# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0001752724-25-205162
**Filing Date:** 2025-8
**Character Count:** 396359
**Document Hash:** 89c5337e3b39881cff9b41df7a15fd2a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-205162.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-205162

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK ALLOCATION TARGET SHARES
- **CENTRAL INDEX KEY:** 0001221845

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 251255671

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK BOND ALLOCATION TARGET SHARES
- **DATE OF NAME CHANGE:** 20030306

## Series and Classes Contracts Data

### BATS SERIES S (Series ID: S000001471)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000003893 | BATS SERIES S | BRASX           |

## Nport-Ex

Schedule of Investments (unaudited)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; 720 East CLO Ltd., Series 2023-IA, Class A1R, (3-mo. <br> CME Term SOFR + 1.37%), 5.65%, 04/15/38<sup>(a)(b)</sup><br>| USD  | 265 | $266082 |
| &nbsp;&nbsp;&nbsp; Affirm Asset Securitization Trust, Series 2025-X1, <br> Class A, 5.08%, 04/15/30<sup>(a)</sup><br>|  | 363 | 363221 |
| &nbsp;&nbsp;&nbsp; American Express Credit Account Master Trust, <br> Series 2024-2, Class A, 5.24%, 04/15/31<br>|  | 406 | 422361 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 7 Ltd., Series 2015-7A, <br> Class AR3, (3-mo. CME Term SOFR + 1.56%), <br> 5.84%, 04/28/37<sup>(a)(b)</sup><br>|  | 865 | 868328 |
| ARI Fleet Lease Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.30%, 11/15/32<sup>(a)</sup> |  | 175 | 176129 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A2, 5.54%, 04/15/33<sup>(a)</sup> |  | 91 | 91779 |
| &nbsp;&nbsp;&nbsp; Series 2025-B, Class A2, 4.59%, 03/15/34<sup>(a)</sup> |  | 1062 | 1065981 |
| &nbsp;&nbsp;&nbsp; AutoNation Finance Trust, Series 2025-1A, Class A3, <br> 4.62%, 11/13/29<sup>(a)</sup><br>|  | 55 | 55432 |
| BA Credit Card Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-A2, Class A2, 5.00%, 04/15/28 |  | 822 | 823559 |
| &nbsp;&nbsp;&nbsp; Series 2024-A1, Class A, 4.93%, 05/15/29 |  | 1383 | 1403487 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO VIII Ltd., Series 2015-8A, <br> Class A1AR, (3-mo. CME Term SOFR + 1.36%), <br> 5.63%, 01/20/31<sup>(a)(b)</sup><br>|  | 113 | 112909 |
| &nbsp;&nbsp;&nbsp; Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. <br> CME Term SOFR + 1.34%), 5.62%, 04/30/31<sup>(a)(b)</sup><br>|  | 176 | 175736 |
| BMW Vehicle Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A3, 3.21%, 08/25/26 |  | 238 | 237120 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 5.47%, 02/25/28 |  | 473 | 476083 |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.56%, 09/25/29 |  | 500 | 504281 |
| &nbsp;&nbsp;&nbsp; BofA Auto Trust, Series 2025-1A, Class A3, 4.35%, <br> 11/20/29<sup>(a)</sup><br>|  | 253 | 254108 |
| &nbsp;&nbsp;&nbsp; Canyon CLO Ltd., Series 2021-4A, Class B, (3-mo. <br> CME Term SOFR + 1.96%), 6.22%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250428 |
| &nbsp;&nbsp;&nbsp; Capital One Prime Auto Receivables Trust, <br> Series 2022-2, Class A3, 3.66%, 05/17/27<br>|  | 792 | 789556 |
| CarMax Auto Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.49%, 02/16/27 |  | 571 | 570005 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A3, 3.97%, 04/15/27 |  | 458 | 456908 |
| Chase Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-A1, Class A, 5.16%, 09/15/28 |  | 2680 | 2710973 |
| &nbsp;&nbsp;&nbsp; Series 2024-A2, Class A, 4.63%, 01/15/31 |  | 293 | 298233 |
| Chesapeake Funding II LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2A, Class A1, 6.16%, 10/15/35<sup>(a)</sup> |  | 212 | 214760 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 5.52%, 05/15/36<sup>(a)</sup> |  | 398 | 402260 |
| &nbsp;&nbsp;&nbsp; CIFC Funding Ltd., Series 2021-7A, Class A1, (3-mo. <br> CME Term SOFR + 1.39%), 5.67%, 01/23/35<sup>(a)(b)</sup><br>|  | 300 | 300673 |
| CNH Equipment Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.89%, 11/15/27 |  | 289 | 287877 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.77%, 06/15/29 |  | 452 | 454538 |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.03%, 01/15/30 |  | 203 | 202679 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A1, (1-mo. CME Term SOFR <br> + 0.91%), 5.24%, 06/25/52<sup>(a)(b)</sup><br>|  | 154 | 151256 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup> |  | 71 | 64802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, (SOFR (30-day) + <br> 1.90%), 6.21%, 05/25/55<sup>(a)(b)</sup><br>|  | 368 | 372446 |
| Dell Equipment Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 4.68%, 07/22/27<sup>(a)</sup> |  | 265 | 266056 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.61%, 02/24/31<sup>(a)</sup> |  | 337 | 340246 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. 3 LLC, <br> Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup><br>|  | 50 | 46340 |
| ELFI Graduate Loan Program LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 4.51%, 08/26/47<sup>(a)</sup> |  | 398 | 389156 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 6.37%, 02/04/48<sup>(a)</sup> |  | 376 | 391345 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Elmwood CLO III Ltd., Series 2019-3A, Class A2RR, <br> (3-mo. CME Term SOFR + 1.60%), 5.87%, <br> 07/18/37<sup>(a)(b)</sup><br>| USD  | 425 | $425783 |
| Enterprise Fleet Financing LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A2, 5.56%, 04/22/30<sup>(a)</sup> |  | 452 | 454843 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 5.23%, 03/20/30<sup>(a)</sup> |  | 307 | 309622 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A3, 5.16%, 09/20/30<sup>(a)</sup> |  | 50 | 50940 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class A3, 4.98%, 08/21/28<sup>(a)</sup> |  | 200 | 202619 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class A4, 5.06%, 03/20/31<sup>(a)</sup> |  | 66 | 67362 |
| &nbsp;&nbsp;&nbsp; Series 2024-4, Class A3, 4.56%, 11/20/28<sup>(a)</sup> |  | 182 | 182973 |
| &nbsp;&nbsp;&nbsp; Series 2024-4, Class A4, 4.70%, 06/20/31<sup>(a)</sup> |  | 50 | 50573 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A3, 4.41%, 06/20/29<sup>(a)</sup> |  | 342 | 343698 |
| &nbsp;&nbsp;&nbsp; Flatiron CLO 23 LLC, Series 2023-1A, Class AR, (3-<br> mo. CME Term SOFR + 1.24%), 5.55%, <br> 04/17/36<sup>(a)(b)</sup><br>|  | 250 | 250339 |
| Ford Credit Auto Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.93%, 08/15/27 |  | 417 | 415730 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A, 4.85%, 08/15/35<sup>(a)</sup> |  | 1380 | 1399907 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.28%, 02/15/36<sup>(a)</sup> |  | 1675 | 1725181 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 4.65%, 02/15/28 |  | 137 | 137401 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 4.87%, 08/15/36<sup>(a)(c)</sup> |  | 1288 | 1312644 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.09%, 12/15/28 |  | 1900 | 1918541 |
| &nbsp;&nbsp;&nbsp; Ford Credit Auto Owner Trust/Ford Credit, <br> Series 2025-1, Class A, 4.86%, 08/15/37<sup>(a)(c)</sup><br>|  | 715 | 729243 |
| Ford Credit Floorplan Master Owner Trust A |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-4, Class A, 4.06%, 11/15/30 |  | 907 | 901556 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 4.92%, 05/15/28<sup>(a)</sup> |  | 1246 | 1251309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), <br> 5.55%, 05/15/28<sup>(a)(b)</sup><br>|  | 260 | 261623 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 5.31%, 05/15/28<sup>(a)</sup> |  | 280 | 281317 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31<sup>(a)</sup> |  | 545 | 562736 |
| Foundation Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.50%, 12/15/49<sup>(a)</sup> |  | 271 | 276540 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.95%, 04/15/50<sup>(a)</sup> |  | 346 | 348002 |
| &nbsp;&nbsp;&nbsp; FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-<br> mo. CME Term SOFR + 1.33%), 5.65%, <br> 05/16/38<sup>(a)(b)</sup><br>|  | 147 | 146368 |
| GM Financial Consumer Automobile Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A4, 1.51%, 04/17/28 |  | 277 | 273252 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.10%, 02/16/27 |  | 188 | 187170 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A4, 3.25%, 04/17/28 |  | 629 | 623433 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A4, 3.71%, 12/16/27 |  | 887 | 882146 |
| &nbsp;&nbsp;&nbsp; Series 2023-4, Class A3, 5.78%, 08/16/28 |  | 668 | 675713 |
| &nbsp;&nbsp;&nbsp; Series 2024-4, Class A3, 4.40%, 08/16/29 |  | 1103 | 1106176 |
| GM Financial Revolving Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.77%, 08/11/36<sup>(a)</sup> |  | 1031 | 1078725 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 4.98%, 12/11/36<sup>(a)</sup> |  | 284 | 290279 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 4.52%, 03/11/37<sup>(a)</sup> |  | 824 | 828790 |
| GoodLeap Sustainable Home Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup> |  | 48 | 39539 |
| &nbsp;&nbsp;&nbsp; Series 2022-1GS, Class A, 2.70%, 01/20/49<sup>(a)</sup> |  | 88 | 75851 |
| &nbsp;&nbsp;&nbsp; Series 2022-2CS, Class A, 4.00%, 04/20/49<sup>(a)</sup> |  | 38 | 33111 |
| GreatAmerica Leasing Receivables Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A2, 5.28%, 03/15/27<sup>(a)</sup> |  | 210 | 210495 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.49%, 04/16/29<sup>(a)</sup> |  | 180 | 180396 |
| &nbsp;&nbsp;&nbsp; Honda Auto Receivables Owner Trust, Series 2023-4, <br> Class A3, 5.67%, 06/21/28<br>|  | 937 | 946993 |
| Hyundai Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.72%, 11/16/26 |  | 91 | 90632 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 4.58%, 04/15/27 |  | 518 | 518500 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A3, 5.48%, 04/17/28 |  | 1234 | 1241399 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.99%, 02/15/29 |  | 966 | 974683 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Hyundai Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.84%, 03/15/29 | USD  | 1338 | $1351637 |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.41%, 05/15/29 |  | 1622 | 1630163 |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.32%, 10/15/29 |  | 366 | 367414 |
| John Deere Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A3, 5.18%, 03/15/28 |  | 447 | 448903 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.96%, 11/15/28 |  | 981 | 990062 |
| &nbsp;&nbsp;&nbsp; Kubota Credit Owner Trust, Series 2025-1A, Class A2, <br> 4.61%, 12/15/27<sup>(a)</sup><br>|  | 216 | 216605 |
| &nbsp;&nbsp;&nbsp; M&T Equipment Notes, Series 2025-1A, Class A2, <br> 4.70%, 12/16/27<sup>(a)</sup><br>|  | 85 | 85342 |
| &nbsp;&nbsp;&nbsp; Mercedes-Benz Auto Receivables Trust, <br> Series 2023-2, Class A3, 5.95%, 11/15/28<br>|  | 760 | 769872 |
| MMAF Equipment Finance LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.95%, 07/14/31<sup>(a)</sup> |  | 150 | 151875 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A4, 5.10%, 07/13/49<sup>(a)</sup> |  | 745 | 763436 |
| &nbsp;&nbsp;&nbsp; Navient Education Loan Trust, Series 2025-A, Class A, <br> 5.02%, 07/15/55<sup>(a)</sup><br>|  | 335 | 334943 |
| &nbsp;&nbsp;&nbsp; Navient Private Education Loan Trust, Series 2020-A, <br> Class A2B, (1-mo. CME Term SOFR + 1.01%), <br> 5.33%, 11/15/68<sup>(a)(b)</sup><br>|  | 770 | 768140 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-CA, Class A2, 3.13%, 02/15/68<sup>(a)</sup> |  | 115 | 112299 |
| &nbsp;&nbsp;&nbsp; Series 2019-GA, Class A, 2.40%, 10/15/68<sup>(a)</sup> |  | 53 | 51105 |
| &nbsp;&nbsp;&nbsp; Series 2020-BA, Class A2, 2.12%, 01/15/69<sup>(a)</sup> |  | 214 | 203016 |
| &nbsp;&nbsp;&nbsp; Series 2020-DA, Class A, 1.69%, 05/15/69<sup>(a)</sup> |  | 258 | 244436 |
| &nbsp;&nbsp;&nbsp; Series 2020-FA, Class A, 1.22%, 07/15/69<sup>(a)</sup> |  | 367 | 341962 |
| &nbsp;&nbsp;&nbsp; Series 2020-IA, Class A1A, 1.33%, 04/15/69<sup>(a)</sup> |  | 581 | 533498 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 0.84%, 05/15/69<sup>(a)</sup> |  | 47 | 42976 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class A, 0.94%, 07/15/69<sup>(a)</sup> |  | 300 | 272446 |
| &nbsp;&nbsp;&nbsp; Series 2022-BA, Class A, 4.16%, 10/15/70<sup>(a)</sup> |  | 729 | 708429 |
| &nbsp;&nbsp;&nbsp; Navient Student Loan Trust, Series 2023-BA, <br> Class A1B, (SOFR (30-day) + 1.70%), 6.00%, <br> 03/15/72<sup>(a)(b)</sup><br>|  | 190 | 191312 |
| &nbsp;&nbsp;&nbsp; Navistar Financial Dealer Note Master Owner Trust, <br> Series 2024-1, Class A, 5.59%, 04/25/29<sup>(a)</sup><br>|  | 390 | 393170 |
| &nbsp;&nbsp;&nbsp; Navistar Financial Dealer Note Master Owner Trust II, <br> Series 2023-1, Class A, 6.18%, 08/25/28<sup>(a)</sup><br>|  | 167 | 167208 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup> |  | 386 | 362609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class AFL, (1-mo. CME Term <br> SOFR + 0.85%), 5.17%, 04/20/62<sup>(a)(b)</sup><br>|  | 288 | 286027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class A1B, (SOFR (30-day) + <br> 1.10%), 5.40%, 03/15/57<sup>(a)(b)</sup><br>|  | 393 | 390093 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XV Ltd., Series 2013-15A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.18%), <br> 5.44%, 10/15/29<sup>(a)(b)</sup><br>|  | 195 | 195269 |
| &nbsp;&nbsp;&nbsp; Nissan Auto Receivables Owner Trust, Series 2023-A, <br> Class A3, 4.91%, 11/15/27<br>|  | 1418 | 1421091 |
| &nbsp;&nbsp;&nbsp; OCP CLO Ltd., Series 2016-12A, Class BAR3, (3-mo. <br> CME Term SOFR + 1.68%), 5.95%, 10/18/37<sup>(a)(b)</sup><br>|  | 260 | 260331 |
| &nbsp;&nbsp;&nbsp; Octagon 55 Ltd., Series 2021-1A, Class A1, (3-mo. <br> CME Term SOFR + 1.40%), 5.67%, 07/20/34<sup>(a)(b)</sup><br>|  | 300 | 300462 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XVI, Series 2021-16A, Class AR, <br> (3-mo. CME Term SOFR + 1.35%), 5.62%, <br> 10/18/37<sup>(a)(b)</sup><br>|  | 420 | 421480 |
| &nbsp;&nbsp;&nbsp; OneMain Direct Auto Receivables Trust, Series 2021-<br> 1A, Class A, 0.87%, 07/14/28<sup>(a)</sup><br>|  | 225 | 223721 |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 3.14%, 10/14/36<sup>(a)</sup> |  | 402 | 392019 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.50%, 06/14/38<sup>(a)</sup> |  | 150 | 154622 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. <br> CME Term SOFR + 1.76%), 6.04%, 01/17/31<sup>(a)(b)</sup><br>| USD  | 250 | $250294 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust, <br> Series 2023-1, Class A, 3.60%, 10/25/40<sup>(a)</sup><br>|  | 495 | 478660 |
| PFS Financing Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-D, Class A, 4.27%, 08/15/27<sup>(a)</sup> |  | 706 | 705621 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 5.80%, 03/15/28<sup>(a)</sup> |  | 1030 | 1038565 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A, 5.52%, 10/15/28<sup>(a)</sup> |  | 432 | 438326 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 4.95%, 02/15/29<sup>(a)</sup> |  | 140 | 141362 |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A, 5.34%, 04/15/29<sup>(a)</sup> |  | 115 | 116969 |
| &nbsp;&nbsp;&nbsp; Series 2025-B, Class A, 4.85%, 02/15/30<sup>(a)</sup> |  | 738 | 747049 |
| &nbsp;&nbsp;&nbsp; Pikes Peak CLO 14 Ltd., Series 2023-14A, Class A1R, <br> (3-mo. CME Term SOFR + 1.38%), 5.70%, <br> 07/20/38<sup>(a)(b)</sup><br>|  | 250 | 250622 |
| &nbsp;&nbsp;&nbsp; Point Broadband & Funding LLC, Series 2025-1A, <br> Class A2, 07/20/55<sup>(a)(d)</sup><br>|  | 116 | 115998 |
| &nbsp;&nbsp;&nbsp; Porsche Financial Auto Securitization Trust, <br> Series 2024-1A, Class A3, 4.44%, 01/22/30<sup>(a)</sup><br>|  | 2163 | 2173017 |
| &nbsp;&nbsp;&nbsp; Prodigy Finance DAC, Series 2021-1A, Class A, (1-<br> mo. CME Term SOFR + 1.36%), 5.68%, <br> 07/25/51<sup>(a)(b)</sup><br>|  | 35 | 34835 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR10, <br> Class A, 2.39%, 12/17/40<sup>(a)</sup><br>|  | 446 | 419555 |
| &nbsp;&nbsp;&nbsp; Rad CLO 18 Ltd., Series 2023-18A, Class A1R, (3-mo. <br> CME Term SOFR + 1.40%), 5.72%, 07/15/37<sup>(a)(b)</sup><br>|  | 490 | 491593 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.68%, 03/17/31<sup>(a)</sup> |  | 5 | 4849 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 5.83%, 07/15/36<sup>(a)</sup> |  | 103 | 105315 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> |  | 100 | 100547 |
| &nbsp;&nbsp;&nbsp; RR 21 Ltd., Series 2022-21A, Class A1AR, (3-mo. <br> CME Term SOFR + 1.40%), 5.66%, 07/15/39<sup>(a)(b)</sup><br>|  | 260 | 260855 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2023-5, Class A3, 6.02%, 09/15/28<br>|  | 774 | 777460 |
| SFS Auto Receivables Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 4.75%, 07/22/30<sup>(a)</sup> |  | 450 | 454717 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class A3, 4.44%, 12/20/30<sup>(a)</sup> |  | 656 | 660356 |
| &nbsp;&nbsp;&nbsp; SLM Student Loan Trust, Series 2013-4, Class A, <br> (SOFR (30-day) + 0.66%), 4.97%, 06/25/43<sup>(b)</sup><br>|  | 117 | 114712 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class A2B, (1-mo. CME Term SOFR <br> + 1.01%), 5.33%, 09/15/34<sup>(a)(b)</sup><br>|  | 59 | 59326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B, Class A2B, (1-mo. CME Term SOFR <br> + 1.11%), 5.43%, 06/15/37<sup>(a)(b)</sup><br>|  | 378 | 378455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2A1, (1-mo. CME Term <br> SOFR + 0.84%), 5.16%, 01/15/53<sup>(a)(b)</sup><br>|  | 612 | 608784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class APL, (1-mo. CME Term SOFR <br> + 0.84%), 5.16%, 01/15/53<sup>(a)(b)</sup><br>|  | 719 | 713536 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class APT, 2.85%, 11/16/54<sup>(a)</sup> |  | 500 | 469514 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A1A, 3.94%, 02/16/55<sup>(a)</sup> |  | 517 | 502850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class A1B, (SOFR (30-day) + <br> 1.80%), 6.10%, 10/16/56<sup>(a)(b)</sup><br>|  | 568 | 579485 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A1A, 5.67%, 11/15/52<sup>(a)</sup> |  | 124 | 127632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1B, (SOFR (30-day) + <br> 1.45%), 5.75%, 03/15/56<sup>(a)(b)</sup><br>|  | 656 | 662544 |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A1A, 5.50%, 06/17/52<sup>(a)</sup> |  | 1044 | 1068450 |
| SoFi Consumer Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> |  | 269 | 269320 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A, 4.82%, 06/25/34<sup>(a)</sup> |  | 1089 | 1090707 |
| SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> |  | 87 | 88081 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> |  | 169 | 170081 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| SoFi Professional Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-A, Class A2FX, 2.54%, 05/15/46<sup>(a)</sup> | USD  | 127 | $122596 |
| &nbsp;&nbsp;&nbsp; Series 2020-C, Class AFX, 1.95%, 02/15/46<sup>(a)</sup> |  | 184 | 172319 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 40 Ltd., Series 2023-40A, Class AR, <br> (3-mo. CME Term SOFR + 1.31%), 5.55%, <br> 01/05/38<sup>(a)(b)</sup><br>|  | 645 | 647086 |
| Toyota Auto Loan Extended Note Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.07%, 02/27/34<sup>(a)</sup> |  | 572 | 559445 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 4.93%, 06/25/36<sup>(a)</sup> |  | 1000 | 1020055 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.65%, 05/25/38<sup>(a)</sup> |  | 1195 | 1210948 |
| Toyota Auto Receivables Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 2.93%, 09/15/26 |  | 182 | 181661 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.11%, 08/16/27 |  | 573 | 568102 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 5.16%, 04/17/28 |  | 331 | 332970 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XIX Ltd., Series 2022-19A, Class A1R, <br> (3-mo. CME Term SOFR + 1.11%), 5.38%, <br> 10/20/33<sup>(a)(b)</sup><br>|  | 425 | 425339 |
| Verizon Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1A, 5.00%, 12/20/28 |  | 1783 | 1786579 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 4.83%, 12/22/31<sup>(a)</sup> |  | 266 | 271001 |
| &nbsp;&nbsp;&nbsp; Series 2024-8, Class A1A, 4.62%, 11/20/30 |  | 1042 | 1054616 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust, Series 2025-<br> P1, Class A3, 4.58%, 06/15/29<sup>(a)</sup><br>|  | 216 | 217087 |
| &nbsp;&nbsp;&nbsp; WF Card Issuance Trust, Series 2024-A1, Class A, <br> 4.94%, 02/15/29<br>|  | 1902 | 1926689 |
| &nbsp;&nbsp;&nbsp; Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.32%), 5.60%, <br> 07/24/36<sup>(a)(b)</sup><br>|  | 410 | 410384 |
| **Total Asset-Backed Securities — 22.5%** <br>**(Cost: $83,267,711)** | **Total Asset-Backed Securities — 22.5%** <br>**(Cost: $83,267,711)** | **Total Asset-Backed Securities — 22.5%** <br>**(Cost: $83,267,711)** | 83646158 |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Aerospace & Defense — 0.8%** | **Aerospace & Defense — 0.8%** | **Aerospace & Defense — 0.8%** | **Aerospace & Defense — 0.8%** |
| Boeing Co. (The), 6.30%, 05/01/29 |  | 550 | 581434 |
| L3Harris Technologies, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.40%, 01/15/27 |  | 569 | 578428 |
| &nbsp;&nbsp;&nbsp; 5.05%, 06/01/29 |  | 495 | 506369 |
| RTX Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 11/01/26 |  | 38 | 37237 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/27 |  | 470 | 464340 |
| &nbsp;&nbsp;&nbsp; 3.13%, 05/04/27 |  | 770 | 754869 |
|  |  |  | 2922677 |
| **Automobile Components — 0.1%** | **Automobile Components — 0.1%** | **Automobile Components — 0.1%** | **Automobile Components — 0.1%** |
| Aptiv Swiss Holdings Ltd., 4.65%, 09/13/29 |  | 440 | 438853 |
| **Automobiles — 0.1%** | **Automobiles — 0.1%** | **Automobiles — 0.1%** | **Automobiles — 0.1%** |
| Stellantis NV, 3.38%, 11/19/28<sup>(e)</sup> | EUR  | 200 | 237829 |
| Traton Finance Luxembourg SA, 4.13%, 11/22/25<sup>(e)</sup> |  | 100 | 118464 |
|  |  |  | 356293 |
| **Banks — 8.8%** | **Banks — 8.8%** | **Banks — 8.8%** | **Banks — 8.8%** |
| Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.56%, 04/23/27 | USD  | 914 | 907434 |
| &nbsp;&nbsp;&nbsp; 1.73%, 07/22/27 |  | 255 | 247855 |
| &nbsp;&nbsp;&nbsp; 2.55%, 02/04/28 |  | 125 | 121487 |
| &nbsp;&nbsp;&nbsp; 6.20%, 11/10/28 |  | 1235 | 1285237 |
| &nbsp;&nbsp;&nbsp; 3.42%, 12/20/28 |  | 385 | 376331 |
| &nbsp;&nbsp;&nbsp; 4.98%, 01/24/29 |  | 690 | 699842 |
| &nbsp;&nbsp;&nbsp; 4.62%, 05/09/29 |  | 200 | 201269 |
| &nbsp;&nbsp;&nbsp; 5.82%, 09/15/29 |  | 166 | 172925 |
| &nbsp;&nbsp;&nbsp; 5.16%, 01/24/31 |  | 778 | 797411 |
| &nbsp;&nbsp;&nbsp; Series N, 1.66%, 03/11/27 |  | 1220 | 1196782 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| Citibank N.A., 4.91%, 05/29/30 | USD  | 575 | $586039 |
| Citigroup, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.61%, 09/29/26 |  | 2083 | 2087678 |
| &nbsp;&nbsp;&nbsp; 3.20%, 10/21/26 |  | 1190 | 1172998 |
| &nbsp;&nbsp;&nbsp; 4.64%, 05/07/28 |  | 1290 | 1293419 |
| &nbsp;&nbsp;&nbsp; 4.79%, 03/04/29 |  | 1035 | 1042433 |
| &nbsp;&nbsp;&nbsp; 5.17%, 02/13/30 |  | 370 | 377487 |
| &nbsp;&nbsp;&nbsp; 4.54%, 09/19/30 |  | 525 | 522620 |
| &nbsp;&nbsp;&nbsp; 4.95%, 05/07/31 |  | 600 | 606838 |
| Goldman Sachs Bank U.S.A., 5.28%, 03/18/27 |  | 201 | 201992 |
| JPMorgan Chase & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.05%, 11/19/26 |  | 915 | 902647 |
| &nbsp;&nbsp;&nbsp; 3.96%, 01/29/27 |  | 97 | 96745 |
| &nbsp;&nbsp;&nbsp; 6.07%, 10/22/27 |  | 1036 | 1058498 |
| &nbsp;&nbsp;&nbsp; 5.57%, 04/22/28 |  | 585 | 597004 |
| &nbsp;&nbsp;&nbsp; 4.98%, 07/22/28 |  | 1002 | 1014849 |
| &nbsp;&nbsp;&nbsp; 4.92%, 01/24/29 |  | 2170 | 2199140 |
| &nbsp;&nbsp;&nbsp; 5.30%, 07/24/29 |  | 119 | 122179 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/22/30 |  | 505 | 514223 |
| &nbsp;&nbsp;&nbsp; 5.14%, 01/24/31 |  | 512 | 525045 |
| &nbsp;&nbsp;&nbsp; 5.10%, 04/22/31 |  | 2167 | 2220751 |
| KeyCorp, 5.12%, 04/04/31 |  | 200 | 202387 |
| Morgan Stanley Bank N.A. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.95%, 01/14/28 |  | 915 | 922370 |
| &nbsp;&nbsp;&nbsp; 4.97%, 07/14/28 |  | 765 | 774164 |
| &nbsp;&nbsp;&nbsp; 5.02%, 01/12/29 |  | 830 | 842904 |
| PNC Bank N.A., 4.54%, 05/13/27 |  | 1060 | 1060533 |
| Royal Bank of Canada, 4.88%, 01/12/26 |  | 12 | 12024 |
| Truist Financial Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.05%, 06/08/27 |  | 351 | 355716 |
| &nbsp;&nbsp;&nbsp; 5.44%, 01/24/30 |  | 147 | 151406 |
| Wells Fargo & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.54%, 08/15/26 |  | 55 | 54988 |
| &nbsp;&nbsp;&nbsp; 5.71%, 04/22/28 |  | 165 | 168583 |
| &nbsp;&nbsp;&nbsp; 3.58%, 05/22/28 |  | 440 | 433224 |
| &nbsp;&nbsp;&nbsp; 4.81%, 07/25/28 |  | 95 | 95801 |
| &nbsp;&nbsp;&nbsp; 4.97%, 04/23/29 |  | 535 | 542486 |
| &nbsp;&nbsp;&nbsp; 5.57%, 07/25/29 |  | 540 | 557581 |
| &nbsp;&nbsp;&nbsp; 5.20%, 01/23/30 |  | 560 | 573609 |
| &nbsp;&nbsp;&nbsp; 5.15%, 04/23/31 |  | 769 | 787581 |
| &nbsp;&nbsp;&nbsp; Series W, 4.90%, 01/24/28 |  | 821 | 826945 |
| Westpac Banking Corp., 4.18%, 05/22/28<sup>(a)</sup> |  | 1205 | 1210482 |
|  |  |  | 32721942 |
| **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** |
| AbbVie, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/15/29 |  | 381 | 388471 |
| &nbsp;&nbsp;&nbsp; 3.20%, 11/21/29 |  | 155 | 148258 |
| Amgen, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 08/19/26 |  | 346 | 339612 |
| &nbsp;&nbsp;&nbsp; 4.05%, 08/18/29 |  | 482 | 476411 |
|  |  |  | 1352752 |
| **Capital Markets — 4.5%** | **Capital Markets — 4.5%** | **Capital Markets — 4.5%** | **Capital Markets — 4.5%** |
| Deutsche Bank AG |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.37%, 01/10/29 |  | 336 | 341898 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/11/30 |  | 275 | 277082 |
| Goldman Sachs Group, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.43%, 03/09/27 |  | 1235 | 1208322 |
| &nbsp;&nbsp;&nbsp; 1.95%, 10/21/27 |  | 689 | 667132 |
| &nbsp;&nbsp;&nbsp; 2.64%, 02/24/28 |  | 400 | 388481 |
| &nbsp;&nbsp;&nbsp; 4.94%, 04/23/28 |  | 1965 | 1980315 |
| &nbsp;&nbsp;&nbsp; 4.48%, 08/23/28 |  | 940 | 941249 |
| &nbsp;&nbsp;&nbsp; 6.48%, 10/24/29 |  | 515 | 546295 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** | **Capital Markets (continued)** |
| Goldman Sachs Group, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/23/30 | USD  | 730 | $742121 |
| &nbsp;&nbsp;&nbsp; 5.21%, 01/28/31 |  | 543 | 555710 |
| &nbsp;&nbsp;&nbsp; 5.22%, 04/23/31 |  | 1740 | 1783798 |
| Morgan Stanley |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.88%, 01/27/26 |  | 758 | 754825 |
| &nbsp;&nbsp;&nbsp; 1.59%, 05/04/27 |  | 1719 | 1677488 |
| &nbsp;&nbsp;&nbsp; 6.30%, 10/18/28 |  | 450 | 468754 |
| &nbsp;&nbsp;&nbsp; 4.99%, 04/12/29 |  | 935 | 948602 |
| &nbsp;&nbsp;&nbsp; 5.45%, 07/20/29 |  | 545 | 560506 |
| &nbsp;&nbsp;&nbsp; 5.17%, 01/16/30 |  | 170 | 173561 |
| &nbsp;&nbsp;&nbsp; 5.04%, 07/19/30 |  | 1092 | 1110553 |
| &nbsp;&nbsp;&nbsp; 4.65%, 10/18/30 |  | 375 | 375715 |
| &nbsp;&nbsp;&nbsp; 5.23%, 01/15/31 |  | 400 | 409477 |
| &nbsp;&nbsp;&nbsp; 3.62%, 04/01/31 |  | 275 | 263713 |
| UBS AG, 5.00%, 07/09/27 |  | 491 | 498584 |
|  |  |  | 16674181 |
| **Consumer Finance — 0.9%** | **Consumer Finance — 0.9%** | **Consumer Finance — 0.9%** | **Consumer Finance — 0.9%** |
| Ally Financial, Inc., 5.74%, 05/15/29 |  | 180 | 183205 |
| Capital One Financial Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.99%, 07/24/26 |  | 300 | 299987 |
| &nbsp;&nbsp;&nbsp; 1.88%, 11/02/27 |  | 488 | 471377 |
| &nbsp;&nbsp;&nbsp; 6.31%, 06/08/29 |  | 343 | 360047 |
| Ford Motor Credit Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.80%, 03/05/27 |  | 255 | 257012 |
| &nbsp;&nbsp;&nbsp; 4.95%, 05/28/27 |  | 215 | 213575 |
| &nbsp;&nbsp;&nbsp; 7.35%, 11/04/27 |  | 470 | 488119 |
| General Motors Financial Co., Inc., 5.55%, 07/15/29 |  | 152 | 155273 |
| Synchrony Financial |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.94%, 08/02/30 |  | 115 | 118160 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/06/31 |  | 720 | 726277 |
|  |  |  | 3273032 |
| **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** | **Containers & Packaging — 0.0%** |
| &nbsp;&nbsp;&nbsp; Amcor Flexibles North America, Inc., 5.10%, <br> 03/17/30<sup>(a)</sup><br>|  | 190 | 193236 |
| **Diversified REITs — 3.3%** | **Diversified REITs — 3.3%** | **Diversified REITs — 3.3%** | **Diversified REITs — 3.3%** |
| American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 10/15/26 |  | 571 | 563701 |
| &nbsp;&nbsp;&nbsp; 3.65%, 03/15/27 |  | 531 | 524495 |
| &nbsp;&nbsp;&nbsp; 3.55%, 07/15/27 |  | 516 | 508552 |
| &nbsp;&nbsp;&nbsp; 5.20%, 02/15/29 |  | 164 | 167808 |
| &nbsp;&nbsp;&nbsp; 2.90%, 01/15/30 |  | 350 | 326138 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/31/30 |  | 229 | 233438 |
| &nbsp;&nbsp;&nbsp; 4.90%, 03/15/30 |  | 530 | 537513 |
| Crown Castle, Inc., 1.05%, 07/15/26 |  | 559 | 538379 |
| Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.45%, 05/15/26 |  | 125 | 121576 |
| &nbsp;&nbsp;&nbsp; 2.90%, 11/18/26 |  | 672 | 658505 |
| &nbsp;&nbsp;&nbsp; 1.80%, 07/15/27 |  | 722 | 688240 |
| &nbsp;&nbsp;&nbsp; 1.55%, 03/15/28 |  | 213 | 198537 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/15/28 |  | 89 | 83274 |
| &nbsp;&nbsp;&nbsp; 3.20%, 11/18/29 |  | 555 | 526675 |
| &nbsp;&nbsp;&nbsp; 2.15%, 07/15/30 |  | 235 | 209140 |
| &nbsp;&nbsp;&nbsp; GLP Capital LP/GLP Financing II, Inc., 5.38%, <br> 04/15/26<br>|  | 1985 | 1985433 |
| VICI Properties LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 |  | 206 | 207130 |
| &nbsp;&nbsp;&nbsp; 4.75%, 04/01/28 |  | 110 | 110900 |
| &nbsp;&nbsp;&nbsp; 4.95%, 02/15/30 |  | 225 | 226316 |
| VICI Properties LP/VICI Note Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/26<sup>(a)</sup> |  | 533 | 531532 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Diversified REITs (continued)** | **Diversified REITs (continued)** | **Diversified REITs (continued)** | **Diversified REITs (continued)** |
| VICI Properties LP/VICI Note Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.25%, 12/01/26<sup>(a)</sup> | USD  | 775 | $770275 |
| &nbsp;&nbsp;&nbsp; 5.75%, 02/01/27<sup>(a)</sup> |  | 680 | 689406 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/28<sup>(a)</sup> |  | 874 | 869399 |
| &nbsp;&nbsp;&nbsp; 3.88%, 02/15/29<sup>(a)</sup> |  | 75 | 72552 |
| &nbsp;&nbsp;&nbsp; 4.63%, 12/01/29<sup>(a)</sup> |  | 532 | 522657 |
| &nbsp;&nbsp;&nbsp; 4.13%, 08/15/30<sup>(a)</sup> |  | 590 | 566293 |
|  |  |  | 12437864 |
| **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** |
| AT&T Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.65%, 02/01/28 |  | 435 | 408085 |
| &nbsp;&nbsp;&nbsp; 4.70%, 08/15/30 |  | 580 | 585264 |
| NTT Finance Corp., 4.37%, 07/27/27<sup>(a)</sup> |  | 275 | 275066 |
|  |  |  | 1268415 |
| **Electric Utilities — 2.8%** | **Electric Utilities — 2.8%** | **Electric Utilities — 2.8%** | **Electric Utilities — 2.8%** |
| AEP Texas, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.95%, 06/01/28 |  | 110 | 108707 |
| &nbsp;&nbsp;&nbsp; 5.45%, 05/15/29 |  | 576 | 594559 |
| Dominion Energy, Inc., 5.00%, 06/15/30 |  | 273 | 278610 |
| Duke Energy Carolinas LLC, 4.85%, 03/15/30 |  | 335 | 342365 |
| Duke Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/05/29 |  | 840 | 853194 |
| &nbsp;&nbsp;&nbsp; 3.40%, 06/15/29 |  | 110 | 105946 |
| Edison International, 4.70%, 08/15/25 |  | 380 | 379411 |
| Eversource Energy |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 05/15/26 |  | 285 | 285455 |
| &nbsp;&nbsp;&nbsp; 2.90%, 03/01/27 |  | 353 | 344394 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/01/28 |  | 245 | 251319 |
| Exelon Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/15/28 |  | 253 | 258601 |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/15/29 |  | 270 | 276976 |
| FirstEnergy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series B, 3.90%, 07/15/27 |  | 230 | 227421 |
| &nbsp;&nbsp;&nbsp; Series B, 2.25%, 09/01/30 |  | 237 | 210444 |
| FirstEnergy Transmission LLC, 4.55%, 01/15/30 |  | 175 | 175088 |
| &nbsp;&nbsp;&nbsp; National Rural Utilities Cooperative Finance Corp., <br> 4.75%, 02/07/28<br>|  | 117 | 118510 |
| NextEra Energy Capital Holdings, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.85%, 02/04/28 |  | 485 | 491672 |
| &nbsp;&nbsp;&nbsp; 1.90%, 06/15/28 |  | 22 | 20557 |
| NRG Energy, Inc., 2.45%, 12/02/27<sup>(a)</sup> |  | 243 | 230634 |
| Ohio Edison Co., 4.95%, 12/15/29<sup>(a)</sup> |  | 240 | 243287 |
| Oncor Electric Delivery Co. LLC, 4.65%, 11/01/29 |  | 444 | 449115 |
| Pacific Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.45%, 07/01/25 |  | 255 | 255000 |
| &nbsp;&nbsp;&nbsp; (3-mo. SOFR Index + 0.95%), 5.34%, 09/04/25<sup>(b)</sup> |  | 720 | 719997 |
| &nbsp;&nbsp;&nbsp; 5.55%, 05/15/29 |  | 1177 | 1195979 |
| &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc., 4.90%, <br> 03/15/30<br>|  | 245 | 249208 |
| Southern California Edison Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.65%, 10/01/28 |  | 110 | 112666 |
| &nbsp;&nbsp;&nbsp; 5.15%, 06/01/29 |  | 122 | 123226 |
| Southern Co. (The), 5.50%, 03/15/29 |  | 719 | 748498 |
| &nbsp;&nbsp;&nbsp; Texas Electric Market Stabilization Funding N LLC, <br> Series A-1, 4.27%, 08/01/34<sup>(a)</sup><br>|  | 283 | 280298 |
| Vistra Operations Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 12/30/26<sup>(a)</sup> |  | 120 | 120587 |
| &nbsp;&nbsp;&nbsp; 3.70%, 01/30/27<sup>(a)</sup> |  | 265 | 261549 |
|  |  |  | 10313273 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** |
| &nbsp;&nbsp;&nbsp; NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 3.40%, <br> 05/01/30<br>| USD  | 39 | $36911 |
| **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** |
| Tyco Electronics Group SA, 4.50%, 02/09/31 |  | 275 | 274759 |
| **Financial Services — 0.8%** | **Financial Services — 0.8%** | **Financial Services — 0.8%** | **Financial Services — 0.8%** |
| Glencore Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/27/27<sup>(a)</sup> |  | 916 | 908505 |
| &nbsp;&nbsp;&nbsp; 4.91%, 04/01/28<sup>(a)</sup> |  | 530 | 535396 |
| &nbsp;&nbsp;&nbsp; 5.40%, 05/08/28<sup>(a)</sup> |  | 254 | 259574 |
| &nbsp;&nbsp;&nbsp; 6.13%, 10/06/28<sup>(a)</sup> |  | 423 | 442602 |
| &nbsp;&nbsp;&nbsp; 5.37%, 04/04/29<sup>(a)</sup> |  | 310 | 317854 |
| &nbsp;&nbsp;&nbsp; TER Finance Jersey Ltd., Series 22, 0.00%, <br> 10/02/25<sup>(a)(f)</sup><br>|  | 580 | 566950 |
|  |  |  | 3030881 |
| **Ground Transportation — 0.6%** | **Ground Transportation — 0.6%** | **Ground Transportation — 0.6%** | **Ground Transportation — 0.6%** |
| Canadian Pacific Railway Co., 4.00%, 06/01/28 |  | 68 | 67633 |
| Ryder System, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.85%, 03/01/27 |  | 370 | 360389 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/01/28 |  | 130 | 133377 |
| &nbsp;&nbsp;&nbsp; 4.90%, 12/01/29 |  | 65 | 65922 |
| Uber Technologies, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/29<sup>(a)</sup> |  | 1125 | 1117059 |
| &nbsp;&nbsp;&nbsp; 4.30%, 01/15/30 |  | 410 | 408109 |
|  |  |  | 2152489 |
| **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** |
| Becton Dickinson & Co., 5.08%, 06/07/29 |  | 600 | 613057 |
| Edwards Lifesciences Corp., 4.30%, 06/15/28 |  | 12 | 11981 |
|  |  |  | 625038 |
| **Health Care Providers & Services — 1.4%** | **Health Care Providers & Services — 1.4%** | **Health Care Providers & Services — 1.4%** | **Health Care Providers & Services — 1.4%** |
| Elevance Health, Inc., 5.15%, 06/15/29 |  | 414 | 425812 |
| HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 02/15/26 |  | 215 | 215233 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/15/26 |  | 590 | 590819 |
| &nbsp;&nbsp;&nbsp; 5.38%, 09/01/26 |  | 876 | 880425 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/28 |  | 1045 | 1060526 |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/01/28 |  | 727 | 748488 |
| &nbsp;&nbsp;&nbsp; 4.13%, 06/15/29 |  | 610 | 599343 |
| &nbsp;&nbsp;&nbsp; 5.25%, 03/01/30 |  | 500 | 512597 |
| Humana, Inc., 5.75%, 03/01/28 |  | 124 | 127949 |
| &nbsp;&nbsp;&nbsp; PeaceHealth Obligated Group, Series 2020, 1.38%, <br> 11/15/25<br>|  | 114 | 112382 |
|  |  |  | 5273574 |
| **Health Care REITs — 0.0%** | **Health Care REITs — 0.0%** | **Health Care REITs — 0.0%** | **Health Care REITs — 0.0%** |
| Healthpeak OP LLC, 1.35%, 02/01/27 |  | 10 | 9532 |
| **Industrial Conglomerates — 0.2%** | **Industrial Conglomerates — 0.2%** | **Industrial Conglomerates — 0.2%** | **Industrial Conglomerates — 0.2%** |
| 3M Co., 4.80%, 03/15/30 |  | 325 | 330401 |
| Honeywell International, Inc., 4.70%, 02/01/30 |  | 320 | 324768 |
|  |  |  | 655169 |
| **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** |
| Netflix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 11/15/28 |  | 215 | 226638 |
| &nbsp;&nbsp;&nbsp; 4.88%, 06/15/30<sup>(a)</sup> |  | 280 | 286488 |
|  |  |  | 513126 |
| **IT Services — 0.3%** | **IT Services — 0.3%** | **IT Services — 0.3%** | **IT Services — 0.3%** |
| Fidelity National Information Services, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.15%, 03/01/26 |  | 349 | 341438 |
| &nbsp;&nbsp;&nbsp; 1.65%, 03/01/28 |  | 225 | 209981 |
| Foundry JV Holdco LLC, 5.90%, 01/25/30<sup>(a)</sup> |  | 200 | 208996 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
| Global Payments, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.20%, 03/01/26 | USD  | 282 | $275376 |
| &nbsp;&nbsp;&nbsp; 4.80%, 04/01/26 |  | 178 | 177904 |
|  |  |  | 1213695 |
| **Media — 1.0%** | **Media — 1.0%** | **Media — 1.0%** | **Media — 1.0%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter <br> Communications Operating Capital<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; 6.15%, 11/10/26 |  | 1335 | 1360555 |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 |  | 813 | 805884 |
| &nbsp;&nbsp;&nbsp; 2.25%, 01/15/29 |  | 1372 | 1263591 |
| Warnermedia Holdings, Inc., 3.76%, 03/15/27 |  | 145 | 140843 |
|  |  |  | 3570873 |
| **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** |
| Anglo American Capital PLC, 3.75%, 06/15/29<sup>(e)</sup> | EUR  | 380 | 460557 |
| **Multi-Utilities — 0.1%** | **Multi-Utilities — 0.1%** | **Multi-Utilities — 0.1%** | **Multi-Utilities — 0.1%** |
| Consumers Energy Co., 4.50%, 01/15/31 | USD  | 270 | 271056 |
| **Oil, Gas & Consumable Fuels — 3.7%** | **Oil, Gas & Consumable Fuels — 3.7%** | **Oil, Gas & Consumable Fuels — 3.7%** | **Oil, Gas & Consumable Fuels — 3.7%** |
| Canadian Natural Resources Ltd., 5.00%, 12/15/29<sup>(a)</sup> |  | 300 | 302703 |
| &nbsp;&nbsp;&nbsp; Cheniere Corpus Christi Holdings LLC, 3.70%, <br> 11/15/29<br>|  | 600 | 578820 |
| Cheniere Energy Partners LP, 4.50%, 10/01/29 |  | 1593 | 1575948 |
| Diamondback Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 |  | 493 | 471613 |
| &nbsp;&nbsp;&nbsp; 5.15%, 01/30/30 |  | 480 | 490952 |
| Enbridge, Inc., 5.25%, 04/05/27 |  | 174 | 176546 |
| Energy Transfer LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 04/15/27 |  | 126 | 125490 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/27 |  | 735 | 748136 |
| &nbsp;&nbsp;&nbsp; 6.10%, 12/01/28 |  | 827 | 868739 |
| &nbsp;&nbsp;&nbsp; 5.25%, 07/01/29 |  | 365 | 373939 |
| EQT Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.13%, 05/15/26<sup>(a)</sup> |  | 111 | 109291 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/27<sup>(a)</sup> |  | 155 | 158493 |
| &nbsp;&nbsp;&nbsp; 3.90%, 10/01/27 |  | 521 | 514094 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/29<sup>(a)</sup> |  | 270 | 266718 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/29 |  | 188 | 189593 |
| &nbsp;&nbsp;&nbsp; 6.38%, 04/01/29<sup>(a)</sup> |  | 881 | 908747 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 |  | 433 | 469389 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30<sup>(a)</sup> |  | 890 | 978121 |
| &nbsp;&nbsp;&nbsp; 4.75%, 01/15/31<sup>(a)</sup> |  | 380 | 374024 |
| Expand Energy Corp., 5.38%, 03/15/30 |  | 619 | 620736 |
| Kinder Morgan, Inc., 5.15%, 06/01/30 |  | 150 | 153153 |
| Occidental Petroleum Corp., 5.00%, 08/01/27 |  | 68 | 68585 |
| Sabine Pass Liquefaction LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 06/30/26 |  | 1198 | 1204520 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 |  | 101 | 101606 |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 |  | 837 | 832567 |
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources <br> Partners Finance Corp., 5.50%, 03/01/30<br>|  | 918 | 931658 |
| Williams Cos., Inc. (The), 3.75%, 06/15/27 |  | 99 | 97854 |
|  |  |  | 13692035 |
| **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** |
| AS Mileage Plan IP Ltd., 5.02%, 10/20/29<sup>(a)</sup> |  | 545 | 539306 |
| **Professional Services — 0.1%** | **Professional Services — 0.1%** | **Professional Services — 0.1%** | **Professional Services — 0.1%** |
| Paychex, Inc., 5.10%, 04/15/30 |  | 555 | 568420 |
| **Retail REITs — 0.1%** | **Retail REITs — 0.1%** | **Retail REITs — 0.1%** | **Retail REITs — 0.1%** |
| Realty Income Corp., 3.25%, 06/15/29 |  | 258 | 247545 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Semiconductors & Semiconductor Equipment — 0.7%** | **Semiconductors & Semiconductor Equipment — 0.7%** | **Semiconductors & Semiconductor Equipment — 0.7%** | **Semiconductors & Semiconductor Equipment — 0.7%** |
| Broadcom, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/12/27 | USD  | 274 | $277876 |
| &nbsp;&nbsp;&nbsp; 4.80%, 04/15/28 |  | 505 | 512304 |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/12/29 |  | 807 | 826383 |
| &nbsp;&nbsp;&nbsp; 4.15%, 11/15/30 |  | 545 | 536274 |
| Intel Corp., 5.13%, 02/10/30 |  | 310 | 316986 |
|  |  |  | 2469823 |
| **Software — 1.0%** | **Software — 1.0%** | **Software — 1.0%** | **Software — 1.0%** |
| AppLovin Corp., 5.13%, 12/01/29 |  | 2118 | 2145568 |
| Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 07/15/26 |  | 71 | 69720 |
| &nbsp;&nbsp;&nbsp; 2.80%, 04/01/27 |  | 195 | 190081 |
| &nbsp;&nbsp;&nbsp; 3.25%, 11/15/27 |  | 738 | 721391 |
| &nbsp;&nbsp;&nbsp; 4.20%, 09/27/29 |  | 245 | 243313 |
| Synopsys, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.65%, 04/01/28 |  | 190 | 191934 |
| &nbsp;&nbsp;&nbsp; 4.85%, 04/01/30 |  | 240 | 243329 |
|  |  |  | 3805336 |
| **Tobacco — 1.5%** | **Tobacco — 1.5%** | **Tobacco — 1.5%** | **Tobacco — 1.5%** |
| Altria Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.20%, 11/01/28 |  | 399 | 421178 |
| &nbsp;&nbsp;&nbsp; 4.80%, 02/14/29 |  | 625 | 631934 |
| BAT Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.56%, 08/15/27 |  | 1406 | 1383449 |
| &nbsp;&nbsp;&nbsp; 6.34%, 08/02/30 |  | 61 | 65732 |
| BAT International Finance PLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.67%, 03/25/26 |  | 91 | 89113 |
| &nbsp;&nbsp;&nbsp; 4.45%, 03/16/28 |  | 277 | 277444 |
| &nbsp;&nbsp;&nbsp; 5.93%, 02/02/29 |  | 555 | 582423 |
| Japan Tobacco, Inc., 4.85%, 05/15/28<sup>(a)</sup> |  | 600 | 609007 |
| Philip Morris International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.88%, 02/15/28 |  | 778 | 791103 |
| &nbsp;&nbsp;&nbsp; 3.13%, 03/02/28 |  | 152 | 148061 |
| &nbsp;&nbsp;&nbsp; 4.38%, 04/30/30 |  | 490 | 488815 |
|  |  |  | 5488259 |
| **Wireless Telecommunication Services — 1.2%** | **Wireless Telecommunication Services — 1.2%** | **Wireless Telecommunication Services — 1.2%** | **Wireless Telecommunication Services — 1.2%** |
| Rogers Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 11/15/26 |  | 60 | 58705 |
| &nbsp;&nbsp;&nbsp; 3.20%, 03/15/27 |  | 825 | 808878 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/29 |  | 435 | 441162 |
| T-Mobile U.S.A., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/15/26 |  | 260 | 254906 |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/01/28 |  | 868 | 867835 |
| &nbsp;&nbsp;&nbsp; 2.05%, 02/15/28 |  | 902 | 852556 |
| &nbsp;&nbsp;&nbsp; 3.38%, 04/15/29 |  | 410 | 394480 |
| &nbsp;&nbsp;&nbsp; 3.88%, 04/15/30 |  | 723 | 702190 |
|  |  |  | 4380712 |
| **Total Corporate Bonds — 35.3%** <br>**(Cost: $129,548,030)** | **Total Corporate Bonds — 35.3%** <br>**(Cost: $129,548,030)** | **Total Corporate Bonds — 35.3%** <br>**(Cost: $129,548,030)** | 131231614 |
| **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** |
| **Canada — 0.4%** | **Canada — 0.4%** | **Canada — 0.4%** | **Canada — 0.4%** |
| OMERS Finance Trust, 4.38%, 03/20/30<sup>(a)</sup> |  | 550 | 557592 |
| Ontario Teachers' Finance Trust, 4.25%, 04/25/28<sup>(a)</sup> |  | 965 | 973848 |
|  |  |  | 1531440 |
| **Uruguay — 0.0%** | **Uruguay — 0.0%** | **Uruguay — 0.0%** | **Uruguay — 0.0%** |
| Oriental Republic of Uruguay, 4.38%, 01/23/31 |  | 0 <br><sup>(g)</sup><br>| 3 |
| **Total Foreign Government Obligations — 0.4%** <br>**(Cost: $1,513,004)** | **Total Foreign Government Obligations — 0.4%** <br>**(Cost: $1,513,004)** | **Total Foreign Government Obligations — 0.4%** <br>**(Cost: $1,513,004)** | 1531443 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 6.6%** | **Collateralized Mortgage Obligations — 6.6%** | **Collateralized Mortgage Obligations — 6.6%** | **Collateralized Mortgage Obligations — 6.6%** |
| &nbsp;&nbsp;&nbsp; ACRA Trust, Series 2024-NQM1, Class A1, 5.61%, <br> 10/25/64<sup>(a)(c)</sup><br>| USD  | 388 | $388272 |
| Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A1A, 2.53%, 01/26/65<sup>(a)(b)</sup> |  | 103 | 97334 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup> |  | 253 | 237971 |
| &nbsp;&nbsp;&nbsp; Series 2023-6, Class A1, 6.50%, 12/25/67<sup>(a)(c)</sup> |  | 146 | 146758 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(c)</sup> |  | 212 | 213031 |
| &nbsp;&nbsp;&nbsp; Series 2025-7, Class A1, 5.51%, 06/25/70<sup>(a)(b)</sup> |  | 780 | 783835 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust I LLC, Series 2019-2, <br> Class B1, 5.02%, 03/25/49<sup>(a)(b)</sup><br>|  | 314 | 313562 |
| &nbsp;&nbsp;&nbsp; Arroyo Mortgage Trust, Series 2022-2, Class A1, <br> 4.95%, 07/25/57<sup>(a)(c)</sup><br>|  | 212 | 211396 |
| &nbsp;&nbsp;&nbsp; Barclays Mortgage Loan Trust, Series 2024-NQM1, <br> Class A1, 5.90%, 01/25/64<sup>(a)(c)</sup><br>|  | 327 | 328592 |
| BRAVO Residential Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.60%, 09/25/63<sup>(a)(c)</sup> |  | 306 | 308375 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.94%, 12/01/63<sup>(a)(c)</sup> |  | 594 | 597207 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, 11/25/64<sup>(a)(c)</sup> |  | 302 | 303581 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.57%, 03/25/65<sup>(a)(c)</sup> |  | 145 | 145689 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.61%, 02/25/65<sup>(a)(c)</sup> |  | 387 | 389780 |
| &nbsp;&nbsp;&nbsp; Bunker Hill Loan Depositary Trust, Series 2019-3, <br> Class A1, 2.72%, 11/25/59<sup>(a)(c)</sup><br>|  | 158 | 155575 |
| Chase Home Lending Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-ATR2, Class A3, 3.50%, 07/25/49<sup>(a)(b)</sup> |  | 123 | 111763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class A11, (SOFR (30-day) + <br> 1.30%), 7.50%, 02/25/56<sup>(a)(b)</sup><br>|  | 565 | 565686 |
| COLT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 3.90%, 02/25/67<sup>(a)(b)</sup> |  | 104 | 102041 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A1, 6.60%, 07/25/68<sup>(a)(c)</sup> |  | 203 | 204545 |
| &nbsp;&nbsp;&nbsp; Series 2025-4, Class A1, 5.79%, 04/25/70<sup>(a)(c)</sup> |  | 496 | 500791 |
| &nbsp;&nbsp;&nbsp; Series 2025-INV2, Class A1, 5.60%, 02/25/70<sup>(a)(c)</sup> |  | 182 | 183147 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2022-ATH1, <br> Class A1A, 2.87%, 01/25/67<sup>(a)(b)</sup><br>|  | 214 | 206256 |
| Cross Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-H2, Class A1, 5.36%, 03/25/70<sup>(a)(b)</sup> |  | 340 | 339474 |
| &nbsp;&nbsp;&nbsp; Series 2025-H3, Class A1, 5.88%, 04/25/70<sup>(a)(b)</sup> |  | 702 | 710079 |
| &nbsp;&nbsp;&nbsp; Ellington Financial Mortgage Trust, Series 2025-INV2, <br> Class A1, 5.39%, 05/26/70<sup>(a)(c)</sup><br>|  | 406 | 406898 |
| Flagstar Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1INV, Class A11, (1-mo. CME Term <br> SOFR + 0.96%), 5.28%, 03/25/50<sup>(a)(b)</sup><br>|  | 364 | 348121 |
| &nbsp;&nbsp;&nbsp; Series 2021-12, Class A19, 5.00%, 11/25/51<sup>(a)(b)</sup> |  | 584 | 573895 |
| &nbsp;&nbsp;&nbsp; GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, <br> 08/25/66<sup>(a)(b)</sup><br>|  | 173 | 160498 |
| HOMES Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.46%, 02/25/68<sup>(a)(c)</sup> |  | 394 | 395733 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 5.72%, 10/25/69<sup>(a)(c)</sup> |  | 463 | 465159 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.43%, 02/25/70<sup>(a)(c)</sup> |  | 417 | 417567 |
| Homeward Opportunities Fund I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 3.20%, 05/25/65<sup>(a)(b)</sup> |  | 335 | 331657 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(c)</sup> |  | 156 | 155183 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-2, Class 1A1, 3.00%, 06/25/29<sup>(a)(b)</sup> |  | 107 | 104888 |
| &nbsp;&nbsp;&nbsp; Series 2023-DSC1, Class A1, 4.63%, 07/25/63<sup>(a)(b)</sup> |  | 328 | 318698 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A3, 6.00%, 08/25/54<sup>(a)(b)</sup> |  | 84 | 85050 |
| &nbsp;&nbsp;&nbsp; Mello Mortgage Capital Acceptance, Series 2022-<br> INV2, Class A3, 3.00%, 04/25/52<sup>(a)(b)</sup><br>|  | 387 | 328272 |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-INV2, Class A1, 1.91%, 11/25/56<sup>(a)(b)</sup> |  | 225 | 200946 |
| &nbsp;&nbsp;&nbsp; Series 2023-INV2, Class A1, 6.78%, 10/25/58<sup>(a)(c)</sup> |  | 134 | 135270 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.62%, 07/25/68<sup>(a)(c)</sup> |  | 329 | 331750 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.44%, 03/25/70<sup>(a)(c)</sup> | USD  | 695 | $695687 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, 05/27/70<sup>(a)(c)</sup> |  | 363 | 364611 |
| Mill City Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-1, Class M2, 3.25%, 11/25/58<sup>(a)(b)</sup> |  | 123 | 121434 |
| &nbsp;&nbsp;&nbsp; Series 2017-3, Class A1, 2.75%, 01/25/61<sup>(a)(b)</sup> |  | 1 | 1057 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.24%, 12/25/67<sup>(a)(c)</sup> |  | 418 | 418563 |
| &nbsp;&nbsp;&nbsp; Mill City Mortgage Trust, Series 2015-2, Class M3, <br> 3.71%, 09/25/57<sup>(a)(b)</sup><br>|  | 326 | 321710 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class A1, 5.65%, 10/25/69<sup>(a)(b)</sup> |  | 688 | 691105 |
| &nbsp;&nbsp;&nbsp; Series 2025-DSC1, Class A1, 5.56%, 03/25/70<sup>(a)(c)</sup> |  | 382 | 384592 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.59%, 06/25/70<sup>(a)(c)</sup> |  | 570 | 569993 |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-1A, Class A1B, 3.50%, 10/25/59<sup>(a)(b)</sup> |  | 256 | 239571 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.57%, 04/25/65<sup>(a)(c)</sup> |  | 269 | 270229 |
| OBX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EXP3, Class 2A1B, (1-mo. CME Term <br> SOFR + 1.01%), 5.33%, 01/25/60<sup>(a)(b)</sup><br>|  | 457 | 455381 |
| &nbsp;&nbsp;&nbsp; Series 2022-INV3, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup> |  | 172 | 146525 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.52%, 07/25/63<sup>(a)(c)</sup> |  | 384 | 387379 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.65%, 12/01/64<sup>(a)(c)</sup> |  | 166 | 167215 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.40%, 02/25/55<sup>(a)(c)</sup> |  | 349 | 348646 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 5.60%, 03/25/65<sup>(a)(c)</sup> |  | 275 | 276187 |
| &nbsp;&nbsp;&nbsp; PRET Trust, Series 2025-RPL2, Class A1, 4.00%, <br> 08/25/64<sup>(a)(c)</sup><br>|  | 97 | 94154 |
| PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, 11/25/56<sup>(a)(b)</sup> |  | 282 | 249830 |
| &nbsp;&nbsp;&nbsp; Series 2023-AFC3, Class A1, 6.58%, 09/25/58<sup>(a)(c)</sup> |  | 349 | 351691 |
| PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.25%, 08/25/68<sup>(a)(c)</sup> |  | 113 | 113958 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 6.33%, 06/25/69<sup>(a)(c)</sup> |  | 89 | 90571 |
| &nbsp;&nbsp;&nbsp; Series 2024-RCF1, Class A1, 4.00%, 01/25/54<sup>(a)(c)</sup> |  | 87 | 84846 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, 11/25/69<sup>(a)(c)</sup> |  | 261 | 262949 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2022-2, Class A1, <br> 3.00%, 02/25/52<sup>(a)(b)</sup><br>|  | 396 | 335800 |
| &nbsp;&nbsp;&nbsp; Residential Mortgage Loan Trust, Series 2019-3, <br> Class M1, 3.26%, 09/25/59<sup>(a)(b)</sup><br>|  | 385 | 379679 |
| &nbsp;&nbsp;&nbsp; Santander Mortgage Asset Receivable Trust, <br> Series 2025-NQM2, Class A1, 5.73%, 02/25/65<sup>(a)(c)</sup><br>|  | 334 | 336874 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust, Series 2024-HYB1, <br> Class A1A, 4.47%, 11/25/63<sup>(a)(b)</sup><br>|  | 415 | 418814 |
| &nbsp;&nbsp;&nbsp; SG Residential Mortgage Trust, Series 2022-2, <br> Class A1, 5.35%, 08/25/62<sup>(a)(c)</sup><br>|  | 130 | 129229 |
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, Series 2020-3, <br> Class A1, 1.49%, 04/25/65<sup>(a)(b)</sup><br>|  | 99 | 95512 |
| Towd Point Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-1, Class A5, 4.69%, 10/25/53<sup>(a)(b)</sup> |  | 299 | 296926 |
| &nbsp;&nbsp;&nbsp; Series 2016-2, Class M1, 3.00%, 08/25/55<sup>(a)(b)</sup> |  | 191 | 187603 |
| &nbsp;&nbsp;&nbsp; Series 2017-4, Class A1, 2.75%, 06/25/57<sup>(a)(b)</sup> |  | 51 | 50064 |
| &nbsp;&nbsp;&nbsp; Series 2018-1, Class A1, 3.00%, 01/25/58<sup>(a)(b)</sup> |  | 117 | 115460 |
| &nbsp;&nbsp;&nbsp; Series 2018-2, Class A1, 3.25%, 03/25/58<sup>(a)(b)</sup> |  | 323 | 318149 |
| &nbsp;&nbsp;&nbsp; Series 2018-6, Class A1A, 3.75%, 03/25/58<sup>(a)(b)</sup> |  | 303 | 299845 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 2.72%, 01/25/67<sup>(a)(c)</sup> |  | 131 | 122072 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 4.26%, 02/25/67<sup>(a)(c)</sup> |  | 211 | 201234 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 4.13%, 02/25/67<sup>(a)(c)</sup> |  | 310 | 296114 |
| &nbsp;&nbsp;&nbsp; Series 2022-INV2, Class A1, 6.79%, 10/25/67<sup>(a)(c)</sup> |  | 196 | 196340 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A1, 6.19%, 03/25/68<sup>(a)(c)</sup> |  | 160 | 160646 |
| &nbsp;&nbsp;&nbsp; Series 2023-3, Class A1, 5.93%, 03/25/68<sup>(a)(c)</sup> |  | 602 | 602471 |
| &nbsp;&nbsp;&nbsp; Series 2025-3, Class A1, 5.62%, 05/25/70<sup>(a)(c)</sup> |  | 670 | 673039 |
|  |  |  | 24628080 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities — 9.2%** | **Commercial Mortgage-Backed Securities — 9.2%** | **Commercial Mortgage-Backed Securities — 9.2%** | **Commercial Mortgage-Backed Securities — 9.2%** |
| 1345 Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class A, (1-mo. CME Term <br> SOFR + 1.60%), 5.90%, 06/15/30<sup>(a)(b)</sup><br>| USD  | 260 | $260406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class B, (1-mo. CME Term <br> SOFR + 2.00%), 6.30%, 06/15/30<sup>(a)(b)</sup><br>|  | 147 | 147183 |
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, Series 2017-280P, <br> Class A, (1-mo. CME Term SOFR + 1.18%), 5.49%, <br> 09/15/34<sup>(a)(b)</sup><br>|  | 600 | 594375 |
| ALA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OANA, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 6.04%, 06/15/40<sup>(a)(b)</sup><br>|  | 299 | 300589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OANA, Class B, (1-mo. CME Term <br> SOFR + 1.84%), 6.14%, 06/15/40<sup>(a)(b)</sup><br>|  | 211 | 211066 |
| &nbsp;&nbsp;&nbsp; Alen Mortgage Trust, Series 2021-ACEN, Class A, <br> (1-mo. CME Term SOFR + 1.26%), 5.58%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 420 | 402150 |
| &nbsp;&nbsp;&nbsp; Arbor Multifamily Mortgage Securities Trust, <br> Series 2020-MF1, Class ASB, 2.58%, 05/15/53<sup>(a)</sup><br>|  | 492 | 472585 |
| &nbsp;&nbsp;&nbsp; ARES Trust, Series 2025-IND3, Class A, (1-mo. CME <br> Term SOFR + 1.50%), 5.81%, 04/15/42<sup>(a)(b)</sup><br>|  | 300 | 300374 |
| BANK5 |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR10, Class A3, 5.30%, 10/15/57 |  | 975 | 999087 |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR11, Class A3, 5.89%, 11/15/57 |  | 195 | 204280 |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR8, Class A3, 5.88%, 08/15/57 |  | 220 | 229538 |
| &nbsp;&nbsp;&nbsp; Barclays Commercial Mortgage Trust, Series 2019-C5, <br> Class ASB, 2.99%, 11/15/52<br>|  | 211 | 206175 |
| &nbsp;&nbsp;&nbsp; BAY Mortgage Trust, Series 2025-LIVN, Class A, (1-<br> mo. CME Term SOFR + 1.80%), 6.11%, <br> 05/15/35<sup>(a)(b)</sup><br>|  | 386 | 386312 |
| BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, (1-mo. CME Term <br> SOFR + 0.92%), 5.23%, 03/15/37<sup>(a)(b)</sup><br>|  | 200 | 189032 |
| &nbsp;&nbsp;&nbsp; Series 2024-5C29, Class A3, 5.21%, 09/15/57 |  | 640 | 652695 |
| &nbsp;&nbsp;&nbsp; Series 2024-5C31, Class A3, 5.61%, 12/15/57 |  | 390 | 404256 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C33, Class A4, 5.84%, 03/15/58 |  | 250 | 261683 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B34, Class AM, 3.96%, 04/15/55<sup>(b)</sup> |  | 265 | 236098 |
| &nbsp;&nbsp;&nbsp; Series 2024-V12, Class A3, 5.74%, 12/15/57 |  | 1100 | 1145690 |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 11/15/41<sup>(a)(b)</sup><br>|  | 100 | 100125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class B, (1-mo. CME Term <br> SOFR + 1.84%), 6.15%, 11/15/41<sup>(a)(b)</sup><br>|  | 70 | 70088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WRHS, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 08/15/26<sup>(a)(b)</sup><br>|  | 278 | 278099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class B, (1-mo. CME Term <br> SOFR + 1.90%), 6.20%, 06/15/42<sup>(a)(b)</sup><br>|  | 260 | 260163 |
| BMO Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-5C6, Class A3, 5.32%, 09/15/57 |  | 330 | 337812 |
| &nbsp;&nbsp;&nbsp; Series 2024-5C8, Class A3, 5.63%, 12/15/57<sup>(b)</sup> |  | 390 | 404703 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C9, Class AS, 6.17%, 04/15/58<sup>(b)</sup> |  | 155 | 161725 |
| &nbsp;&nbsp;&nbsp; Series 2025-C11, Class A5, 5.69%, 02/15/58 |  | 216 | 225909 |
| &nbsp;&nbsp;&nbsp; Series 2025-C11, Class ASB, 5.68%, 02/15/58 |  | 185 | 194947 |
| &nbsp;&nbsp;&nbsp; BSTN Commercial Mortgage Trust, Series 2025-1C, <br> Class A, 5.55%, 06/15/44<sup>(a)(b)</sup><br>|  | 197 | 201419 |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term SOFR <br> + 1.76%), 6.07%, 12/09/40<sup>(a)(b)</sup><br>|  | 344 | 344648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 6.00%, 08/15/39<sup>(a)(b)</sup><br>|  | 437 | 438462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class B, (1-mo. CME Term <br> SOFR + 2.14%), 6.45%, 08/15/39<sup>(a)(b)</sup><br>|  | 320 | 320938 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class A, (1-mo. CME Term <br> SOFR + 2.88%), 7.19%, 10/15/41<sup>(a)(b)</sup><br>| USD  | 201 | $202363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1-mo. CME Term <br> SOFR + 1.29%), 5.61%, 12/15/39<sup>(a)(b)</sup><br>|  | 94 | 93859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class B, (1-mo. CME Term SOFR <br> + 1.69%), 6.00%, 02/15/39<sup>(a)(b)</sup><br>|  | 124 | 124196 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-IND, Class A, (1-mo. CME Term SOFR <br> + 1.49%), 5.80%, 04/15/37<sup>(a)(b)</sup><br>|  | 524 | 524551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class A, (1-mo. CME Term <br> SOFR + 2.69%), 7.00%, 05/15/38<sup>(a)(b)</sup><br>|  | 460 | 462869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BIO, Class A, (1-mo. CME Term SOFR <br> + 1.64%), 5.95%, 02/15/41<sup>(a)(b)</sup><br>|  | 626 | 626000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.75%, 04/15/41<sup>(a)(b)</sup><br>|  | 111 | 111104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term SOFR <br> + 2.09%), 6.40%, 03/15/41<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class B, (1-mo. CME Term SOFR <br> + 3.04%), 7.35%, 03/15/41<sup>(a)(b)</sup><br>|  | 100 | 100000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.80%, 07/15/29<sup>(a)(b)</sup><br>|  | 380 | 379881 |
| &nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, 06/13/47<sup>(a)(b)</sup> |  | 500 | 509307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class A, (1-mo. CME Term <br> SOFR + 1.14%), 5.46%, 03/15/30<sup>(a)(b)</sup><br>|  | 513 | 509794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class A, (1-mo. CME Term <br> SOFR + 1.40%), 5.71%, 06/15/35<sup>(a)(b)</sup><br>|  | 185 | 185289 |
| &nbsp;&nbsp;&nbsp; CALI Mortgage Trust, Series 2024-SUN, Class A, (1-<br> mo. CME Term SOFR + 1.89%), 6.20%, <br> 07/15/41<sup>(a)(b)</sup><br>|  | 260 | 260325 |
| CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-CD2, Class A4, 3.53%, 11/10/49<sup>(b)</sup> |  | 520 | 502034 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD5, Class A4, 3.43%, 08/15/50 |  | 525 | 512981 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD5, Class AAB, 3.22%, 08/15/50 |  | 395 | 390998 |
| &nbsp;&nbsp;&nbsp; CFCRE Commercial Mortgage Trust, Series 2016-C6, <br> Class A3, 3.22%, 11/10/49<sup>(b)</sup><br>|  | 820 | 803719 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-P1, Class A5, 3.72%, 09/15/48 |  | 62 | 61853 |
| &nbsp;&nbsp;&nbsp; Series 2016-C3, Class AAB, 2.98%, 11/15/49 |  | 190 | 188378 |
| &nbsp;&nbsp;&nbsp; Series 2018-B2, Class A4, 4.01%, 03/10/51 |  | 535 | 526100 |
| &nbsp;&nbsp;&nbsp; COAST Commercial Mortgage Trust, Series 2023-<br> 2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), <br> 6.90%, 08/15/36<sup>(a)(b)</sup><br>|  | 300 | 300173 |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-CR24, Class B, 4.47%, 08/10/48<sup>(b)</sup> |  | 500 | 494645 |
| &nbsp;&nbsp;&nbsp; Series 2015-CR25, Class A4, 3.76%, 08/10/48 |  | 487 | 486335 |
| &nbsp;&nbsp;&nbsp; Series 2015-LC23, Class A4, 3.77%, 10/10/48 |  | 550 | 547757 |
| &nbsp;&nbsp;&nbsp; CONE Trust, Series 2024-DFW1, Class A, (1-mo. <br> CME Term SOFR + 1.64%), 5.95%, 08/15/41<sup>(a)(b)</sup><br>|  | 190 | 189285 |
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, Series 2019-C17, <br> Class A4, 2.76%, 09/15/52<br>|  | 1000 | 930104 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.99%, 06/10/39<sup>(a)(b)</sup> |  | 730 | 737701 |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.99%, 06/10/39<sup>(a)(b)</sup> |  | 730 | 735520 |
| &nbsp;&nbsp;&nbsp; EQT Trust, Series 2024-EXTR, Class A, 5.33%, <br> 07/05/41<sup>(a)(b)</sup><br>|  | 645 | 659382 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-GC32, Class A4, 3.76%, 07/10/48 |  | 50 | 49850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class B, (1-mo. CME Term <br> SOFR + 2.79%), 7.10%, 03/15/28<sup>(a)(b)</sup><br>|  | 415 | 416297 |
| &nbsp;&nbsp;&nbsp; Series 2024-RVR, Class A, 5.37%, 08/10/41<sup>(a)(b)</sup> |  | 120 | 121333 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Houston Galleria Mall Trust, Series 2025-HGLR, <br> Class A, 5.64%, 02/05/45<sup>(a)(b)</sup><br>| USD  | 110 | $112862 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust, Series 2025-SPRL, <br> Class A, 5.65%, 01/13/40<sup>(a)(b)</sup><br>|  | 280 | 288638 |
| &nbsp;&nbsp;&nbsp; ILPT Commercial Mortgage Trust, Series 2022-LPF2, <br> Class A, (1-mo. CME Term SOFR + 2.25%), 6.56%, <br> 10/15/39<sup>(a)(b)</sup><br>|  | 500 | 499375 |
| &nbsp;&nbsp;&nbsp; INCREF LLC, Series 2025-FL1, Class A, (1-mo. CME <br> Term SOFR + 1.73%), 6.05%, 10/19/42<sup>(a)(b)</sup><br>|  | 465 | 465915 |
| &nbsp;&nbsp;&nbsp; INTOWN Mortgage Trust, Series 2025-STAY, Class A, <br> (1-mo. CME Term SOFR + 1.35%), 5.66%, <br> 03/15/42<sup>(a)(b)</sup><br>|  | 474 | 471926 |
| &nbsp;&nbsp;&nbsp; INV Mortgage Trust, Series 2024-IND, Class A, (1-mo. <br> CME Term SOFR + 1.74%), 6.05%, 11/15/41<sup>(a)(b)</sup><br>|  | 160 | 159909 |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, <br> Series 2015-C33, Class ASB, 3.56%, 12/15/48<br>|  | 94 | 93984 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-JP2, Class ASB, 2.71%, 08/15/49 |  | 79 | 79091 |
| &nbsp;&nbsp;&nbsp; Series 2017-JP6, Class A3, 3.11%, 07/15/50 |  | 414 | 403586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BKWD, Class A, (1-mo. CME Term <br> SOFR + 1.61%), 5.93%, 09/15/29<sup>(a)(b)</sup><br>|  | 93 | 89824 |
| &nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.57%, 01/05/39<sup>(a)(b)</sup> |  | 100 | 82289 |
| &nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.35%, 11/09/39<sup>(a)(b)</sup> |  | 270 | 272077 |
| &nbsp;&nbsp;&nbsp; LBA Trust, Series 2024-7IND, Class A, (1-mo. CME <br> Term SOFR + 1.44%), 5.76%, 10/15/41<sup>(a)(b)</sup><br>|  | 590 | 590553 |
| &nbsp;&nbsp;&nbsp; MCR Mortgage Trust, Series 2024-HF1, Class A, (1-<br> mo. CME Term SOFR + 1.79%), 6.11%, <br> 12/15/41<sup>(a)(b)</sup><br>|  | 100 | 100063 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch Trust, <br> Series 2016-C30, Class ASB, 2.73%, 09/15/49<br>|  | 31 | 31285 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2024-NSTB, <br> Class A, 3.90%, 09/24/57<sup>(a)(b)</sup><br>|  | 137 | 132075 |
| NCMF Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-MFS, Class A, 4.88%, 06/10/33<sup>(a)(b)</sup> |  | 422 | 421181 |
| &nbsp;&nbsp;&nbsp; Series 2025-MFS, Class B, 5.51%, 06/10/33<sup>(a)(b)</sup> |  | 256 | 257859 |
| &nbsp;&nbsp;&nbsp; NY Commercial Mortgage Trust, Series 2025-299P, <br> Class A, 5.85%, 02/10/47<sup>(a)(b)</sup><br>|  | 210 | 218212 |
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, Series 2025-3BP, <br> Class A, (1-mo. CME Term SOFR + 1.21%), 5.53%, <br> 02/15/42<sup>(a)(b)</sup><br>|  | 179 | 177546 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust, Series 2025-PRM5, Class A, 4.62%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 376 | 374486 |
| &nbsp;&nbsp;&nbsp; SCG Commercial Mortgage Trust, Series 2025-DLFN, <br> Class B, (1-mo. CME Term SOFR + 1.50%), 5.81%, <br> 03/15/35<sup>(a)(b)</sup><br>|  | 100 | 99251 |
| &nbsp;&nbsp;&nbsp; SG Commercial Mortgage Securities Trust, <br> Series 2016-C5, Class A3, 2.78%, 10/10/48<br>|  | 596 | 586339 |
| &nbsp;&nbsp;&nbsp; TCO Commercial Mortgage Trust, Series 2024-DPM, <br> Class A, (1-mo. CME Term SOFR + 1.24%), 5.56%, <br> 12/15/39<sup>(a)(b)</sup><br>|  | 185 | 184942 |
| &nbsp;&nbsp;&nbsp; TEXAS Commercial Mortgage Trust, Series 2025-<br> TWR, Class A, (1-mo. CME Term SOFR + 1.29%), <br> 5.61%, 04/15/42<sup>(a)(b)</sup><br>|  | 327 | 326388 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-NXS2, Class A5, 3.77%, 07/15/58<sup>(b)</sup> |  | 25 | 24617 |
| &nbsp;&nbsp;&nbsp; Series 2015-P2, Class A3, 3.54%, 12/15/48 |  | 420 | 418317 |
| &nbsp;&nbsp;&nbsp; Series 2015-SG1, Class A4, 3.79%, 09/15/48 |  | 215 | 214722 |
| &nbsp;&nbsp;&nbsp; Series 2016-C32, Class A4, 3.56%, 01/15/59 |  | 530 | 526039 |
| &nbsp;&nbsp;&nbsp; Series 2016-C33, Class A4, 3.43%, 03/15/59 |  | 380 | 375662 |
| &nbsp;&nbsp;&nbsp; Series 2016-LC24, Class A3, 2.68%, 10/15/49 |  | 809 | 795094 |
| &nbsp;&nbsp;&nbsp; Series 2021-C60, Class ASB, 2.13%, 08/15/54 |  | 834 | 778003 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-5C2, Class A3, 5.92%, 11/15/57<sup>(b)</sup> | USD  | 90 | $94260 |
| &nbsp;&nbsp;&nbsp; WEST Trust, Series 2025-ROSE, Class A, 5.45%, <br> 04/10/35<sup>(a)(b)</sup><br>|  | 331 | 335164 |
| &nbsp;&nbsp;&nbsp; WHARF Commercial Mortgage Trust, Series 2025-DC, <br> Class B, 5.54%, 07/15/40<sup>(a)(b)</sup><br>|  | 100 | 101715 |
|  |  |  | 34119844 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, Series 2015-<br> P1, Class XA, 0.72%, 09/15/48<sup>(b)</sup><br>|  | 1473 | 21 |
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, Series 2016-C6, <br> Class XA, 2.02%, 01/15/49<sup>(b)</sup><br>|  | 572 | 2703 |
|  |  |  | 2724 |
| **Total Non-Agency Mortgage-Backed Securities — 15.8%** <br>**(Cost: $58,859,586)** | **Total Non-Agency Mortgage-Backed Securities — 15.8%** <br>**(Cost: $58,859,586)** | **Total Non-Agency Mortgage-Backed Securities — 15.8%** <br>**(Cost: $58,859,586)** | 58750648 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 1.0%** | **Agency Obligations — 1.0%** | **Agency Obligations — 1.0%** | **Agency Obligations — 1.0%** |
| Federal Farm Credit Banks Funding Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.17%, 10/29/29 |  | 700 | 651587 |
| &nbsp;&nbsp;&nbsp; 1.30%, 02/03/31 |  | 770 | 665009 |
| &nbsp;&nbsp;&nbsp; 1.68%, 09/17/35 |  | 2080 | 1570877 |
| Federal Home Loan Banks, 2.06%, 09/27/29 |  | 1000 | 925915 |
|  |  |  | 3813388 |
| **Collateralized Mortgage Obligations — 2.7%** | **Collateralized Mortgage Obligations — 2.7%** | **Collateralized Mortgage Obligations — 2.7%** | **Collateralized Mortgage Obligations — 2.7%** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-21, Class CA, 3.50%, 04/25/45 |  | 40 | 39309 |
| &nbsp;&nbsp;&nbsp; Series 2019-73, Class P, 3.00%, 03/25/48 |  | 385 | 376010 |
| &nbsp;&nbsp;&nbsp; Series 2020-79, Class JA, 1.50%, 11/25/50 |  | 380 | 348120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-91, Class FA, (SOFR (30-day) + <br> 1.20%), 5.51%, 12/25/54<sup>(b)</sup><br>|  | 1227 | 1229141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-94, Class FB, (SOFR (30-day) + <br> 1.42%), 5.73%, 12/25/54<sup>(b)</sup><br>|  | 281 | 281016 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 3959, Class MA, 4.50%, 11/15/41 |  | 30 | 30456 |
| &nbsp;&nbsp;&nbsp; Series 4274, Class PN, 3.50%, 10/15/35 |  | 38 | 37024 |
| &nbsp;&nbsp;&nbsp; Series 4390, Class CA, 3.50%, 06/15/50 |  | 13 | 13009 |
| &nbsp;&nbsp;&nbsp; Series 4459, Class BN, 3.00%, 08/15/43 |  | 226 | 210816 |
| &nbsp;&nbsp;&nbsp; Series 4494, Class KA, 3.75%, 10/15/42 |  | 25 | 24821 |
| &nbsp;&nbsp;&nbsp; Series 4752, Class PL, 3.00%, 09/15/46 |  | 254 | 247301 |
| &nbsp;&nbsp;&nbsp; Series 4777, Class CB, 3.50%, 10/15/45 |  | 155 | 153961 |
| &nbsp;&nbsp;&nbsp; Series 4941, Class MB, 3.00%, 07/25/49 |  | 228 | 206281 |
| &nbsp;&nbsp;&nbsp; Series 5000, Class MA, 2.00%, 06/25/44 |  | 182 | 170363 |
| &nbsp;&nbsp;&nbsp; Series 5006, Class KA, 2.00%, 06/25/45 |  | 533 | 488455 |
| &nbsp;&nbsp;&nbsp; Series 5105, Class LA, 1.50%, 04/15/44 |  | 668 | 647259 |
| &nbsp;&nbsp;&nbsp; Series 5249, Class HA, 4.00%, 09/25/49 |  | 2069 | 2047239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5478, Class FH, (SOFR (30-day) + 1.45%), <br> 5.76%, 04/25/54<sup>(b)</sup><br>|  | 951 | 953608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5480, Class FA, (SOFR (30-day) + 1.45%), <br> 5.76%, 03/25/54<sup>(b)</sup><br>|  | 919 | 924296 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Seasoned Credit Risk Transfer Trust, <br> Series 2018-3, Class MA, 3.50%, 08/25/57<sup>(b)</sup><br>|  | 878 | 846322 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-136, Class GB, 3.00%, 03/20/47 |  | 327 | 306939 |
| &nbsp;&nbsp;&nbsp; Series 2020-127, Class LP, 1.50%, 06/20/50 |  | 370 | 297535 |
|  |  |  | 9879281 |
| **Mortgage-Backed Securities — 5.9%** | **Mortgage-Backed Securities — 5.9%** | **Mortgage-Backed Securities — 5.9%** | **Mortgage-Backed Securities — 5.9%** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/31 |  | 962 | 903018 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 - 12/01/36 |  | 1121 | 1066791 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 - 09/01/35 | USD  | 4716 | $4570968 |
| &nbsp;&nbsp;&nbsp; 3.03%, 12/01/27 |  | 1235 | 1204674 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/37 |  | 479 | 468568 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/32 - 08/01/49 |  | 3927 | 3793960 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/26 - 05/01/38 |  | 366 | 364805 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 |  | 993 | 1006823 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 |  | 162 | 166035 |
| &nbsp;&nbsp;&nbsp; 5.81%, 06/01/31 |  | 1362 | 1412065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.57%), 6.78%, 07/01/44<sup>(b)</sup><br>|  | 88 | 90858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.59%), 6.75%, 06/01/45<sup>(b)</sup><br>|  | 77 | 79070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.70%), 6.79%, 07/01/43<sup>(b)</sup><br>|  | 123 | 127656 |
| Freddie Mac Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 - 03/01/37 |  | 417 | 391962 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 - 02/01/36 |  | 668 | 643465 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 - 11/01/38 |  | 524 | 514287 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 - 06/01/37 |  | 1050 | 1039508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.62%), 6.62%, 03/01/45<sup>(b)</sup><br>|  | 103 | 106807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.62%), 6.62%, 05/01/45<sup>(b)</sup><br>|  | 300 | 308916 |
| &nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Securities, 6.00%, <br> 07/01/55<sup>(h)</sup><br>|  | 3690 | 3749493 |
|  |  |  | 22009729 |
| **Total U.S. Government Sponsored Agency Securities — 9.6%** <br>**(Cost: $36,176,422)** | **Total U.S. Government Sponsored Agency Securities — 9.6%** <br>**(Cost: $36,176,422)** | **Total U.S. Government Sponsored Agency Securities — 9.6%** <br>**(Cost: $36,176,422)** | 35702398 |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Notes |  |  |  |
| &nbsp;&nbsp;&nbsp; 0.75%, 05/31/26 - 08/31/26 |  | 21550 | 20819325 |
| &nbsp;&nbsp;&nbsp; 2.13%, 05/31/26 |  | 8450 | 8304106 |
| &nbsp;&nbsp;&nbsp; 4.38%, 08/15/26 |  | 1500 | 1506504 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/30/26 |  | 800 | 795875 |
| &nbsp;&nbsp;&nbsp; 0.38%, 07/31/27 |  | 2000 | 1866562 |
| &nbsp;&nbsp;&nbsp; 3.75%, 04/15/28 - 05/15/28 |  | 2840 | 2843878 |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/31/28 |  | 3300 | 3293039 |
| &nbsp;&nbsp;&nbsp; 3.88%, 06/15/28 |  | 5300 | 5328156 |
| &nbsp;&nbsp;&nbsp; 1.00%, 07/31/28 |  | 8000 | 7375312 |
| &nbsp;&nbsp;&nbsp; 2.88%, 08/15/28 |  | 11100 | 10826836 |
| **Total U.S. Treasury Obligations — 17.0%** <br>**(Cost: $62,861,893)** | **Total U.S. Treasury Obligations — 17.0%** <br>**(Cost: $62,861,893)** | **Total U.S. Treasury Obligations — 17.0%** <br>**(Cost: $62,861,893)** | 62959593 |
| **Total Long-Term Investments — 100.6%** <br>**(Cost: $372,226,646)** | **Total Long-Term Investments — 100.6%** <br>**(Cost: $372,226,646)** | **Total Long-Term Investments — 100.6%** <br>**(Cost: $372,226,646)** | 373821854 |

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | <br>*Shares*<br>| *Value* |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 1.3%** | **Money Market Funds — 1.3%** | **Money Market Funds — 1.3%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Treasury Securities Cash Management, <br> Institutional Class, 4.11%<sup>(i)</sup><br>| 4972137 | $4972137 |
| **Total Short-Term Securities — 1.3%** <br>**(Cost: $4,972,137)** | **Total Short-Term Securities — 1.3%** <br>**(Cost: $4,972,137)** | 4972137 |
| **Total Investments — 101.9%** <br>**(Cost: $377,198,783)** | **Total Investments — 101.9%** <br>**(Cost: $377,198,783)** | 378793991 |
| **Liabilities in Excess of Other Assets — (1.9)%** | **Liabilities in Excess of Other Assets — (1.9)%** | (7159217)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $371634774 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. 

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

<sup>(c)</sup> Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step- down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. 

<sup>(d)</sup> When-issued security.

<sup>(e)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. 

<sup>(f)</sup> Zero-coupon bond.

<sup>(g)</sup> Rounds to less than 1,000.

<sup>(h)</sup> Represents or includes a TBA transaction.

<sup>(i)</sup> Annualized 7-day yield as of period end.

For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.

**Derivative Financial Instruments Outstanding as of Period End**

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp; *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 727 | 09/30/25 | &nbsp;&nbsp;&nbsp;&nbsp; $151250 | &nbsp;&nbsp;&nbsp;&nbsp; $491060 |
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro-Schatz | 4 | 09/08/25 | &nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp; 891 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 25 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 2884 | &nbsp;&nbsp;&nbsp;&nbsp; (108667)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 70 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 7849 | &nbsp;&nbsp;&nbsp;&nbsp; (152989)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 53 | 09/19/25 | &nbsp;&nbsp;&nbsp;&nbsp; 6055 | &nbsp;&nbsp;&nbsp;&nbsp; (153117)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 588 | 09/30/25 | &nbsp;&nbsp;&nbsp;&nbsp; 64101 | &nbsp;&nbsp;&nbsp;&nbsp; (747025)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (1160907)<br>|
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $(669847)<br>|

---

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Settlement* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| USD | 629145 | EUR | 539000 | BNP Paribas SA | 09/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $(9082)<br>|

---

------

Schedule of Investments (unaudited) (continued)

June 30, 2025

**BATS: Series S Portfolio**

**Fair Value Hierarchy as of Period End**

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — Unadjusted price quotations in active markets/exchanges that the Fund has the ability to access for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp; $83646158 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $83646158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds  | &nbsp;&nbsp; — | &nbsp;&nbsp; 131231614 | &nbsp;&nbsp; — | &nbsp;&nbsp; 131231614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 1531443 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1531443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 58750648 | &nbsp;&nbsp; — | &nbsp;&nbsp; 58750648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 35702398 | &nbsp;&nbsp; — | &nbsp;&nbsp; 35702398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 62959593 | &nbsp;&nbsp; — | &nbsp;&nbsp; 62959593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 4972137 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 4972137 |
|  | &nbsp;&nbsp; $4972137 | &nbsp;&nbsp; $373821854 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $378793991 |
| Derivative Financial Instruments<sup>(a)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; $491951 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $491951 |
| &nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (9082)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (9082)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; (1161798)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (1161798)<br>|
|  | &nbsp;&nbsp; $(669847)<br>| &nbsp;&nbsp; $(9082)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(678929)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Currency Abbreviation**  | **Currency Abbreviation**  |
| EUR | Euro |
| USD | United States Dollar |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| CLO | Collateralized Loan Obligation |
| CME | Chicago Mercantile Exchange |
| DAC | Designated Activity Co. |
| LP | Limited Partnership |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Allocation Target Shares

- **b. Investment Company Act file number:** 811-21457

- **c. CIK number of Registrant:** 0001221845

- **d. LEI of Registrant:** 549300R5YFYF3PL2MC94

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BATS: Series S Portfolio

- **b. EDGAR series identifier (if any):** S000001471

- **c. LEI of Series:** UHCSUNBDKLB2EM9I9C81

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

- **a. Date of fiscal year-end:** 2026-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $377967706.33

**Total Liabilities:** $5865841.90

**Net Assets:** $372101864.43

**Delayed Delivery Securities:** $115998.19

**Stand-by Commitments:** $3735580.63

**Cash Not Reported:** $1375000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7022.32000000 | **1-Year:** 15339.99000000 | **5-Year:** 50552.61000000 | **10-Year:** 2279.85000000 | **30-Year:** 4946.97000000

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

- **3-Month:** 0.00000000 | **1-Year:** 36.58000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000003893 | 0.70%                | 0.17%                | 0.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-299.30                 | $1211492.96                                |
| Month 2  | $173030.93               | $-1241184.79                               |
| Month 3  | $78705.87                | $1528021.02                                |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EMAG7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2080000 | PA      | $1570876.59   | 0.42%             | 2035-09-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                            | Crown Castle Inc                                                                | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    559000 | PA      | $538379.42    | 0.14%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    881000 | PA      | $908746.77    | 0.24%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2016-12 Ltd                                                             | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $260331.08    | 0.07%             | 2037-10-18      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC              | ELFI Graduate Loan Program 2023-A LLC                                           | CUSIP: 28628DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376132 | PA      | $391344.95    | 0.11%             | 2048-02-04      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D2X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962050 | PA      | $903018.38    | 0.24%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                     | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    865000 | PA      | $868327.91    | 0.23%             | 2037-04-28      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2025-NQM1 Trust                                                             | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |    694711 | PA      | $695687.09    | 0.19%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $770274.60    | 0.21%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                           | Japan Tobacco Inc                                                               | CUSIP: 471105AC0<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $609006.97    | 0.16%             | 2028-05-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    521000 | PA      | $514093.82    | 0.14%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2024-NSTB                                        | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136515 | PA      | $132075.06    | 0.04%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51386 | PA      | $50064.30     | 0.01%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1828381 | PA      | $1760079.92   | 0.47%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                  | 1345T 2025-AOA                                                                  | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260405.76    | 0.07%             | 2030-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                  | NCMF Trust 2025-MFS                                                             | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422000 | PA      | $421180.52    | 0.11%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2023-A LLC                                            | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368006 | PA      | $372446.22    | 0.10%             | 2055-05-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                | Ford Credit Auto Owner Trust 2023-A                                             | CUSIP: 344928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137250 | PA      | $137400.98    | 0.04%             | 2028-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1                            | CUSIP: 03881BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491809 | PA      | $472585.28    | 0.13%             | 2053-05-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR10 Trust                                           | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445837 | PA      | $419555.02    | 0.11%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-B2                                     | CUSIP: 17327FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $526099.90    | 0.14%             | 2051-03-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                         | M&T Equipment 2025-LEAF1 Notes                                                  | CUSIP: 55340QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $85341.89     | 0.02%             | 2027-12-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2025-1                                                 | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345976 | PA      | $348002.22    | 0.09%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    265000 | PA      | $261549.52    | 0.07%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2023-2 Mortgage Loan Trust                                                 | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |    203041 | PA      | $204544.86    | 0.05%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                              | Pikes Peak CLO 14 2023 Ltd                                                      | CUSIP: 72134CAL5<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250621.50    | 0.07%             | 2038-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    625000 | PA      | $631933.87    | 0.17%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BTK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281372 | PA      | $281015.87    | 0.08%             | 2054-12-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2023-B                                           | CUSIP: 44933XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1233484 | PA      | $1241398.49   | 0.33%             | 2028-04-17      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XV                                                         | CUSIP: 64129KBE6<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |    195186 | PA      | $195269.14    | 0.05%             | 2029-10-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382HX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370347 | PA      | $297535.18    | 0.08%             | 2050-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE25 Mortgage Trust                                                 | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487407 | PA      | $486335.23    | 0.13%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust               | Alen 2021-ACEN Mortgage Trust                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $402150.00    | 0.11%             | 2038-04-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                          | Realty Income Corp                                                              | CUSIP: 756109AW4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    258000 | PA      | $247545.34    | 0.07%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1719000 | PA      | $1677488.04   | 0.45%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-INV2                                            | CUSIP: 924923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196416 | PA      | $196331.13    | 0.05%             | 2067-10-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                    | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFW7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    117000 | PA      | $118509.59    | 0.03%             | 2028-02-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                        | Verizon Master Trust                                                            | CUSIP: 92348KCL5<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1783000 | PA      | $1786578.48   | 0.48%             | 2028-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402000 | PA      | $392019.39    | 0.11%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                   | Amgen Inc                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    346000 | PA      | $339611.75    | 0.09%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14893 | PA      | $14307.31     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1980315.01   | 0.53%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                            | Flatiron CLO 23 LLC                                                             | CUSIP: 33883DAQ7<br>LEI: 254900WPX2H2R5L2RO76 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250338.88    | 0.07%             | 2036-04-17      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    235000 | PA      | $209139.66    | 0.06%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LBC2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    380000 | PA      | $374024.09    | 0.10%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAS9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    576000 | PA      | $594558.55    | 0.16%             | 2029-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130571 | PA      | $122071.51    | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2016-C6 Commercial Mortgage Trust                                         | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    571906 | PA      | $2702.54      | 0.00%             | 2049-01-15      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBN4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    738000 | PA      | $721390.91    | 0.19%             | 2027-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                    | SoFi Personal Loan Trust 2024-1                                                 | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169329 | PA      | $170080.96    | 0.05%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                      | Morgan Stanley Bank NA                                                          | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    915000 | PA      | $922369.58    | 0.25%             | 2028-01-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                         | EQT Trust 2024-EXTR                                                             | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $659381.69    | 0.18%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi              | GM Financial Consumer Automobile Receivables Trust 2022-1                       | CUSIP: 380146AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277000 | PA      | $273252.19    | 0.07%             | 2028-04-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| CART                                        | CONE Trust 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $189285.20    | 0.05%             | 2041-08-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2022-B                                                      | CUSIP: 12663JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288937 | PA      | $287877.35    | 0.08%             | 2027-11-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                     | Canadian Natural Resources Ltd                                                  | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $302703.51    | 0.08%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AHGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30309 | PA      | $30455.61     | 0.01%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                           | 720 East CLO 2023-I Ltd                                                         | CUSIP: 81785EAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    265000 | PA      | $266082.42    | 0.07%             | 2038-04-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                            | Ryder System Inc                                                                | CUSIP: 78355HLD9<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65921.91     | 0.02%             | 2029-12-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi              | GM Financial Consumer Automobile Receivables Trust 2022-3                       | CUSIP: 36265WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887000 | PA      | $882146.16    | 0.24%             | 2027-12-16      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-HF1 Mortgage Trust                                                     | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100062.50    | 0.03%             | 2041-12-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-AIRC                                          | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436824 | PA      | $438461.88    | 0.12%             | 2039-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU              | SoFi Consumer Loan Program 2025-1 Trust                                         | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268819 | PA      | $269320.17    | 0.07%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                               | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   2118000 | PA      | $2145567.97   | 0.58%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                       | Becton Dickinson & Co                                                           | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    600000 | PA      | $613056.51    | 0.16%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                  | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $272076.87    | 0.07%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    243000 | PA      | $230633.99    | 0.06%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    155000 | PA      | $148257.87    | 0.04%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2025-5C33                                                  | CUSIP: 072924AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $261683.13    | 0.07%             | 2058-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612309 | PA      | $608784.03    | 0.16%             | 2053-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund Trust 2022-1                                        | CUSIP: 43789KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156034 | PA      | $155182.76    | 0.04%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1246000 | PA      | $1251308.96   | 0.34%             | 2028-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47924 | PA      | $46969.46     | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3690000 | PA      | $3749493.28   | 1.01%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -53 | NC      | $-153117.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $795875.00    | 0.21%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                   | ALA Trust 2025-OANA                                                             | CUSIP: 009920AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211000 | PA      | $211065.94    | 0.06%             | 2040-06-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                   | Amgen Inc                                                                       | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    482000 | PA      | $476411.03    | 0.13%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                 | PNC Bank NA                                                                     | CUSIP: 69353RFY9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1060532.72   | 0.29%             | 2027-05-13      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2016-C6                                         | CUSIP: 12532AAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $803718.90    | 0.22%             | 2049-11-10      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                 | Southern Co/The                                                                 | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    719000 | PA      | $748498.10    | 0.20%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM3 Trust                                                             | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |    166317 | PA      | $167215.50    | 0.04%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner               | Toyota Auto Receivables 2022-B Owner Trust                                      | CUSIP: 89238FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182116 | PA      | $181660.75    | 0.05%             | 2026-09-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PEP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706000 | PA      | $705620.53    | 0.19%             | 2027-08-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    188000 | PA      | $189593.07    | 0.05%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable              | Westlake Automobile Receivables Trust 2025-P1                                   | CUSIP: 96043LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216000 | PA      | $217087.15    | 0.06%             | 2029-06-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-2                                                 | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102802 | PA      | $97333.79     | 0.03%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                        | WEST Trust 2025-ROSE                                                            | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331000 | PA      | $335164.24    | 0.09%             | 2035-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                      | Morgan Stanley Bank NA                                                          | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    830000 | PA      | $842904.13    | 0.23%             | 2029-01-12      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $502034.42    | 0.13%             | 2049-11-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599EH4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     68000 | PA      | $68585.20     | 0.02%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    915000 | PA      | $902646.58    | 0.24%             | 2026-11-19      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QABC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26182 | PA      | $25187.73     | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BBB6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153152.96    | 0.04%             | 2030-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1440000 | PA      | $1441800.00   | 0.39%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust              | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $594375.00    | 0.16%             | 2034-09-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1042433.31   | 0.28%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2022-B                                         | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516847 | PA      | $502850.46    | 0.14%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131211 | PA      | $126321.86    | 0.03%             | 2038-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    245000 | PA      | $251318.97    | 0.07%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    735000 | PA      | $748136.27    | 0.20%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2023-C                                         | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124346 | PA      | $127631.85    | 0.03%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCS2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    245000 | PA      | $243313.31    | 0.07%             | 2029-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    275000 | PA      | $263713.27    | 0.07%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    165000 | PA      | $168583.07    | 0.05%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QSCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161899 | PA      | $166035.23    | 0.04%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117036 | PA      | $115459.80    | 0.03%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                   | Kubota Credit Owner Trust 2025-1                                                | CUSIP: 50117FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216000 | PA      | $216605.06    | 0.06%             | 2027-12-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    275000 | PA      | $277082.35    | 0.07%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO 40 Ltd                                                             | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |    645000 | PA      | $647085.67    | 0.17%             | 2038-01-05      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410329 | PA      | $398589.48    | 0.11%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2023-NQM3 Trust                                                             | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329359 | PA      | $331750.33    | 0.09%             | 2068-07-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2017-3                                            | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1060 | PA      | $1056.63      | 0.00%             | 2061-01-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                            | Ryder System Inc                                                                | CUSIP: 78355HKT5<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    370000 | PA      | $360388.66    | 0.10%             | 2027-03-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    274000 | PA      | $277875.84    | 0.07%             | 2027-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C32                                  | CUSIP: 94989YAZ6<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $526038.67    | 0.14%             | 2059-01-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2024-RVR                                      | CUSIP: 36272JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $121333.34    | 0.03%             | 2041-08-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                        | Cross 2025-H2 Mortgage Trust                                                    | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339457 | PA      | $339474.12    | 0.09%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-LC24                                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    808994 | PA      | $795094.33    | 0.21%             | 2049-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LLQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1234897 | PA      | $1204673.86   | 0.32%             | 2027-12-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2024-A                                                      | CUSIP: 18978FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452252 | PA      | $454538.22    | 0.12%             | 2029-06-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE24 Mortgage Trust                                                 | CUSIP: 12593JBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494645.25    | 0.13%             | 2048-08-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CZ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    778000 | PA      | $791102.64    | 0.21%             | 2028-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                    | Public Service Enterprise Group Inc                                             | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    245000 | PA      | $249208.43    | 0.07%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    260000 | PA      | $254905.71    | 0.07%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva              | Capital One Prime Auto Receivables Trust 2022-2                                 | CUSIP: 14043GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792158 | PA      | $789556.46    | 0.21%             | 2027-05-17      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi              | GM Financial Consumer Automobile Receivables Trust 2022-2                       | CUSIP: 362585AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629000 | PA      | $623433.35    | 0.17%             | 2028-04-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2024-NQM1                                       | CUSIP: 10570FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594185 | PA      | $597207.00    | 0.16%             | 2063-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2023-FUN                                      | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $416296.88    | 0.11%             | 2028-03-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C11 Mortgage Trust                                                     | CUSIP: 05613XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $194947.36    | 0.05%             | 2058-02-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    381000 | PA      | $388471.12    | 0.10%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    255000 | PA      | $255000.00    | 0.07%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2021-1                                       | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4860 | PA      | $4849.25      | 0.00%             | 2031-03-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WAV0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    285000 | PA      | $285454.89    | 0.08%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2024-1                                 | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284000 | PA      | $290278.81    | 0.08%             | 2036-12-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-C Trust                                     | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184128 | PA      | $172319.06    | 0.05%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2023-XL3                                           | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343684 | PA      | $344648.02    | 0.09%             | 2040-12-09      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    277000 | PA      | $277443.84    | 0.07%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2025-1                                     | CUSIP: 891950AA5<br>LEI: 254900QVX5SBHB37FT67 | Long             | ABS-O            | CORP              | US        |   1195000 | PA      | $1210947.87   | 0.33%             | 2038-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173561.31    | 0.05%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    540000 | PA      | $557581.11    | 0.15%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $185288.49    | 0.05%             | 2035-06-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| TER FINANCE LTD JERSEY                      | TER Finance Jersey Ltd                                                          | CUSIP: 880942AA5<br>LEI: 213800GREUULZ8RPOM16 | Long             | DBT              | CORP              | JE        |    580000 | PA      | $566950.00    | 0.15%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-3                                               | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309673 | PA      | $296114.46    | 0.08%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR10                                                                | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $999087.47    | 0.27%             | 2057-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | Carmax Auto Owner Trust 2022-2                                                  | CUSIP: 14317HAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    571317 | PA      | $570004.57    | 0.15%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $409477.21    | 0.11%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2024-A                                                    | CUSIP: 00218KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175347 | PA      | $176129.14    | 0.05%             | 2032-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-2                                                      | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395950 | PA      | $335799.69    | 0.09%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    877883 | PA      | $846322.43    | 0.23%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                         | Dominion Energy Inc                                                             | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    273000 | PA      | $278610.28    | 0.07%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    532000 | PA      | $522656.96    | 0.14%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Auto Trust                  | BofA Auto Trust 2025-1                                                          | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249434 | PA      | $250578.29    | 0.07%             | 2029-11-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $72551.77     | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105298 | PA      | $103592.23    | 0.03%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2025-4 Mortgage Loan Trust                                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |    496048 | PA      | $500791.17    | 0.13%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    569000 | PA      | $578428.33    | 0.16%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4447 | PA      | $4330.44      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    124000 | PA      | $127948.68    | 0.03%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus              | WHARF Commercial Mortgage Trust 2025-DC                                         | CUSIP: 92987LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101715.18    | 0.03%             | 2040-07-15      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    535000 | PA      | $542486.19    | 0.15%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99056 | PA      | $95512.00     | 0.03%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act              | Prodigy Finance CM2021-1 DAC                                                    | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     34868 | PA      | $34834.65     | 0.01%             | 2051-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88090 | PA      | $90857.63     | 0.02%             | 2044-07-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2023-REV2                                          | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675000 | PA      | $1725180.49   | 0.46%             | 2036-02-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519025 | PA      | $504209.58    | 0.14%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388480.54    | 0.10%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $189031.72    | 0.05%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    336000 | PA      | $341897.98    | 0.09%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Loan Trust 2024-NQM1                                          | CUSIP: 06745AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327414 | PA      | $328592.51    | 0.09%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1172998.24   | 0.32%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    505000 | PA      | $514222.45    | 0.14%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    122000 | PA      | $123225.90    | 0.03%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QSCC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80137 | PA      | $79654.36     | 0.02%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20556.74     | 0.01%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-B                                | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299676 | PA      | $272445.99    | 0.07%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2025-A                                           | CUSIP: 44935CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366000 | PA      | $367413.71    | 0.10%             | 2029-10-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BTYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226611 | PA      | $1229141.40   | 0.33%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     99000 | PA      | $97853.61     | 0.03%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    488000 | PA      | $471377.43    | 0.13%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-2                                               | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210704 | PA      | $201234.32    | 0.05%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398880 | PA      | $383644.85    | 0.10%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                        | Edison International                                                            | CUSIP: 281020AU1<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    380000 | PA      | $379410.92    | 0.10%             | 2025-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    343000 | PA      | $360046.87    | 0.10%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWVQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364037 | PA      | $340136.51    | 0.09%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    837000 | PA      | $832567.31    | 0.22%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     89000 | PA      | $83274.13     | 0.02%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-B                                | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213500 | PA      | $203016.45    | 0.05%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCW2<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    444000 | PA      | $449114.85    | 0.12%             | 2029-11-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173254 | PA      | $160497.54    | 0.04%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    918000 | PA      | $931658.17    | 0.25%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1406000 | PA      | $1383449.45   | 0.37%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    410000 | PA      | $394480.43    | 0.11%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                        | Westpac Banking Corp                                                            | CUSIP: 96122WAQ3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1205000 | PA      | $1210482.03   | 0.33%             | 2028-05-22      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    335000 | PA      | $342364.99    | 0.09%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                        | SCG Commercial Mortgage Trust 2025-DLFN                                         | CUSIP: 78398EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99251.40     | 0.03%             | 2035-03-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                 | Paychex Inc                                                                     | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    555000 | PA      | $568419.89    | 0.15%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    813000 | PA      | $805884.21    | 0.22%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FQTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228145 | PA      | $206280.71    | 0.06%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-              | AutoNation Finance Trust 2025-1                                                 | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $55431.67     | 0.01%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC              | ELFI Graduate Loan Program 2022-A LLC                                           | CUSIP: 28628CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397867 | PA      | $389156.38    | 0.10%             | 2047-08-26      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | Carmax Auto Owner Trust 2022-3                                                  | CUSIP: 14318MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    457906 | PA      | $456907.89    | 0.12%             | 2027-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2023-DSC1                                            | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327503 | PA      | $318697.74    | 0.09%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FCPN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253835 | PA      | $247301.51    | 0.07%             | 2046-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EDWARDS LIFESCIENCES COR                    | Edwards Lifesciences Corp                                                       | CUSIP: 28176EAD0<br>LEI: YA13X31F3V31L8TMPR58 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11981.50     | 0.00%             | 2028-06-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1372000 | PA      | $1263590.36   | 0.34%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274140 | PA      | $257830.00    | 0.07%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2024-NQM2 Trust                                                            | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88997 | PA      | $90570.83     | 0.02%             | 2069-06-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2024-UNIV                                        | CUSIP: 08861RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $70087.50     | 0.02%             | 2041-11-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                  | INCREF 2025-FL1 LLC                                                             | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    465000 | PA      | $465915.21    | 0.13%             | 2042-10-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     95000 | PA      | $95800.84     | 0.03%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1198000 | PA      | $1204519.60   | 0.32%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $566293.20    | 0.15%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300MXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299910 | PA      | $308916.15    | 0.08%             | 2045-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329KQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196945 | PA      | $193063.40    | 0.05%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                      | COAST Commercial Mortgage Trust 2023-2HTL                                       | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300173.28    | 0.08%             | 2036-08-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4JH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25871 | PA      | $25598.08     | 0.01%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2017-1                                            | CUSIP: 59981HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123353 | PA      | $121433.88    | 0.03%             | 2058-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr              | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87903 | PA      | $75850.75     | 0.02%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi              | GM Financial Consumer Automobile Receivables Trust 2023-4                       | CUSIP: 379930AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    668000 | PA      | $675713.06    | 0.18%             | 2028-08-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    680000 | PA      | $689406.02    | 0.19%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-C                                           | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622000 | PA      | $1630162.88   | 0.44%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124646 | PA      | $122732.96    | 0.03%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QQAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280531 | PA      | $280310.33    | 0.08%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                          | Betony CLO 2 Ltd                                                                | CUSIP: 08763QAA0<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |    175525 | PA      | $175735.54    | 0.05%             | 2031-04-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    255000 | PA      | $247854.60    | 0.07%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust I LLC 2019-2                                           | CUSIP: 03463WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313846 | PA      | $313561.66    | 0.08%             | 2049-03-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                                    | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    174000 | PA      | $176545.82    | 0.05%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                  | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93082 | PA      | $89824.45     | 0.02%             | 2029-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    282000 | PA      | $275375.44    | 0.07%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9082.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    515000 | PA      | $546294.60    | 0.15%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    610000 | PA      | $599342.73    | 0.16%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    310000 | PA      | $317854.19    | 0.09%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2024-2                                 | CUSIP: 379925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824000 | PA      | $828790.32    | 0.22%             | 2037-03-11      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                     | BMW Vehicle Owner Trust 2023-A                                                  | CUSIP: 05592XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473271 | PA      | $476083.02    | 0.13%             | 2028-02-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C11 Mortgage Trust                                                     | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $225909.04    | 0.06%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVBQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532629 | PA      | $488455.16    | 0.13%             | 2045-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74789 | PA      | $72637.10     | 0.02%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    370000 | PA      | $377486.42    | 0.10%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Tr              | BA Credit Card Trust                                                            | CUSIP: 05522RDF2<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |    822000 | PA      | $823558.84    | 0.22%             | 2028-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-P1                                     | CUSIP: 17324DBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1473714 | PA      | $21.37        | 0.00%             | 2048-09-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                       | INTOWN 2025-STAY Mortgage Trust                                                 | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    474000 | PA      | $471926.25    | 0.13%             | 2042-03-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287546 | PA      | $286027.18    | 0.08%             | 2062-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    119000 | PA      | $122178.76    | 0.03%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-BRBK                                          | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201109 | PA      | $202363.40    | 0.05%             | 2041-10-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F4TS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155426 | PA      | $153960.97    | 0.04%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS RIALTO                                                                       | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    146632 | PA      | $146367.64    | 0.04%             | 2038-05-16      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2025-EWEST                                                           | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260162.50    | 0.07%             | 2042-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM6 Trust                                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |    275097 | PA      | $276186.89    | 0.07%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-MF                                            | CUSIP: 05612EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123964 | PA      | $124196.07    | 0.03%             | 2039-02-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RBK4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    126000 | PA      | $125489.66    | 0.03%             | 2027-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QJF2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $562736.21    | 0.15%             | 2031-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-GPA3                                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93771 | PA      | $93859.31     | 0.03%             | 2039-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FE3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380704 | PA      | $379783.92    | 0.10%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    890000 | PA      | $978121.44    | 0.26%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2021-INV2 Trust                                                             | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224585 | PA      | $200945.86    | 0.05%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362000 | PA      | $1412065.50   | 0.38%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    723000 | PA      | $702190.47    | 0.19%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017CR8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    770000 | PA      | $754869.12    | 0.20%             | 2027-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112666.13    | 0.03%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-SG1                                  | CUSIP: 94989QAV2<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |    215337 | PA      | $214722.47    | 0.06%             | 2048-09-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                 | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $82289.46     | 0.02%             | 2039-01-05      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4                        | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $569993.05    | 0.15%             | 2070-06-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    178000 | PA      | $177904.17    | 0.05%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 000000000<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    380000 | PA      | $460557.25    | 0.12%             | 2029-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                               | Stellantis NV                                                                   | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $237829.24    | 0.06%             | 2028-11-19      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196385 | PA      | $194901.63    | 0.05%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                    | Aptiv Swiss Holdings Ltd                                                        | CUSIP: 03837AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    440000 | PA      | $438852.77    | 0.12%             | 2029-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund I Trust 2020-2                                      | CUSIP: 43789XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335343 | PA      | $331657.15    | 0.09%             | 2065-05-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi              | GM Financial Consumer Automobile Receivables Trust 2022-2                       | CUSIP: 362585AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    187819 | PA      | $187170.41    | 0.05%             | 2027-02-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5SL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58624 | PA      | $56282.84     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-BIO                                                               | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626000 | PA      | $625999.81    | 0.17%             | 2041-02-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1285237.32   | 0.35%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                 | Houston Galleria Mall Trust 2025-HGLR                                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $112861.71    | 0.03%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD 2024-WRHS Mortgage Trust                                                   | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278099 | PA      | $278099.11    | 0.07%             | 2026-08-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     91000 | PA      | $89112.64     | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    876000 | PA      | $880425.48    | 0.24%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-C                                | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114540 | PA      | $112298.51    | 0.03%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                | Dell Equipment Finance Trust 2025-1                                             | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $266056.48    | 0.07%             | 2027-07-22      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    769000 | PA      | $787581.36    | 0.21%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-SCHATZ                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $891.38       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B5VK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37593 | PA      | $37024.15     | 0.01%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299986.50    | 0.08%             | 2026-07-24      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr              | GoodLeap Sustainable Home Solutions Trust 2022-2                                | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38000 | PA      | $33110.72     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2022-B                                           | CUSIP: 44918MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90743 | PA      | $90631.79     | 0.02%             | 2026-11-16      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C31                                                  | CUSIP: 07336YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $404255.59    | 0.11%             | 2057-12-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                              | Ohio Edison Co                                                                  | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $243287.49    | 0.07%             | 2029-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2023-A                                           | CUSIP: 448979AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    518386 | PA      | $518500.17    | 0.14%             | 2027-04-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2021-1                                     | CUSIP: 89237MAA7<br>LEI: 54930055QDKD6LCRW256 | Long             | ABS-O            | CORP              | US        |    572000 | PA      | $559444.83    | 0.15%             | 2034-02-27      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-ATrust                                      | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127448 | PA      | $122595.84    | 0.03%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                | NY Commercial Mortgage Trust 2025-299P                                          | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $218211.57    | 0.06%             | 2047-02-10      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2023-NQM6 Trust                                                             | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384381 | PA      | $387378.52    | 0.10%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | NEW Residential Mortgage Loan Trust 2025-Nqm2                                   | CUSIP: 64831XAC2<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |    268634 | PA      | $270229.28    | 0.07%             | 2065-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    531000 | PA      | $524494.75    | 0.14%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                       | Uber Technologies Inc                                                           | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1117059.06   | 0.30%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    375000 | PA      | $375715.31    | 0.10%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XXII Ltd                                                                   | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250294.45    | 0.07%             | 2031-01-17      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    902000 | PA      | $852555.83    | 0.23%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-VLT4                                                              | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $379881.25    | 0.10%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2167000 | PA      | $2220750.68   | 0.60%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2024-5C8 Mortgage Trust                                                     | CUSIP: 09661XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $404703.12    | 0.11%             | 2057-12-15      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                  | NCMF Trust 2025-MFS                                                             | CUSIP: 62887TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256000 | PA      | $257858.84    | 0.07%             | 2033-06-10      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2152538 | PA      | $2092369.51   | 0.56%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14200000 | PA      | $13685804.65  | 3.68%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust              | ILPT Commercial Mortgage Trust 2022-LPF2                                        | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499375.00    | 0.13%             | 2039-10-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-3                                               | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602145 | PA      | $602470.69    | 0.16%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Tr              | Bunker Hill Loan Depositary Trust 2019-3                                        | CUSIP: 12062BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157563 | PA      | $155574.68    | 0.04%             | 2059-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    351000 | PA      | $355715.63    | 0.10%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Loan Trust 2020-A                                     | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770357 | PA      | $768139.73    | 0.21%             | 2068-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CY0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    320000 | PA      | $324767.80    | 0.09%             | 2030-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-D                                | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258067 | PA      | $244436.11    | 0.07%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BK3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    254000 | PA      | $259573.54    | 0.07%             | 2028-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-C LLC                                            | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70972 | PA      | $64802.20     | 0.02%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RMX7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    580000 | PA      | $585263.96    | 0.16%             | 2030-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C5                                      | CUSIP: 05492JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211145 | PA      | $206175.01    | 0.06%             | 2052-11-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $7375312.48   | 1.98%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                 | HOMES 2025-NQM2 Trust                                                           | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    416853 | PA      | $417566.57    | 0.11%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QAUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288871 | PA      | $287906.95    | 0.08%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2015-GC32                                          | CUSIP: 36250PAD7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |     49910 | PA      | $49849.56     | 0.01%             | 2048-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-B                                           | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1338000 | PA      | $1351636.90   | 0.36%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -70 | NC      | $-152989.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307WTN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671376 | PA      | $666067.15    | 0.18%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1110552.51   | 0.30%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2022-A                                         | CUSIP: 78450FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    499976 | PA      | $469513.95    | 0.13%             | 2054-11-16      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    215000 | PA      | $215233.31    | 0.06%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    821000 | PA      | $826944.82    | 0.22%             | 2028-01-24      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                        | Verizon Master Trust                                                            | CUSIP: 92348KCH4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |    266000 | PA      | $271001.04    | 0.07%             | 2031-12-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2024-1                                       | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103000 | PA      | $105314.79    | 0.03%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    255000 | PA      | $257011.78    | 0.07%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 502431AS8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    495000 | PA      | $506368.88    | 0.14%             | 2029-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    738000 | PA      | $747048.62    | 0.20%             | 2030-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    166000 | PA      | $172925.17    | 0.05%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BDX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13055 | PA      | $13009.46     | 0.00%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1293419.30   | 0.35%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79468 | PA      | $79091.30     | 0.02%             | 2049-08-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2025-NQM4                                       | CUSIP: 10570QAE1<br>LEI: 25490082TY9NA9XBGW19 | Long             | ABS-MBS          | CORP              | US        |    387108 | PA      | $389779.91    | 0.10%             | 2065-02-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2023-NQM2                                         | CUSIP: 59981CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418152 | PA      | $418563.32    | 0.11%             | 2067-12-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    555000 | PA      | $582423.49    | 0.16%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                             | OHA Credit Partners XVI                                                         | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $421480.25    | 0.11%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7350000 | PA      | $7133519.57   | 1.92%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2019-C17 Commercial Mortgage Trust                                        | CUSIP: 12597BAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $930103.90    | 0.25%             | 2052-09-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                        | Chase Issuance Trust                                                            | CUSIP: 161571HW7<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $298232.69    | 0.08%             | 2031-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz              | SFS Auto Receivables Securitization Trust 2025-2                                | CUSIP: 78398HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656000 | PA      | $660356.25    | 0.18%             | 2030-12-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 054989AA6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     61000 | PA      | $65732.32     | 0.02%             | 2030-08-02      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    590000 | PA      | $590819.03    | 0.16%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                            | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    230000 | PA      | $227421.26    | 0.06%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1177000 | PA      | $1195979.10   | 0.32%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FUGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103264 | PA      | $98654.70     | 0.03%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363642 | PA      | $348120.83    | 0.09%             | 2050-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4186 | PA      | $4092.07      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                            | FirstEnergy Corp                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    237000 | PA      | $210443.52    | 0.06%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-F                                | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366908 | PA      | $341961.87    | 0.09%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-ROIC                                                              | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513000 | PA      | $509793.75    | 0.14%             | 2030-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1335000 | PA      | $1360554.98   | 0.37%             | 2026-11-10      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-A                                | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47154 | PA      | $42975.70     | 0.01%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBQ8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121576.28    | 0.03%             | 2026-05-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Card issuance Trus              | WF Card Issuance Trust                                                          | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902000 | PA      | $1926688.53   | 0.52%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-P1                                     | CUSIP: 17324DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61965 | PA      | $61852.71     | 0.02%             | 2048-09-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BHTC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226196 | PA      | $210816.01    | 0.06%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                     | CUSIP: 61766NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31407 | PA      | $31284.61     | 0.01%             | 2049-09-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    907000 | PA      | $901555.73    | 0.24%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -25 | NC      | $-108667.04   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECH2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    470000 | PA      | $464340.06    | 0.12%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                          | UBS AG/Stamford CT                                                              | CUSIP: 22550L2K6<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    491000 | PA      | $498583.68    | 0.13%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                   | Chesapeake Funding II LLC                                                       | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    398269 | PA      | $402260.12    | 0.11%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    525000 | PA      | $522620.26    | 0.14%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MENT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52680 | PA      | $51825.94     | 0.01%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                | Ford Credit Auto Owner Trust 2022-B                                             | CUSIP: 34534LAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417000 | PA      | $415729.69    | 0.11%             | 2027-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    435000 | PA      | $408084.93    | 0.11%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                      | Goldman Sachs Bank USA/New York NY                                              | CUSIP: 38151LAF7<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    201000 | PA      | $201991.83    | 0.05%             | 2027-03-18      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    689000 | PA      | $667132.35    | 0.18%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76665 | PA      | $79069.69     | 0.02%             | 2045-06-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-CNYN                                                              | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110864 | PA      | $111103.88    | 0.03%             | 2041-04-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    147000 | PA      | $151405.96    | 0.04%             | 2030-01-24      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $116968.52    | 0.03%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     71000 | PA      | $69719.89     | 0.02%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-2                                               | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160387 | PA      | $160645.67    | 0.04%             | 2068-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       708 | NC      | $491103.40    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    585000 | PA      | $597004.26    | 0.16%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    353000 | PA      | $344394.14    | 0.09%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1783798.32   | 0.48%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                            | Whitebox Clo I Ltd                                                              | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $410383.68    | 0.11%             | 2036-07-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    720000 | PA      | $726277.46    | 0.20%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201269.23    | 0.05%             | 2029-05-09      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR11                                                                | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $204280.36    | 0.05%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406360 | PA      | $406898.39    | 0.11%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAY5<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    480000 | PA      | $490951.89    | 0.13%             | 2030-01-30      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2023-1                                         | CUSIP: 68269JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $154621.49    | 0.04%             | 2038-06-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -631 | NC      | $-798157.79   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo              | EDvestinU Private Education Loan Issue No 3 LLC                                 | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50470 | PA      | $46339.77     | 0.01%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1985432.73   | 0.53%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-2                                                | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322666 | PA      | $318148.95    | 0.09%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $1060525.74   | 0.29%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DT3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    490000 | PA      | $488814.58    | 0.13%             | 2030-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-4 LLC                                           | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182000 | PA      | $182972.68    | 0.05%             | 2028-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                              | ELM Trust 2024-ELM                                                              | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $735519.75    | 0.20%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2025-INV2 Mortgage Loan Trust                                              | CUSIP: 12673UAA2<br>LEI: 213800M5KYYIOHI7KW93 | Long             | ABS-MBS          | CORP              | US        |    182130 | PA      | $183147.16    | 0.05%             | 2070-02-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-5C9 Mortgage Trust                                                     | CUSIP: 096933AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154697 | PA      | $161725.33    | 0.04%             | 2058-04-15      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-3                                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |    669611 | PA      | $673038.67    | 0.18%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz              | SFS Auto Receivables Securitization Trust 2025-1                                | CUSIP: 81885BAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $454717.44    | 0.12%             | 2030-07-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1002000 | PA      | $1014848.83   | 0.27%             | 2028-07-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H0A40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    667513 | PA      | $647258.89    | 0.17%             | 2044-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                | Ford Credit Auto Owner Trust 2024-A                                             | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1918541.15   | 0.52%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit              | SG Commercial Mortgage Securities Trust 2016-C5                                 | CUSIP: 78419CAC8<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |    595613 | PA      | $586338.55    | 0.16%             | 2048-10-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU              | SoFi Consumer Loan Program 2025-2 Trust                                         | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1089000 | PA      | $1090707.12   | 0.29%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-INV3 Trust                                                             | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172453 | PA      | $146524.59    | 0.04%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note              | Navistar Financial Dealer Note Master Owner Trust II                            | CUSIP: 63938PBU2<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |    167000 | PA      | $167207.71    | 0.04%             | 2028-08-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C33                                  | CUSIP: 95000LAZ6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $375661.84    | 0.10%             | 2059-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   1593000 | PA      | $1575948.48   | 0.42%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                              | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183204.54    | 0.05%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153002 | PA      | $150607.82    | 0.04%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor              | TCO Commercial Mortgage Trust 2024-DPM                                          | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $184942.19    | 0.05%             | 2039-12-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2023-6                                                 | CUSIP: 03464UAA4<br>LEI: 254900QAUT3NUZVCSB04 | Long             | ABS-MBS          | CORP              | US        |    145745 | PA      | $146758.30    | 0.04%             | 2067-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    530000 | PA      | $537513.38    | 0.14%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2023-NQM6                                       | CUSIP: 10569DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305717 | PA      | $308375.01    | 0.08%             | 2063-09-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-C3                                     | CUSIP: 17325GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189601 | PA      | $188377.74    | 0.05%             | 2049-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei              | Santander Mortgage Asset Receivable Trust 2025-NQM2                             | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334428 | PA      | $336874.00    | 0.09%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    727000 | PA      | $748488.20    | 0.20%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-PAT                                                               | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250000.00    | 0.07%             | 2041-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                  | 3M Co                                                                           | CUSIP: 88579YBQ3<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    325000 | PA      | $330401.56    | 0.09%             | 2030-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                          | Expand Energy Corp                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    619000 | PA      | $620735.68    | 0.17%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    555000 | PA      | $526674.62    | 0.14%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trus              | TEXAS Commercial Mortgage Trust 2025-TWR                                        | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $326387.63    | 0.09%             | 2042-04-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                    | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175088.07    | 0.05%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8B91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267647 | PA      | $254424.89    | 0.07%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                            | Trinitas CLO XIX Ltd                                                            | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    425000 | PA      | $425339.02    | 0.11%             | 2033-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    206000 | PA      | $207129.80    | 0.06%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    825000 | PA      | $808877.70    | 0.22%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120586.68    | 0.03%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1402078.13   | 0.38%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    807000 | PA      | $826383.06    | 0.22%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2025-2                                                 | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |    212438 | PA      | $213031.29    | 0.06%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    512000 | PA      | $525045.23    | 0.14%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                 | Exelon Corp                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    270000 | PA      | $276975.81    | 0.07%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-P2                                   | CUSIP: 95000AAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420205 | PA      | $418317.35    | 0.11%             | 2048-12-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-ATH1                                                                  | CUSIP: 12660BAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213669 | PA      | $206255.61    | 0.06%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2023-DELC                                                              | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $462868.84    | 0.12%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AY9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    414000 | PA      | $425811.77    | 0.11%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHX5<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $281317.04    | 0.08%             | 2028-05-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XLNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479126 | PA      | $468567.70    | 0.13%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EK4C7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    700000 | PA      | $651587.36    | 0.18%             | 2029-10-29      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr              | GoodLeap Sustainable Home Solutions Trust 2021-5                                | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47979 | PA      | $39539.00     | 0.01%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus              | Residential Mortgage Loan Trust 2019-3                                          | CUSIP: 76119NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385359 | PA      | $379679.24    | 0.10%             | 2059-09-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                      | Canyon CLO 2021-4 Ltd                                                           | CUSIP: 13877PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250428.18    | 0.07%             | 2034-10-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9SW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207819 | PA      | $202193.21    | 0.05%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    350000 | PA      | $326137.68    | 0.09%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                        | Royal Bank of Canada                                                            | CUSIP: 78016FZT4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     12000 | PA      | $12023.68     | 0.00%             | 2026-01-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    310000 | PA      | $316985.66    | 0.09%             | 2030-02-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun              | American Express Credit Account Master Trust                                    | CUSIP: 02582JKF6<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $422360.87    | 0.11%             | 2031-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    758000 | PA      | $754824.87    | 0.20%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2019-B                                         | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378277 | PA      | $378455.21    | 0.10%             | 2037-06-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PET8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030000 | PA      | $1038564.97   | 0.28%             | 2028-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    516000 | PA      | $508552.48    | 0.14%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8XV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993275 | PA      | $1006822.80   | 0.27%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2025-B                                                    | CUSIP: 00193GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062000 | PA      | $1065981.44   | 0.29%             | 2034-03-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1866562.50   | 0.50%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBQ5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    399000 | PA      | $421177.89    | 0.11%             | 2028-11-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Tr              | BA Credit Card Trust                                                            | CUSIP: 05522RDJ4<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   1383000 | PA      | $1403486.52   | 0.38%             | 2029-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-NXS2                                 | CUSIP: 94989MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24780 | PA      | $24617.11     | 0.01%             | 2058-07-15      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    240000 | PA      | $243328.78    | 0.07%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    840000 | PA      | $853194.20    | 0.23%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    450000 | PA      | $468754.25    | 0.13%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management | Dreyfus Treasury Securities Cash Management                                     | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |   5280507 | NS      | $5280506.59   | 1.42%             |  |  |  | No            |                  1 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2025-NQM1 Trust                                                            | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260820 | PA      | $262949.38    | 0.07%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    349000 | PA      | $341437.84    | 0.09%             | 2026-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    213000 | PA      | $198536.69    | 0.05%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                 | Exelon Corp                                                                     | CUSIP: 30161NBJ9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    253000 | PA      | $258600.86    | 0.07%             | 2028-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust              | ARES Trust 2025-IND3                                                            | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300374.43    | 0.08%             | 2042-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-AIRC                                          | CUSIP: 12433CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320337 | PA      | $320938.07    | 0.09%             | 2039-08-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AN4X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4853 | PA      | $4840.72      | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110899.76    | 0.03%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    195000 | PA      | $190081.13    | 0.05%             | 2027-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    545000 | PA      | $536274.31    | 0.14%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2017-A                                         | CUSIP: 78448WAC9<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |     59316 | PA      | $59326.28     | 0.02%             | 2034-09-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    190000 | PA      | $191934.05    | 0.05%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFQD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112380 | PA      | $109067.78    | 0.03%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-3 LLC                                           | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66000 | PA      | $67362.40     | 0.02%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BKUK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24912 | PA      | $24820.51     | 0.01%             | 2042-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118160.07    | 0.03%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XMXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200777 | PA      | $188583.71    | 0.05%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                        | ACRA Trust 2024-NQM1                                                            | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388039 | PA      | $388271.89    | 0.10%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                    | SoFi Personal Loan Trust 2023-1                                                 | CUSIP: 78474NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87041 | PA      | $88080.90     | 0.02%             | 2030-11-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                           | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |         3 | PA      | $3.00         | 0.00%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MGNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6618 | PA      | $6473.46      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $512597.17    | 0.14%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    690000 | PA      | $699842.08    | 0.19%             | 2029-01-24      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust                                                       | CUSIP: 89171DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298795 | PA      | $296925.74    | 0.08%             | 2053-10-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2024-A                                         | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656244 | PA      | $662543.98    | 0.18%             | 2056-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivable              | OneMain Direct Auto Receivables Trust 2021-1                                    | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225223 | PA      | $223721.36    | 0.06%             | 2028-07-14      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD5 Mortgage Trust                                                      | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $512980.86    | 0.14%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    440000 | PA      | $433223.82    | 0.12%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2024-V12 Mortgage Trust                                               | CUSIP: 081915AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1145690.48   | 0.31%             | 2057-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                | CUSIP: 64035DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385541 | PA      | $362609.10    | 0.10%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                 | HOMES 2023-NQM2 Trust                                                           | CUSIP: 43761KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394242 | PA      | $395733.43    | 0.11%             | 2068-02-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    550000 | PA      | $581433.35    | 0.16%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W1LP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8640 | PA      | $8451.63      | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123150 | PA      | $127656.14    | 0.03%             | 2043-07-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2024-RCF1 LLC                                                              | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86542 | PA      | $84846.24     | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon 55 Ltd                              | Octagon 55 Ltd                                                                  | CUSIP: 67577AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $300461.70    | 0.08%             | 2034-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                       | Uber Technologies Inc                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    410000 | PA      | $408109.24    | 0.11%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                        | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382430 | PA      | $384591.81    | 0.10%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1208321.49   | 0.32%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141361.71    | 0.04%             | 2029-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust/Ford Credit                                        | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715000 | PA      | $729242.51    | 0.20%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191979 | PA      | $186846.58    | 0.05%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                    | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    190000 | PA      | $193236.22    | 0.05%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBS4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    225000 | PA      | $209981.28    | 0.06%             | 2028-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    940000 | PA      | $941248.75    | 0.25%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                           | PRPM 2023-NQM2 Trust                                                            | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113409 | PA      | $113957.81    | 0.03%             | 2068-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2021-VII Ltd                                                       | CUSIP: 12567HAC6<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $300673.35    | 0.08%             | 2035-01-23      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                | Dell Equipment Finance Trust 2025-1                                             | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337000 | PA      | $340246.02    | 0.09%             | 2031-02-24      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2023-B                                         | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568452 | PA      | $579485.18    | 0.16%             | 2056-10-16      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182073 | PA      | $170362.76    | 0.05%             | 2044-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255581 | PA      | $239571.41    | 0.06%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5AA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046466 | PA      | $989255.67    | 0.27%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H7JU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31772 | PA      | $30887.09     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2022-3 Mortgage Loan Trust                                                 | CUSIP: 12659YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104379 | PA      | $102041.31    | 0.03%             | 2067-02-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WNZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5718 | PA      | $5592.80      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CBE4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    110000 | PA      | $105946.11    | 0.03%             | 2029-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282142 | PA      | $249830.40    | 0.07%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    270000 | PA      | $266717.99    | 0.07%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                        | Chase Issuance Trust                                                            | CUSIP: 161571HT4<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2710972.49   | 0.73%             | 2028-09-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                        | Verizon Master Trust                                                            | CUSIP: 92348KDM2<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1042000 | PA      | $1054615.70   | 0.28%             | 2030-11-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109BF7<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $58704.88     | 0.02%             | 2026-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2023-5                                   | CUSIP: 80286PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774267 | PA      | $777460.14    | 0.21%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                     | BMW Vehicle Owner Trust 2025-A                                                  | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $504281.30    | 0.14%             | 2029-09-25      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GNMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282509 | PA      | $273282.12    | 0.07%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    874000 | PA      | $869398.97    | 0.23%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2022-INV2                                     | CUSIP: 58549JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387074 | PA      | $328271.63    | 0.09%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                  | MMAF Equipment Finance LLC 2024-A                                               | CUSIP: 55318CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149650 | PA      | $151875.22    | 0.04%             | 2031-07-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PEY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432000 | PA      | $438325.56    | 0.12%             | 2028-10-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDG2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    485000 | PA      | $491672.10    | 0.13%             | 2028-02-04      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM4 Trust                                                             | CUSIP: 67120QAA4<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |    348515 | PA      | $348645.69    | 0.09%             | 2055-02-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                         | Consumers Energy Co                                                             | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    270000 | PA      | $271056.08    | 0.07%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121486.45    | 0.03%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAS8<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    155000 | PA      | $158492.53    | 0.04%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    533000 | PA      | $531532.54    | 0.14%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T              | Honda Auto Receivables 2023-4 Owner Trust                                       | CUSIP: 438123AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    937000 | PA      | $946993.11    | 0.25%             | 2028-06-21      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2024-HYB1                                                | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414655 | PA      | $418813.63    | 0.11%             | 2063-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C60                                  | CUSIP: 95003DBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834000 | PA      | $778003.16    | 0.21%             | 2054-08-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-1 LLC                                           | CUSIP: 29375PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307413 | PA      | $309621.94    | 0.08%             | 2030-03-20      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAA1<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |    106963 | PA      | $104887.80    | 0.03%             | 2029-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                 | INV 2024-IND Mortgage Trust                                                     | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $159908.59    | 0.04%             | 2041-11-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                 | Citibank NA                                                                     | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    575000 | PA      | $586039.40    | 0.16%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    672000 | PA      | $658504.63    | 0.18%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                 | Point Broadband Funding LLC                                                     | CUSIP: 73052AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116000 | PA      | $115998.19    | 0.03%             | 2055-07-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    916000 | PA      | $908504.96    | 0.24%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82355 | PA      | $80461.51     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2022-2                                                 | CUSIP: 03464PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252633 | PA      | $237971.32    | 0.06%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                              | ELM Trust 2024-ELM                                                              | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $737700.70    | 0.20%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2025-NQM2 Trust                                                             | CUSIP: 55287MAA7<br>LEI: 254900SDE8K3K1E63161 | Long             | ABS-MBS          | CORP              | US        |    362727 | PA      | $364611.40    | 0.10%             | 2070-05-27      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308KS5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    720000 | PA      | $719997.00    | 0.19%             | 2025-09-04      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                         | Cali 2024-Sun                                                                   | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260325.00    | 0.07%             | 2041-07-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2025-7                                                 | CUSIP: 03466TAA5<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $783835.02    | 0.21%             | 2070-06-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    493000 | PA      | $471612.62    | 0.13%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                     | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202387.17    | 0.05%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR8                                                                 | CUSIP: 065923AY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $229538.39    | 0.06%             | 2057-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    722000 | PA      | $688240.10    | 0.18%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-PAT                                                               | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100000.00    | 0.03%             | 2041-03-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner               | Nissan Auto Receivables 2023-A Owner Trust                                      | CUSIP: 65480WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1418150 | PA      | $1421090.69   | 0.38%             | 2027-11-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C29                                                  | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $652695.04    | 0.18%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVAB              | GreatAmerica Leasing Receivables Funding LLC Series 2024-2                      | CUSIP: 39154GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    209652 | PA      | $210495.01    | 0.06%             | 2027-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2024-5C6 Mortgage Trust                                                     | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $337812.02    | 0.09%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                      | Morgan Stanley Bank NA                                                          | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    765000 | PA      | $774163.67    | 0.21%             | 2028-07-14      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                       | Traton Finance Luxembourg SA                                                    | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $118463.69    | 0.03%             | 2025-11-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    560000 | PA      | $573609.13    | 0.15%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2199139.98   | 0.59%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    470000 | PA      | $488119.40    | 0.13%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-4 LLC                                           | CUSIP: 29374MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $50572.83     | 0.01%             | 2031-06-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2024-2                                                 | CUSIP: 46657TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84437 | PA      | $85050.25     | 0.02%             | 2054-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner               | Toyota Auto Receivables 2023-C Owner Trust                                      | CUSIP: 89231FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331179 | PA      | $332969.96    | 0.09%             | 2028-04-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FRJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109438 | PA      | $105841.64    | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCE9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    505000 | PA      | $512304.02    | 0.14%             | 2028-04-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| TEXAS ELECTRIC MKT STABL                    | Texas Electric Market Stabilization Funding N LLC                               | CUSIP: 88240TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    283169 | PA      | $280297.81    | 0.08%             | 2034-08-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | Bravo Residential Funding Trust 2025-Nqm3                                       | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |    144790 | PA      | $145689.06    | 0.04%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-LIFE                                                              | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $509306.75    | 0.14%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2023-REV1                                          | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1399907.19   | 0.38%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-LC23 Mortgage Trust                                                   | CUSIP: 12636FBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $547756.99    | 0.15%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVAB              | GreatAmerica Leasing Receivables Funding LLC                                    | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $180395.75    | 0.05%             | 2029-04-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-1 LLC                                           | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $50939.94     | 0.01%             | 2030-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B7PP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385107 | PA      | $376009.55    | 0.10%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H8L66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2068585 | PA      | $2047239.26   | 0.55%             | 2049-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2024-C                                                      | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203000 | PA      | $202679.10    | 0.05%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                 | Homes 2024-Nqm2 Trust                                                           | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |    463048 | PA      | $465158.89    | 0.13%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note              | Navistar Financial Dealer Note Master Owner Trust                               | CUSIP: 63938PBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $393170.23    | 0.11%             | 2029-04-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                  | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362882 | PA      | $363221.32    | 0.10%             | 2030-04-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    164000 | PA      | $167808.43    | 0.05%             | 2029-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BY3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    530000 | PA      | $535396.20    | 0.14%             | 2028-04-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Student Loan Trust 2013-4                                                   | CUSIP: 78448AAA1<br>LEI: 5493004WA7G168XIR344 | Long             | ABS-O            | CORP              | US        |    116983 | PA      | $114712.26    | 0.03%             | 2043-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                       | Arroyo Mortgage Trust 2022-2                                                    | CUSIP: 04285EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212178 | PA      | $211396.10    | 0.06%             | 2057-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                        | Cross 2025-H3 Mortgage Trust                                                    | CUSIP: 22757EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702076 | PA      | $710079.11    | 0.19%             | 2070-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2025-NQM2                                       | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |    302128 | PA      | $303581.35    | 0.08%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-6                                                | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302964 | PA      | $299845.40    | 0.08%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2023-AFC3 Trust                                                           | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348492 | PA      | $351691.23    | 0.09%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EMPE6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    770000 | PA      | $665008.72    | 0.18%             | 2031-02-03      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-B LLC                                            | CUSIP: 19425AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153522 | PA      | $151256.36    | 0.04%             | 2052-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     97000 | PA      | $96745.30     | 0.03%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    827000 | PA      | $868738.67    | 0.23%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300M2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103507 | PA      | $106806.83    | 0.03%             | 2045-03-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHSE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950562 | PA      | $953607.65    | 0.26%             | 2054-04-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO VIII Ltd                                            | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |    112900 | PA      | $112908.91    | 0.03%             | 2031-01-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 18 Ltd                                                                  | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $491593.38    | 0.13%             | 2037-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     39000 | PA      | $36911.16     | 0.01%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner               | Toyota Auto Receivables 2022-B Owner Trust                                      | CUSIP: 89238FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573000 | PA      | $568102.45    | 0.15%             | 2027-08-16      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                   | Chesapeake Funding II LLC                                                       | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    211935 | PA      | $214760.20    | 0.06%             | 2035-10-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    571000 | PA      | $563701.38    | 0.15%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                       | Foundry JV Holdco LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $208996.11    | 0.06%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                   | ALA Trust 2025-OANA                                                             | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299000 | PA      | $300588.86    | 0.08%             | 2040-06-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2024-2                                       | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100547.14    | 0.03%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    385000 | PA      | $376331.26    | 0.10%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2024-5C2                                  | CUSIP: 95003UAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $94259.84     | 0.03%             | 2057-11-15      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                    | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    600000 | PA      | $578820.32    | 0.16%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JPMCC Commercial Mortgage Securities Trust 2017-JP6                             | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413870 | PA      | $403586.23    | 0.11%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Commercial Mortgage Trust 2025-3BP                                          | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179000 | PA      | $177545.63    | 0.05%             | 2042-02-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin              | Pagaya AI Technology in Housing Trust 2023-1                                    | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $478659.60    | 0.13%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2023-1                                     | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1020055.30   | 0.27%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    215000 | PA      | $213574.97    | 0.06%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    545000 | PA      | $560505.71    | 0.15%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                | Hudson Yards 2025-SPRL Mortgage Trust                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $288638.42    | 0.08%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                    | Discovery Communications LLC                                                    | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    133000 | PA      | $132784.54    | 0.04%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    456000 | PA      | $424404.08    | 0.11%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                            | Ryder System Inc                                                                | CUSIP: 78355HKW8<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133377.46    | 0.04%             | 2028-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2020-EXP3 Trust                                                             | CUSIP: 67448WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457406 | PA      | $455380.68    | 0.12%             | 2060-01-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2024-1                                                 | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270860 | PA      | $276539.92    | 0.07%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919009 | PA      | $924295.79    | 0.25%             | 2054-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2083000 | PA      | $2087678.19   | 0.56%             | 2026-09-29      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2025-3                                        | CUSIP: 16160MAX1<br>LEI: 529900HBZNCZRSLIS225 | Long             | ABS-MBS          | CORP              | US        |    564535 | PA      | $565686.06    | 0.15%             | 2056-02-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD5 Mortgage Trust                                                      | CUSIP: 12515HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395187 | PA      | $390998.36    | 0.11%             | 2050-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                      | Federal Home Loan Banks                                                         | CUSIP: 3130AH6Y4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $925914.85    | 0.25%             | 2029-09-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380497 | PA      | $348119.96    | 0.09%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                      | General Motors Financial Co Inc                                                 | CUSIP: 37045XEU6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    152000 | PA      | $155272.99    | 0.04%             | 2029-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2016-2                                                | CUSIP: 89172PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190856 | PA      | $187602.51    | 0.05%             | 2055-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 9128286X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8450000 | PA      | $8304105.51   | 2.23%             | 2026-05-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    719368 | PA      | $713536.44    | 0.19%             | 2053-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017CH0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     38000 | PA      | $37236.79     | 0.01%             | 2026-11-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $236097.72    | 0.06%             | 2055-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                | Navient Education Loan Trust 2025-A                                             | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $334942.58    | 0.09%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    730000 | PA      | $742121.14    | 0.20%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                 | Netflix Inc                                                                     | CUSIP: 64110LAV8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    280000 | PA      | $286488.06    | 0.08%             | 2030-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit              | Porsche Financial Auto Securitization Trust 2024-1                              | CUSIP: 73328EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2163000 | PA      | $2173017.07   | 0.58%             | 2030-01-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380HHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    327458 | PA      | $306938.64    | 0.08%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-G                                | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52984 | PA      | $51104.65     | 0.01%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2023-2 LLC                                           | CUSIP: 29375NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452136 | PA      | $454843.04    | 0.12%             | 2030-04-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1036000 | PA      | $1058498.21   | 0.28%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Trust 2015-2                                                 | CUSIP: 599808BG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325677 | PA      | $321710.31    | 0.09%             | 2057-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    365000 | PA      | $373938.85    | 0.10%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    778000 | PA      | $797410.77    | 0.21%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobi              | GM Financial Consumer Automobile Receivables Trust 2024-4                       | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103000 | PA      | $1106175.76   | 0.30%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    111000 | PA      | $109290.78    | 0.03%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES              | Mercedes-Benz Auto Receivables Trust 2023-2                                     | CUSIP: 58769FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $769871.72    | 0.21%             | 2028-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2024-C                                         | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1043791 | PA      | $1068450.26   | 0.29%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust              | BSTN Commercial Mortgage Trust 2025-1C                                          | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197000 | PA      | $201418.63    | 0.05%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    229000 | PA      | $233438.09    | 0.06%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2024-B                                                    | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91212 | PA      | $91779.12     | 0.02%             | 2033-04-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2025-2 LLC                                           | CUSIP: 29375TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342000 | PA      | $343698.03    | 0.09%             | 2029-06-20      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| TYCO ELECTRONICS GROUP S                    | Tyco Electronics Group SA                                                       | CUSIP: 902133BC0<br>LEI: C33G1C5SYE2YM95EE712 | Long             | DBT              | CORP              | LU        |    275000 | PA      | $274758.97    | 0.07%             | 2031-02-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust                                                      | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189724 | PA      | $191312.37    | 0.05%             | 2072-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHW7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $261623.05    | 0.07%             | 2028-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2024-UNIV                                        | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100125.00    | 0.03%             | 2041-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    914000 | PA      | $907434.19    | 0.24%             | 2027-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And L              | BAY 2025-LIVN Mortgage Trust                                                    | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $386311.77    | 0.10%             | 2035-05-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CE7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    152000 | PA      | $148060.75    | 0.04%             | 2028-03-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAK1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    275000 | PA      | $275066.40    | 0.07%             | 2027-07-27      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-3 LLC                                           | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202618.82    | 0.05%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    935000 | PA      | $948601.77    | 0.25%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-IND                                                               | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524224 | PA      | $524551.20    | 0.14%             | 2037-04-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11100000 | PA      | $10826835.88  | 2.91%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                   | LBA Trust 2024-7IND                                                             | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $590553.13    | 0.16%             | 2041-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-H                                | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580802 | PA      | $533497.83    | 0.14%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3300000 | PA      | $3293039.05   | 0.88%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                         | Elmwood CLO III Ltd                                                             | CUSIP: 29002HAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    425000 | PA      | $425783.45    | 0.11%             | 2037-07-18      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                  | PRM5 Trust 2025-PRM5                                                            | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376000 | PA      | $374485.81    | 0.10%             | 2033-03-10      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B1RK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39546 | PA      | $39309.30     | 0.01%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                 | Netflix Inc                                                                     | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    215000 | PA      | $226638.18    | 0.06%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BN7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    423000 | PA      | $442602.48    | 0.12%             | 2028-10-06      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8EP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352776 | PA      | $347842.59    | 0.09%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AS MILEAGE PLAN IP LTD                      | AS Mileage Plan IP Ltd                                                          | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    545000 | PA      | $539305.92    | 0.14%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                      | RR 21 Ltd                                                                       | CUSIP: 78110TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    260000 | PA      | $260855.04    | 0.07%             | 2039-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2023-2                                 | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1031000 | PA      | $1078724.78   | 0.29%             | 2036-08-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-12                                                 | CUSIP: 33853GAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584437 | PA      | $573895.38    | 0.15%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2023-INV2 Trust                                                             | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133865 | PA      | $135269.69    | 0.04%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                           | Healthpeak OP LLC                                                               | CUSIP: 42250PAC7<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9532.38      | 0.00%             | 2027-02-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464271 | PA      | $439239.82    | 0.12%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2022-B                                | CUSIP: 63942PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    728796 | PA      | $708428.86    | 0.19%             | 2070-10-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2024-REV1                                          | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1288000 | PA      | $1312644.21   | 0.35%             | 2036-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2015-C33                             | CUSIP: 46645JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94218 | PA      | $93984.22     | 0.03%             | 2048-12-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    101000 | PA      | $101606.30    | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                  | MMAF Equipment Finance LLC 2024-A                                               | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    745000 | PA      | $763435.84    | 0.21%             | 2049-07-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    543000 | PA      | $555710.40    | 0.15%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5                        | CUSIP: 61777QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688300 | PA      | $691105.42    | 0.19%             | 2069-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                      | John Deere Owner Trust 2023-B                                                   | CUSIP: 477920AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446518 | PA      | $448903.37    | 0.12%             | 2028-03-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1506503.91   | 0.40%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RAY0<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |     68000 | PA      | $67632.97     | 0.02%             | 2028-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                         | SG Residential Mortgage Trust 2022-2                                            | CUSIP: 78434KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129490 | PA      | $129228.68    | 0.03%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    868000 | PA      | $867834.82    | 0.23%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1196781.69   | 0.32%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    433000 | PA      | $469389.04    | 0.13%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443623 | PA      | $430772.82    | 0.12%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    435000 | PA      | $441162.35    | 0.12%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54988.32     | 0.01%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2025-A                                                | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392920 | PA      | $390093.28    | 0.10%             | 2057-03-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-A                                           | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    966000 | PA      | $974683.47    | 0.26%             | 2029-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2025-RPL2 Trust                                                            | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97376 | PA      | $94154.46     | 0.03%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    225000 | PA      | $226316.28    | 0.06%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2019-ATR2                                     | CUSIP: 16159GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123142 | PA      | $111762.54    | 0.03%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                               | AEP Texas Inc                                                                   | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108706.87    | 0.03%             | 2028-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                  | 1345T 2025-AOA                                                                  | CUSIP: 68271CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147000 | PA      | $147183.16    | 0.04%             | 2030-06-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| ONTARIO TEACHERS' FINANC                    | Ontario Teachers' Finance Trust                                                 | CUSIP: 68329AAP3<br>LEI: 635400ZZE5J8OXXBBY26 | Long             | DBT              | NUSS              | CA        |    965000 | PA      | $973847.80    | 0.26%             | 2028-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GR                    | PeaceHealth Obligated Group                                                     | CUSIP: 70462GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    114000 | PA      | $112382.14    | 0.03%             | 2025-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                      | John Deere Owner Trust 2024                                                     | CUSIP: 47800RAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981000 | PA      | $990062.09    | 0.27%             | 2028-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    600000 | PA      | $606838.23    | 0.16%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                     | BMW Vehicle Owner Trust 2022-A                                                  | CUSIP: 05602RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237549 | PA      | $237120.09    | 0.06%             | 2026-08-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| OMERS FINANCE TRUST                         | OMERS Finance Trust                                                             | CUSIP: 68218TAA9<br>LEI: 529900M039WCPES03P17 | Long             | DBT              | NUSS              | CA        |    550000 | PA      | $557592.27    | 0.15%             | 2030-03-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

**Name of Applicant:** BlackRock Allocation Target Shares

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer