GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1

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BRL 110643.30000000 USD 2023-11-03 755.02000000 N N N Nykredit Realkredit A/S LIU16F6VZJSD6UKHD557 Nykredit Realkredit A/S, Series 01E N/A 8958047.76000000 PA 1109102.81000000 1.030681261097 Long DBT CORP DK Y 2 2053-10-01 Fixed 3.00000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 U.K. Treasury Inflation Linked Bonds N/A 463207.00000000 PA 560897.56000000 0.521238066728 Long DBT NUSS GB Y 2 2024-03-22 Fixed 0.12500000 N N N N N N Jyske Realkredit A/S 529900R9HQNZRT2OXB26 Jyske Realkredit A/S, Series CCE N/A 620341.74000000 PA 65990.83000000 0.061324803500 Long DBT CORP DK N 2 2043-10-01 Fixed 0.50000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 U.K. Treasury Inflation Linked Bonds N/A 1350104.00000000 PA 1698607.04000000 1.578503300425 Long DBT NUSS GB Y 2 2027-11-22 Fixed 1.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 U.K. Treasury Inflation Linked 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N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 70682.19000000 USD 66000.00000000 EUR 2023-10-03 -903.69000000 N N N Nordea Kredit Realkreditaktieselskab 52990080NNXXLC14OC65 Nordea Kredit Realkreditaktieselskab N/A 112145.23000000 PA 10406.02000000 0.009670239512 Long DBT CORP DK N 2 2053-10-01 Fixed 0.50000000 N N N N N N Nordea Kredit Realkreditaktieselskab 52990080NNXXLC14OC65 Nordea Kredit Realkreditaktieselskab N/A 1335236.73000000 PA 135064.57000000 0.125514533082 Long DBT CORP DK Y 2 2050-10-01 Fixed 1.00000000 N N N N N N New Residential Mortgage Loan Trust 549300U48YU2VDL8N523 New Residential Mortgage Loan Trust, Series 2018-3A, Class A1 64830KAA5 34206.17000000 PA USD 32117.02000000 0.029846115597 Long ABS-MBS CORP US Y 2 2058-05-25 Variable 4.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Notes 912828S50 1130000.00000000 PA USD 1347116.60000000 1.251865763583 Long DBT UST US N 2 2026-07-15 Fixed 0.12500000 N N N N N N French Republic 969500KCGF3SUYJHPV70 French Republic N/A 309137.00000000 PA 302375.70000000 0.280995562351 Long DBT NUSS FR Y 2 2039-03-01 Fixed 0.55000000 N N N N N N Nykredit Realkredit A/S LIU16F6VZJSD6UKHD557 Nykredit Realkredit A/S, Series 01E N/A 1.61000000 PA 0.18000000 0.000000167272 Long DBT CORP DK Y 2 2053-10-01 Fixed 2.00000000 N N N N N N N/A N/A U.S. Treasury 2 Year Note N/A -77.00000000 NC USD 65810.69000000 0.061157400694 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury 2 Year Note 2023-12-29 -15608742.23000000 USD 65810.69000000 N N N Securitized Asset-Backed Receivables LLC Trust N/A Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE2, Class A2C 81377AAD4 46868.10000000 PA USD 16440.84000000 0.015278354316 Long ABS-O CORP US N 2 2036-07-25 Floating 5.73419880 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -4608.02000000 -0.00428219983 N/A DFE N/A N 2 JP Morgan Chase Bank 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Greystone Commercial Real Estate Notes Ltd. N/A Greystone Commercial Real Estate Notes Ltd., Series 2019-FL2, Class A 39809LAA2 41763.04000000 PA USD 41608.37000000 0.038666358859 Long ABS-CBDO CORP KY Y 2 2037-09-15 Floating 6.62667840 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Notes 912828ZZ6 1730000.00000000 PA USD 1788025.37000000 1.661599111109 Long DBT UST US N 2 2030-07-15 Fixed 0.12500000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 U.K. Treasury Bonds N/A 1000000.00000000 PA 998102.81000000 0.927529759766 Long DBT NUSS GB Y 2 2029-01-31 Fixed 0.50000000 N N N N N N Jyske Realkredit A/S 529900R9HQNZRT2OXB26 Jyske Realkredit A/S, Series CCE N/A 1.56000000 PA 0.14000000 0.000000130100 Long DBT CORP DK N 2 2053-10-01 Fixed 1.00000000 N N N N N N GSAA Trust N/A GSAA Trust, Series 2006-7, Class AF4A 362334ND2 19776.84000000 PA USD 10695.17000000 0.009938944526 Long ABS-O CORP US N 2 2046-03-25 Variable 6.72000120 N N N N N N Kingdom of Spain 9598007A56S18711AH60 Kingdom of Spain N/A 1326321.34000000 PA 1285215.86000000 1.194341851290 Long DBT NUSS ES Y 2 2033-11-30 Fixed 0.70000000 N N N N N N N/A N/A U.S. Treasury 10 Year Ultra Note N/A 13.00000000 NC USD -43588.78000000 -0.04050673962 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Long United States of America U.S. Treasury 10 Year Ultra Note 2023-12-19 1450312.50000000 USD -43588.78000000 N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 1615.95000000 0.001501690707 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 305850.60000000 USD 513000.00000000 NZD 2023-10-03 1615.95000000 N N N Realkredit Danmark A/S 549300NLOMBOWE943Y30 Realkredit Danmark A/S, Series 27S N/A 6444508.26000000 PA 640397.64000000 0.595116919051 Long DBT CORP DK Y 2 2053-10-01 Fixed 1.50000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Notes 9128287D6 2368000.00000000 PA USD 2522647.61000000 2.344278272975 Long DBT UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N United Kingdom of Great Britain and Northern Ireland ECTRVYYCEF89VWYS6K36 U.K. Treasury Inflation Linked Bonds N/A 701167.50000000 PA 833439.82000000 0.774509627945 Long DBT NUSS GB Y 2 2031-08-10 Fixed 0.12500000 N N N N N N Japan 353800WZS8AXZXFUC241 Japan Government Bond CPI Linked N/A 139793334.00000000 PA 975500.60000000 0.906525688641 Long DBT NUSS JP N 2 2026-03-10 Fixed 0.10000000 N N N N N N Nykredit Realkredit A/S LIU16F6VZJSD6UKHD557 Nykredit Realkredit A/S, Series 01E N/A 1.01000000 PA 0.09000000 0.000000083636 Long DBT CORP DK Y 2 2053-10-01 Fixed 0.50000000 N N N N N N Kingdom of Spain 9598007A56S18711AH60 Kingdom of Spain N/A 1287380.50000000 PA 1327952.37000000 1.234056582535 Long DBT NUSS ES Y 2 2030-11-30 Fixed 1.00000000 N N N N N N Securitized Asset-Backed Receivables LLC Trust N/A Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C 81376YAD3 159384.00000000 PA USD 50833.84000000 0.047239521751 Long ABS-O CORP US N 2 2036-07-25 Floating 5.75420040 N N N N N N Canada Government Bond 4BFD7AQU0A75QLAHK410 Canada Government Bond 135087B94 513102.66000000 PA 314283.64000000 0.292061525312 Long DBT NUSS CA N 2 2047-12-01 Fixed 1.25000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 4711.90000000 0.004378734766 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 825012.57000000 PEN 222058.13000000 USD 2023-11-09 4711.90000000 N N N Jyske Realkredit A/S 529900R9HQNZRT2OXB26 Jyske Realkredit A/S, Series CCE N/A 8181.46000000 PA 775.95000000 0.000721084751 Long DBT CORP DK N 2 2050-10-01 Fixed 1.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Bonds 912810QV3 1090000.00000000 PA USD 1114134.07000000 1.035356774814 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N New Century Home Equity Loan Trust N/A New Century Home Equity Loan Trust, Series 2004-4, Class M1 64352VJJ1 48674.62000000 PA USD 45082.04000000 0.041894415396 Long ABS-O CORP US N 2 2035-02-25 Floating 6.19920000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 167.77000000 0.000155907453 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 5500000.00000000 JPY 36971.84000000 USD 2023-10-03 167.77000000 N N N N/A N/A Euro-Bund N/A 49.00000000 NC -80081.95000000 -0.07441957992 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long Federal Republic of Germany Euro-Bund 2023-12-07 6303360.00000000 EUR -80081.95000000 N N N Canada Government Bond 4BFD7AQU0A75QLAHK410 Canada Government Bond 135087XQ2 767788.34000000 PA 613145.34000000 0.569791552748 Long DBT NUSS CA N 2 2036-12-01 Fixed 3.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -241.66000000 -0.00022457289 N/A DFE N/A N 2 Goldman Sachs Bank KD3XUN7C6T14HNAYLU02 2241364.63000000 MXN 128086.03000000 USD 2023-10-16 -241.66000000 N N N Realkredit Danmark A/S 549300NLOMBOWE943Y30 Realkredit Danmark A/S N/A 1047270.79000000 PA 97037.52000000 0.090176269129 Long DBT CORP DK Y 2 2053-10-01 Fixed 1.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A 227.94000000 0.000211823001 N/A DFE N/A N 2 JP Morgan Chase Bank 7H6GLXDRUGQFU57RNE97 5400000.00000000 JPY 36362.84000000 USD 2023-10-03 227.94000000 N N N HSI Asset Securitization Corp. Trust N/A HSI Asset Securitization Corp. Trust, Series 2007-WF1, Class 1A1 40431RAA3 2981.55000000 PA USD 2964.57000000 0.002754953570 Long ABS-O CORP US N 2 2037-05-25 Floating 5.75420040 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Bonds 912810TE8 500000.00000000 PA USD 300174.38000000 0.278949891514 Long DBT UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N Alternative Loan Trust N/A Alternative Loan Trust, Series 2007-1T1, Class 1A1 23246KAA9 143319.81660000 PA USD 53922.49000000 0.050109781972 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N FHLB 2549001DPIFGXC1TOL40 FHLB 313384PJ2 1100000.00000000 PA USD 1092557.62000000 1.015305935076 Long STIV USGA US N 2 2023-11-17 None 0.00000000 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Notes 9128285W6 270000.00000000 PA USD 303338.70000000 0.281890471322 Long DBT UST US N 2 2029-01-15 Fixed 0.87500000 N N N N N N New Zealand Government Inflation Linked Bond 549300237GPHG2AI7C34 New Zealand Government Bond N/A 126310.00000000 PA 70667.11000000 0.065670436857 Long DBT NUSS NZ Y 2 2035-09-20 Fixed 2.50000000 N N N N N N Nordea Kredit Realkreditaktieselskab 52990080NNXXLC14OC65 Nordea Kredit Realkreditaktieselskab N/A 261766.96000000 PA 27894.55000000 0.025922204607 Long DBT CORP DK N 2 2043-10-01 Fixed 0.50000000 N N N N N N CWABS Asset-Backed Certificates Trust N/A CWABS Asset-Backed Certificates Trust, Series 2007-8, Class 1A1 12669WAA4 133275.75000000 PA USD 119856.28000000 0.111381578612 Long ABS-O CORP GB N 2 2037-11-25 Floating 5.62420080 N N N N N N Japan 353800WZS8AXZXFUC241 Japan Government Bond CPI Linked N/A 8490800.00000000 PA 59833.98000000 0.055603287095 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N N/A N/A Euro-OAT N/A 7.00000000 NC -22861.71000000 -0.02124522260 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long French Republic Euro-OAT 2023-12-07 862400.00000000 EUR -22861.71000000 N N N Kingdom of Denmark 549300PTO6LS1PTM6607 Kingdom of Denmark N/A 3574105.00000000 PA 502455.49000000 0.466928271580 Long DBT NUSS DK N 2 2023-11-15 Fixed 0.10000000 N N N N N N Nykredit Realkredit A/S LIU16F6VZJSD6UKHD557 Nykredit Realkredit A/S, Series 01EE N/A 48924.30000000 PA 4634.64000000 0.004306937604 Long DBT CORP DK Y 2 2050-10-01 Fixed 1.00000000 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -1822.48000000 -0.00169361755 N/A DFE N/A N 2 Bank of America B4TYDEB6GKMZO031MB27 11573700.73000000 DKK 1641435.00000000 USD 2023-11-02 -1822.48000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Notes 912828H45 800000.00000000 PA USD 993227.86000000 0.922999503807 Long DBT UST US N 2 2025-01-15 Fixed 0.25000000 N N N N N N 2023-10-30 EQ Advisors Trust Brian Walsh Brian Walsh Chief Financial Officer and Treasurer XXXX