | 0.04%             | 2044-10-25      | Floating      | 3.25%                 | 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        |       722 | PA      | $672.04       | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    470000 | PA      | $680730.01    | 0.83%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2948.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5278.26      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                          | Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2A                         | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10368 | PA      | $2340.19      | 0.00%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1540000 | PA      | $1926711.30   | 2.35%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $22462.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140MSLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991873 | PA      | $932973.84    | 1.14%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                               | Towd Point Mortgage Trust, Series 2019-HY2, Class A1                                               | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25806 | PA      | $25564.09     | 0.03%             | 2058-05-25      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    860000 | PA      | $1291240.34   | 1.58%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    770000 | PA      | $1124935.24   | 1.37%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA4, Class 1A                           | CUSIP: 93364CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4034 | PA      | $3178.33      | 0.00%             | 2047-05-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    230000 | PA      | $5153.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140QMV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991645 | PA      | $874200.06    | 1.07%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2500000 | PA      | $3280.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                          | Banc of America Mortgage Trust, Series 2005-E, Class 2A1                                           | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       595 | PA      | $495.63       | 0.00%             | 2035-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                               | Commonwealth of Australia                                                                          | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    454740 | PA      | $326839.91    | 0.40%             | 2025-09-20      | Fixed         | 3.00%                 | Yes           |                  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        |     95751 | PA      | $92896.58     | 0.11%             | 2034-10-25      | Floating      | 5.44%                 | 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        |       217 | PA      | $196.21       | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3500000 | PA      | $0.02         | 0.00%             |  |  |  | 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        |     15821 | PA      | $14784.40     | 0.02%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $8162.71      | 0.01%             |  |  |  | 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        |    174285 | PA      | $139946.97    | 0.17%             | 2035-05-25      | Floating      | 4.85%                 | 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        |      8646 | PA      | $7358.81      | 0.01%             | 2036-07-20      | Floating      | 4.75%                 | 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        |     17670 | PA      | $15782.42     | 0.02%             | 2035-05-25      | Floating      | 4.87%                 | 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        |      1467 | PA      | $1100.58      | 0.00%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $3824.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-41445.04    | -0.05%            |  |  |  | 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      | $-4482.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $-232305.61   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2140000 | PA      | $2353679.65   | 2.87%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $591.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $15825.12     | 0.02%             |  |  |  | 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        |      1694 | PA      | $463.13       | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                         | Palmer Square Loan Funding Ltd., Series 2021-2A, Class A1                                          | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    202246 | PA      | $199672.24    | 0.24%             | 2029-05-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $100964.64    | 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      | $1227971.58   | 1.50%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $301898.32    | 0.37%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust, Series 2007-FM1, Class A2A                                                            | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2811 | PA      | $1214.60      | 0.00%             | 2036-12-25      | Floating      | 4.46%                 | 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        |      1214 | PA      | $1107.73      | 0.00%             | 2035-02-25      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                            | VMware, Inc.                                                                                       | CUSIP: 928563AC9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9354.36      | 0.01%             | 2027-08-21      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    860000 | PA      | $636343.18    | 0.78%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    115071 | PA      | $117893.33    | 0.14%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                   | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1518 | PA      | $1361.66      | 0.00%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $18125.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Short-Term Euro-BTP                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -9 | NC      | $16744.71     | 0.02%             |  |  |  | No            |                  1 | 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        |      1178 | PA      | $1061.31      | 0.00%             | 2035-12-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5371.11      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $5785.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    160000 | PA      | $-27279.12    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-29176.02    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                         | French Republic                                                                                    | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    225965 | PA      | $216583.89    | 0.26%             | 2038-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-9345.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1940000 | PA      | $2762861.61   | 3.37%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $431534.34    | 0.53%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1                                           | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31948 | PA      | $16047.07     | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC Structured Pass-Through Certificates, Series T-32, Class A1                                  | CUSIP: 3133TSQG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | CORP              | US        |       562 | PA      | $550.79       | 0.00%             | 2031-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $32561.58     | 0.04%             |  |  |  | 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        |      1416 | PA      | $1201.01      | 0.00%             | 2035-08-25      | Variable      | 3.68%                 | 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      | $-914.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                    | U.K. Treasury Inflation Linked Bonds                                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    254229 | PA      | $288727.80    | 0.35%             | 2041-08-10      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-20615.68    | -0.03%            |  |  |  | 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        |      9260 | PA      | $7103.67      | 0.01%             | 2036-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                                               | STWD Ltd., Series 2019-FL1, Class A                                                                | CUSIP: 78485WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    131705 | PA      | $126809.82    | 0.15%             | 2038-07-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury Ultra Bond                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $9355.49      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Euro-OAT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -4 | NC      | $37639.32     | 0.05%             |  |  |  | No            |                  1 | 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        |      1623 | PA      | $1500.12      | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Japan                                                                   | Japan Government Bond CPI Linked                                                                   | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  63523570 | PA      | $502073.09    | 0.61%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC, Series 278, Class F1                                                                        | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54835 | PA      | $53852.60     | 0.07%             | 2042-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                           | Voya CLO Ltd., Series 2015-1A, Class A1R                                                           | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |    330342 | PA      | $326979.66    | 0.40%             | 2029-01-18      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1110000 | PA      | $1292085.21   | 1.58%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                         | CHL Mortgage Pass-Through Trust, Series 2006-HYB3, Class 3A1B                                      | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1983 | PA      | $1794.66      | 0.00%             | 2036-05-20      | Variable      | 3.23%                 | 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      | $565227.28    | 0.69%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                  | Bear Stearns ARM Trust, Series 2004-10, Class 13A1                                                 | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2563 | PA      | $2308.36      | 0.00%             | 2035-01-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $6133.92      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-17239.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-40720.73    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1965397.43   | 2.40%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3300000 | PA      | $2.89         | 0.00%             |  |  |  | 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        |      9958 | PA      | $9991.65      | 0.01%             | 2045-02-25      | Floating      | 2.57%                 | 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        |     23065 | PA      | $18866.32     | 0.02%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Eurosail-UK plc                                                         | Eurosail-UK plc, Series 2007-3X, Class A3C                                                         | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     12483 | PA      | $14918.79     | 0.02%             | 2045-06-13      | Floating      | 4.50%                 | Yes           |                  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        |      4536 | PA      | $4195.38      | 0.01%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $-7578.57     | -0.01%            |  |  |  | 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        |     10852 | PA      | $5967.27      | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                          | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                          | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5140 | PA      | $4564.61      | 0.01%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2610000 | PA      | $2719664.04   | 3.32%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Park Place Securities, Inc.                                             | Park Place Securities, Inc., Series 2005-WCW1, Class M2                                            | CUSIP: 70069FKF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2385 | PA      | $2379.55      | 0.00%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-BTP                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -17 | NC      | $146028.45    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $276.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2100000 | PA      | $-610528.96   | -0.74%            |  |  |  | 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      | $-5462.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                      | Renaissance Home Equity Loan Trust, Series 2002-3, Class A                                         | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1698 | PA      | $1555.90      | 0.00%             | 2032-12-25      | Floating      | 5.15%                 | 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      | $-2502.36     | -0.00%            |  |  |  | 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        |       366 | PA      | $347.20       | 0.00%             | 2026-10-19      | Floating      | 5.04%                 | 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        |     33544 | PA      | $22841.35     | 0.03%             | 2040-04-15      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $1243.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $4528.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -800000 | PA      | $-1573.71     | -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      | $-2681.85     | -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      | $-3955.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Corp.                                  | JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M3                                   | CUSIP: 46626LEN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224944 | PA      | $221988.16    | 0.27%             | 2035-12-25      | Floating      | 5.11%                 | 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      | $5.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                           | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 3A                           | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9961 | PA      | $8056.65      | 0.01%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $-88981.08    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | FCPIX                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    820000 | PA      | $-111371.05   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $1168.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-5, Class 1A1D | CUSIP: 68383NCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134104 | PA      | $121940.36    | 0.15%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-32395.87    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-6291.89     | -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      | $-2772.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust, Series 2005-A5, Class A3                                   | CUSIP: 45660LJZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16875 | PA      | $11447.48     | 0.01%             | 2035-05-25      | Floating      | 4.79%                 | 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        |      2577 | PA      | $2345.57      | 0.00%             | 2047-01-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding Granite4 plc                                | Towd Point Mortgage Funding Granite4 plc, Series 2019-GR4A, Class A1                               | CUSIP: N/A<br>LEI: 635400655NWVVZHH1395       | Long             | ABS-MBS          | CORP              | GB        |    167813 | PA      | $202245.79    | 0.25%             | 2051-10-20      | Floating      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-22275.87    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Long Gilt                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         2 | NC      | $-15913.68    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2733470.42   | 3.33%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $6758.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 3140N16S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98281 | PA      | $92445.24     | 0.11%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 2 Year Note                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        31 | NC      | $-523.71      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Canadian Government Real Return Bond                                    | Canada Government Bond                                                                             | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    245193 | PA      | $199569.88    | 0.24%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -700000 | PA      | $-9.95        | -0.00%            |  |  |  | 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        |     48143 | PA      | $44271.62     | 0.05%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury Long Bond                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -30 | NC      | $29463.25     | 0.04%             |  |  |  | No            |                  1 | 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        |      1885 | PA      | $988.49       | 0.00%             | 2036-02-19      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $2313.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2006-5, Class 3A2                                                                     | CUSIP: 31394VL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2748 | PA      | $2727.88      | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Bund                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         5 | NC      | $-45565.06    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1400000 | PA      | $952.64       | 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      | $-4634.63     | -0.01%            |  |  |  | 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        |     44948 | PA      | $42235.60     | 0.05%             | 2059-02-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                          | Banc of America Mortgage Trust, Series 2006-A, Class 2A1                                           | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2997 | PA      | $2662.94      | 0.00%             | 2036-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                        | Republic of Peru                                                                                   | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    200000 | PA      | $48243.58     | 0.06%             | 2029-02-12      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| THL Credit Wind River CLO Ltd.                                          | THL Credit Wind River CLO Ltd., Series 2019-3A, Class AR                                           | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $194644.60    | 0.24%             | 2031-04-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-1126.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Bonds                                                               | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2320000 | PA      | $2376838.68   | 2.90%             | 2045-02-15      | Fixed         | 0.75%                 | 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        |      3505 | PA      | $2354.66      | 0.00%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-3070.76     | -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      | $-2693.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Italy                                                       | Buoni Poliennali del Tesoro                                                                        | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |   2376705 | PA      | $2512449.70   | 3.06%             | 2025-05-26      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    170000 | PA      | $2186.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $3521.28      | 0.00%             |  |  |  | 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        |      1518 | PA      | $1329.05      | 0.00%             | 2046-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                          | OZLM XXIV Ltd., Series 2019-24A, Class A1AR                                                        | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $194974.60    | 0.24%             | 2032-07-20      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A2                           | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1289 | PA      | $1206.41      | 0.00%             | 2034-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | Japan 10 Year Bond                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -4 | NC      | $77742.57     | 0.09%             |  |  |  | No            |                  1 | 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        |     27142 | PA      | $26330.74     | 0.03%             | 2037-12-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                   | CWABS, Inc. Asset-backed Certificates, Series 2007-12, Class 1A1                                   | CUSIP: 126697AA9<br>LEI: 549300XF11BHS5IOB463 | Long             | ABS-O            | CORP              | US        |     11566 | PA      | $11173.35     | 0.01%             | 2047-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  40000000 | PA      | $-18369.25    | -0.02%            |  |  |  | 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        |      3484 | PA      | $3502.64      | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                    | U.K. Treasury Inflation Linked Bonds                                                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |    440547 | PA      | $540519.05    | 0.66%             | 2024-03-22      | Fixed         | 0.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-46080.51    | -0.06%            |  |  |  | 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      | $287718.39    | 0.35%             | 2035-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 10 Year Ultra Note                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -24 | NC      | $3904.63      | 0.00%             |  |  |  | No            |                  1 | 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        |      3423 | PA      | $2344.73      | 0.00%             | 2035-08-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                       | CIFC Funding Ltd., Series 2012-2RA, Class A1                                                       | CUSIP: 12551PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    170872 | PA      | $169636.62    | 0.21%             | 2028-01-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | FCPIX                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $68512.58     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                | Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2D                               | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713079 | PA      | $315523.71    | 0.38%             | 2036-10-25      | Floating      | 4.61%                 | 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        |     49966 | PA      | $43444.26     | 0.05%             | 2046-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -100000 | PA      | $-223.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                           | Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 2A1                                          | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3862 | PA      | $3493.16      | 0.00%             | 2036-03-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                     | Credit-Based Asset Servicing & Securitization LLC, Series 2005-CB3, Class M4                       | CUSIP: 12489WLH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $22843.26     | 0.03%             | 2035-06-25      | Floating      | 5.44%                 | 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        |      1493 | PA      | $1232.11      | 0.00%             | 2035-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-2702.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2017-H10, Class FB                                                                    | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52034 | PA      | $51493.32     | 0.06%             | 2067-04-20      | Floating      | 1.97%                 | 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      | $-1135.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust, Series 2004-12, Class 3A6                                                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2501 | PA      | $2200.78      | 0.00%             | 2034-12-25      | Variable      | 3.74%                 | 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        |      9670 | PA      | $4125.96      | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $7545.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | Euro-Bobl                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -8 | NC      | $30500.54     | 0.04%             |  |  |  | No            |                  1 | 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        |     69433 | PA      | $58460.41     | 0.07%             | 2047-01-20      | Variable      | 3.77%                 | 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      | $222735.71    | 0.27%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | U.S. Treasury 5 Year Note                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         8 | NC      | $-13036.20    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CIT Mortgage Loan Trust                                                 | CIT Mortgage Loan Trust, Series 2007-1, Class 1A                                                   | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4327 | PA      | $4293.28      | 0.01%             | 2037-10-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5335.91      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-40332.05    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $15441.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Vibrant CLO VI Ltd.                                                     | Vibrant CLO VI Ltd., Series 2017-6A, Class AR                                                      | CUSIP: 92558EAJ1<br>LEI: 549300WOQQ4NNX4VIU97 | Long             | ABS-CBDO         | CORP              | KY        |    323283 | PA      | $318907.90    | 0.39%             | 2029-06-20      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | FCPIX                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $9754.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2007-63, Class FC                                                                     | CUSIP: 31396WTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $76.99        | 0.00%             | 2037-07-25      | Floating      | 4.74%                 | 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      | $3759606.77   | 4.59%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2431953.66   | 2.97%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1660000 | PA      | $2000106.36   | 2.44%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-141095.11   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                    | FNMA, Series 2004-63, Class FA                                                                     | CUSIP: 31394ANT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       332 | PA      | $321.14       | 0.00%             | 2034-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1850000 | PA      | $1927871.20   | 2.35%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd.                                                      | Wellfleet CLO Ltd., Series 2015-1A, Class AR4                                                      | CUSIP: 949496BJ1<br>LEI: 254900DLL625KV2D0Z30 | Long             | ABS-CBDO         | CORP              | KY        |    364065 | PA      | $359417.25    | 0.44%             | 2029-07-20      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Midocean Credit CLO V                                                   | Midocean Credit CLO V, Series 2016-5A, Class AR                                                    | CUSIP: 59801TAL7<br>LEI: 549300SR4K4D5ZP3EW03 | Long             | ABS-CBDO         | CORP              | KY        |    272953 | PA      | $272313.53    | 0.33%             | 2028-07-19      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                   | FHLMC                                                                                              | CUSIP: 313396AJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | STIV             | USGA              | US        |  15000000 | PA      | $14988516.00  | 18.28%            | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-20118.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $1905.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-9205.44     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | FCPIX                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $48858.85     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2495000 | PA      | $2664417.71   | 3.25%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                              | CSMC Mortgage-Backed Trust, Series 2007-6, Class A1                                                | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120127 | PA      | $73689.52     | 0.09%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | Countrywide Asset-Backed Certificates, Series 2006-19, Class 2A3                                   | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38103 | PA      | $34623.65     | 0.04%             | 2037-03-25      | Floating      | 4.89%                 | 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        |      1178 | PA      | $1067.42      | 0.00%             | 2035-01-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-20778.80    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                    | GNMA, Series 2018-H15, Class FG                                                                    | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97935 | PA      | $95144.86     | 0.12%             | 2068-08-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOP                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1800000 | PA      | $101312.23    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust, Series 2008-9, Class A                                                     | CUSIP: 78445JAA5<br>LEI: 549300MTK92VF84VT259 | Long             | ABS-O            | CORP              | US        |     56222 | PA      | $55303.44     | 0.07%             | 2023-04-25      | Floating      | 5.86%                 | 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        |    163356 | PA      | $52779.79     | 0.06%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-27609.57    | -0.03%            |  |  |  | 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        |      1848 | PA      | $1517.10      | 0.00%             | 2035-08-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     60000 | PA      | $-3484.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1                                      | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4878 | PA      | $4387.90      | 0.01%             | 2045-11-25      | Floating      | 4.93%                 | 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        |      3704 | PA      | $2666.44      | 0.00%             | 2035-07-25      | Floating      | 4.95%                 | 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      | $1171488.66   | 1.43%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2007-OA7, Class A1A                                                 | CUSIP: 126680AA5<br>LEI: 549300QTQ6MX6ER06N64 | Long             | ABS-MBS          | CORP              | US        |      2963 | PA      | $2480.29      | 0.00%             | 2047-05-25      | Floating      | 4.75%                 | 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        |     24227 | PA      | $20806.78     | 0.03%             | 2036-05-25      | Floating      | 4.71%                 | 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        |      1354 | PA      | $1275.11      | 0.00%             | 2035-07-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | HICPXT                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-5425.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-13617.74    | -0.02%            |  |  |  | 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        |       315 | PA      | $271.73       | 0.00%             | 2035-09-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $4829.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $353835.99    | 0.43%             |  |  |  | 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        |     17972 | PA      | $5330.13      | 0.01%             | 2036-07-25      | Floating      | 4.53%                 | 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      | $207904.90    | 0.25%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $6474.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $302012.77    | 0.37%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $15418.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-19256.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1620000 | PA      | $1648279.57   | 2.01%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                    | UMBS                                                                                               | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108060 | PA      | $100239.97    | 0.12%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A                                          | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1745 | PA      | $1549.32      | 0.00%             | 2035-06-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                  | Alternative Loan Trust, Series 2007-1T1, Class 1A1                                                 | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95619 | PA      | $37754.31     | 0.05%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1463763.13   | 1.79%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | USCPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $-13735.44    | -0.02%            |  |  |  | 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        |     20948 | PA      | $19776.22     | 0.02%             | 2037-05-25      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | Forward Foreign Currency Contract                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1539.19     | -0.00%            |  |  |  | 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        |     13994 | PA      | $13027.06     | 0.02%             | 2036-06-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RPI                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $-30700.64    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLB                                                                    | FHLB                                                                                               | CUSIP: 313384AV1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |  22500000 | PA      | $22455317.25  | 27.39%            | 2023-01-20      | None          | 0.00%                 | 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        |     35772 | PA      | $33623.35     | 0.04%             | 2037-09-25      | Floating      | 4.70%                 | 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        |       516 | PA      | $111.93       | 0.00%             | 2037-09-25      | Floating      | 4.55%                 | 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        |      2442 | PA      | $2282.11      | 0.00%             | 2035-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                                | U.S. Treasury Inflation Linked Notes                                                               | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $120797.66    | 0.15%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** EQ Advisors Trust

**Signature:** Brian Walsh

**Name of Signer:** Brian Walsh

**Title:** Chief Financial Officer and Treasurer