U.S. Treasury Inflation Linked Bonds

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Inflation Linked Notes 9128283R9 3760000.00000000 PA USD 4641101.43000000 5.759975018741 Long DBT UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N Bear Stearns ARM Trust N/A Bear Stearns ARM Trust, Series 2006-2, Class 3A2 07388DAS7 2957.72250000 PA USD 2568.40000000 0.003187588132 Long ABS-MBS CORP US N 2 2036-07-25 Variable 4.90024080 N N N N N N N/A N/A IRS N/A 1200000.00000000 PA 14915.40000000 0.018511194527 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2035-03-19 6539.19000000 USD 0.00000000 USD 1200000.00000000 EUR 14915.40000000 N N N Deutsche Alt-B Securities Mortgage Loan Trust N/A Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A1B1 251513AR8 134.81000000 PA USD 108.05000000 0.000134098620 Long ABS-MBS CORP US N 2 2036-10-25 Floating 5.06926080 N N N N N N N/A N/A Forward Foreign Currency Contract N/A 1.00000000 NC N/A -530.78000000 -0.00065874008 N/A DFE N/A N 2 Barclays Bank G5GSEF7VJP5I7OUK5573 48000.00000000 AUD 32654.02000000 USD 2024-10-02 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N/A Merrill Lynch Life Agency, Inc. N/A 8474.75000000 PA USD 2520.53000000 0.003128177664 Long ABS-O CORP US N 2 2037-02-25 Floating 5.20926120 N N N N N N N/A N/A USCPI N/A 1100000.00000000 PA USD 43100.96000000 0.053491710239 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2026-03-05 69335.15000000 USD 0.00000000 USD 1100000.00000000 USD 43100.96000000 N N N First Horizon Alternative Mortgage Securities Trust N/A First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7 32052DAG6 9323.48740000 PA USD 3702.91000000 0.004595605034 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6.00000000 N N N N N N N/A N/A OIS N/A 1300000.00000000 PA -4797.54000000 -0.00595412769 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2026-09-18 15530.28000000 USD 0.00000000 USD 1300000.00000000 GBP -4797.54000000 N N N FHLMC Pool S6XOOCT0IEG5ABCC6L87 UMBS 3132DWFF5 89661.78000000 PA USD 88123.78000000 0.109368601185 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Banc of America Funding Trust N/A Banc of America Funding Trust, Series 2006-A, Class 1A1 058927AA2 2142.99000000 PA USD 2036.97000000 0.002528041347 Long ABS-MBS CORP US N 2 2036-02-20 Variable 6.20468640 N N N N N N CHL Mortgage Pass-Through Trust N/A CHL Mortgage Pass-Through Trust, Series 2005-19, Class 1A6 126694AF5 680.73120000 PA USD 501.86000000 0.000622848068 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 5.50000000 N N N N N N Arbour CLO VI DAC 635400HEJB8VLV1GBH66 Arbour CLO VI DAC, Series 6A, Class AR N/A 400000.00000000 PA 444695.81000000 0.551902774626 Long ABS-CBDO CORP IE Y 2 2037-11-15 Floating 0.00000000 N N N N N N Bain Capital Credit CLO Ltd. 254900JJEDONFKODOF95 Bain Capital Credit CLO Ltd., Series 2020-2A, Class ARR 05683EAW2 400000.00000000 PA USD 400177.20000000 0.496651648285 Long ABS-CBDO CORP KY Y 2 2034-07-19 Floating 6.37540920 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Bonds 912810TP3 600000.00000000 PA USD 572535.68000000 0.710562193883 Long DBT UST US N 2 2053-02-15 Fixed 1.50000000 N N N N N N GNMA 549300M8ZYFG0OCMTT87 GNMA 36179XLE4 294479.75000000 PA USD 276497.82000000 0.343155727138 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 3.50000000 N N N N N N N/A N/A 3 Month Euro EURIBOR N/A 19.00000000 NC 9853.70000000 0.012229223320 N/A DIR GB N 1 ICE Clear Europe 5R6J7JCQRIPQR1EEP713 Long N/A 3 Month Euro Euribor 2026-09-14 4658800.00000000 EUR 9853.70000000 N N N N/A N/A U.S. Treasury Long Bond N/A -26.00000000 NC USD 35914.92000000 0.044573264583 N/A DIR US N 1 CME Clearing House LCZ7XYGSLJUHFXXNXD88 Short United States of America U.S. Treasury Long Bond 2024-12-19 -3228875.00000000 USD 35914.92000000 N N N Palmer Square European Loan Funding DAC 54930004WJL9ZPQZOM50 Palmer Square European Loan Funding DAC, Series 2023-3A, Class A N/A 321008.28000000 PA 358232.63000000 0.444595109764 Long ABS-CBDO CORP IE Y 2 2033-05-15 Floating 5.04200160 N N N N N N Fremont Home Loan Trust N/A Fremont Home Loan Trust, Series 2006-C, Class 1A1 35729TAA0 25916.28000000 PA USD 23576.36000000 0.029260132897 Long ABS-O CORP US N 2 2036-10-25 Floating 5.23926000 N N N N N N Mellon Residential Funding Corp. Mortgage Pass-Through Certificates N/A Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1 585525FC7 595.23000000 PA USD 569.97000000 0.000707377981 Long ABS-MBS CORP US N 2 2031-11-15 Floating 5.91099120 N N N N N N HarborView Mortgage Loan Trust N/A HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A 41161PLR2 756.12000000 PA USD 721.51000000 0.000895451142 Long ABS-MBS CORP US N 2 2035-05-19 Floating 5.51930040 N N N N N N Structured Asset Mortgage Investments II Trust N/A Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 2A1 86360QAB1 621.05000000 PA USD 604.72000000 0.000750505487 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.34926160 N N N N N N FHLB 2549001DPIFGXC1TOL40 FHLB 313384L23 23753000.00000000 PA USD 23701738.65000000 29.41573774756 Long STIV USGA US N 2 2024-10-18 None 0.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 FNMA, Series 2003-W8, Class 3F2 31393CX40 597.36000000 PA USD 595.30000000 0.000738814520 Long ABS-MBS USGSE US N 2 2042-05-25 Floating 5.74459920 N N N N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Bonds 912810RR1 1670000.00000000 PA USD 1842420.48000000 2.286589961214 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N Magnetite XII Ltd. 549300Z6VW568TT64K70 Magnetite XII Ltd., Series 2015-12A, Class AR4 55953HBD4 278872.74000000 PA USD 278928.51000000 0.346172406237 Long ABS-CBDO CORP KY Y 2 2031-10-15 Floating 6.45136920 N N N N N N N/A N/A IRS N/A 170000.00000000 PA -311.90000000 -0.00038709264 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2055-03-19 167.37000000 USD 0.00000000 USD 170000.00000000 EUR -311.90000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Bonds 912810FH6 591000.00000000 PA USD 1247224.38000000 1.547904388628 Long DBT UST US N 2 2029-04-15 Fixed 3.87500000 N N N N N N CIT Mortgage Loan Trust N/A CIT Mortgage Loan Trust, Series 2007-1, Class 1M1 12559QAF9 168471.23000000 PA USD 167862.34000000 0.208330479212 Long ABS-O CORP US Y 2 2037-10-25 Floating 6.46926120 N N N N N N Morgan Stanley IXIS Real Estate Capital Trust N/A Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A1 617463AA2 316.99000000 PA USD 103.34000000 0.000128253137 Long ABS-O CORP US N 2 2036-11-25 Floating 5.01926040 N N N N N N French Republic 969500KCGF3SUYJHPV70 French Republic N/A 119866.00000000 PA 131787.39000000 0.163558604704 Long DBT NUSS FR Y 2 2026-03-01 Fixed 0.10000000 N N N N N N N/A N/A Euro-Bobl N/A 17.00000000 NC 24366.94000000 0.030241305388 N/A DIR DE N 1 Eurex Clearing 529900LN3S50JPU47S06 Long Federal Republic of Germany Euro-Bobl 2024-12-06 2040850.00000000 EUR 24366.94000000 N N N JP Morgan Mortgage Trust N/A JP Morgan Mortgage Trust, Series 2007-A1, Class 3A3 46630GAJ4 2224.66000000 PA USD 2125.03000000 0.002637330792 Long ABS-MBS CORP US N 2 2035-07-25 Variable 5.54648040 N N N N N N Residential Asset Securitization Trust N/A Residential Asset Securitization Trust, Series 2007-A6, Class 2A1 76114CAG1 125427.47830000 PA USD 27727.51000000 0.034412039327 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.50000000 N N N N N N N/A N/A IRS N/A 350000.00000000 PA 3366.45000000 0.004178031485 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2055-03-19 0.00000000 USD 3664.02000000 USD 350000.00000000 EUR 3366.45000000 N N N N/A N/A IRS N/A 3300000.00000000 PA -6912.48000000 -0.00857893599 N/A DIR GB N 2 LCH Clearnet 549300TXTCI7WVVJS380 Y 2027-03-19 0.00000000 USD 27795.59000000 USD 3300000.00000000 EUR -6912.48000000 N N N United States of America 254900HROIFWPRGM1V77 U.S. Treasury Inflation Linked Notes 91282CEJ6 400000.00000000 PA USD 428757.24000000 0.532121744967 Long DBT UST US N 2 2027-04-15 Fixed 0.12500000 N N N N N N CSMC Trust N/A CSMC Trust, Series 2007-4R, Class 1A1 12639QAA4 3809.11230000 PA USD 3352.05000000 0.004160159943 Long ABS-MBS CORP US Y 2 2036-10-26 Variable 5.40142560 N N N N N N Elmwood CLO 24 Ltd. 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Mortgage Loan Trust N/A Structured Asset Securities Corp. 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2024-10-30 EQ Advisors Trust Brian Walsh Brian Walsh Chief Financial Officer and Treasurer XXXX