# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0001752724-23-037504
**Filing Date:** 2023-2
**Character Count:** 416197
**Document Hash:** a0a9536d3ad284051e6b1e3feb2c1c5c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037504.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037504

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK ALLOCATION TARGET SHARES
- **CENTRAL INDEX KEY:** 0001221845
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 23661316

**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)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| AGL CLO 3 Ltd., Series 2020-3A, Class A, (3 mo. LIBOR US + 1.30%), 5.38%, 01/15/33<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;$245474 |
| American Express Credit Account Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class A, 0.90%, 11/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1385 | &nbsp;&nbsp;&nbsp;&nbsp; 1285138 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A, 2.21%, 03/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1711 | &nbsp;&nbsp;&nbsp;&nbsp; 1612976 |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class A, 3.39%, 05/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3884 | &nbsp;&nbsp;&nbsp;&nbsp; 3770226 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class A, 3.75%, 08/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4937811 |
| AmeriCredit Automobile Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class A3, 0.37%, 08/18/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 958220 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class A3, 0.76%, 08/18/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1336139 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A3, 2.45%, 11/18/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771422 |
| Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 5.46%, 01/28/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 463890 |
| Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL2, Class A, (1 mo. LIBOR US + 1.10%), 5.42%, 05/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483256 |
| Atrium XIII, Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 5.83%, 11/21/30<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777857 |
| BA Credit Card Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-A1, Class A1, 3.53%, 11/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4763 | &nbsp;&nbsp;&nbsp;&nbsp; 4631672 |
| &nbsp;&nbsp;&nbsp;Series 2022-A2, Class A2, 5.00%, 04/17/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1087 | &nbsp;&nbsp;&nbsp;&nbsp; 1097494 |
| Bain Capital Credit CLO Ltd., Series 2021-5A, Class B, (3 mo. LIBOR US + 1.65%), 5.98%, 10/23/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 477264 |
| Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R2, (3 mo. LIBOR US + 1.00%), 5.24%, 07/20/29<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640684 |
| Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 5.34%, 01/20/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492985 |
| BHG Securitization Trust, Series 2022-B, Class A, 3.75%, 06/18/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100529 |
| Birch Grove CLO 2 Ltd., Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%), 5.98%, 10/19/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239995 |
| BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 6.11%, 07/25/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238710 |
| BMW Vehicle Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-A, Class A4, 1.95%, 01/26/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1101 | &nbsp;&nbsp;&nbsp;&nbsp; 1090953 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class A3, 3.21%, 08/25/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2722 | &nbsp;&nbsp;&nbsp;&nbsp; 2650717 |
| Canyon CLO Ltd., Series 2021-4A, Class B, (3 mo. LIBOR US + 1.70%), 5.78%, 10/15/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239052 |
| Capital One Multi-Asset Execution Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-A1, Class A1, 2.80%, 03/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3331 | &nbsp;&nbsp;&nbsp;&nbsp; 3192741 |
| &nbsp;&nbsp;&nbsp;Series 2022-A2, Class A, 3.49%, 05/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7105 | &nbsp;&nbsp;&nbsp;&nbsp; 6909627 |
| &nbsp;&nbsp;&nbsp;Series 2022-A3, Class A, 4.95%, 10/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194473 |
| Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.66%, 05/17/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2113 | &nbsp;&nbsp;&nbsp;&nbsp; 2064096 |
| CarMax Auto Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class A3, 0.34%, 12/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 875148 |
| &nbsp;&nbsp;&nbsp;Series 2021-2, Class A3, 0.52%, 02/17/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 843507 |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class A3, 3.49%, 02/16/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3234 | &nbsp;&nbsp;&nbsp;&nbsp; 3144237 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class A3, 3.97%, 04/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1390 | &nbsp;&nbsp;&nbsp;&nbsp; 1362646 |
| Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 5.18%, 07/17/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491279 |
| Cedar Funding VII CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-7A, Class A1, (3 mo. LIBOR US + 1.00%), 5.24%, 01/20/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1481521 |
| &nbsp;&nbsp;&nbsp;Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 5.37%, 01/20/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 840837 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 5.53%, 10/22/31<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;$986748 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class AR, (3 mo. LIBOR US + 1.01%), 5.29%, 04/23/29<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 463941 |
| CNH Equipment Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-B, Class A3, 2.52%, 08/15/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162207 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A3, 3.89%, 08/16/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;614 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 593290 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class A1, (1 mo. LIBOR US + 0.80%), 5.19%, 06/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213899 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81618 |
| Credit Acceptance Auto Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2A, Class A, 1.37%, 07/16/29<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115129 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class A, 0.96%, 02/15/30<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 932844 |
| &nbsp;&nbsp;&nbsp;Series 2022-1A, Class A, 4.60%, 06/15/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759501 |
| &nbsp;&nbsp;&nbsp;Series 2022-3A, Class A, 6.57%, 10/15/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 454019 |
| Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.24%), 5.32%, 07/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240413 |
| Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.75%), 5.83%, 10/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241131 |
| Discover Card Execution Notes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-A5, Class A5, (1 mo. LIBOR US + 0.60%), 4.92%, 12/15/26<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924995 |
| &nbsp;&nbsp;&nbsp;Series 2022-A3, Class A3, 3.56%, 07/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4148 | &nbsp;&nbsp;&nbsp;&nbsp; 4026841 |
| Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 596082 |
| Drive Auto Receivables Trust, Series 2021-3, Class A3, 0.79%, 10/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1137 | &nbsp;&nbsp;&nbsp;&nbsp; 1129353 |
| Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, (3 mo. LIBOR US + 1.02%), 5.10%, 04/15/29<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 225806 |
| Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 5.28%, 04/20/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 972429 |
| Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3 mo. LIBOR US + 1.70%), 5.78%, 10/15/30<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 672648 |
| EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69518 |
| ELFI Graduate Loan Program LLC, Series 2022-A, Class A, 4.51%, 08/26/47<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;541 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 512607 |
| Enterprise Fleet Financing LLC, Series 2020-1, Class A2, 1.78%, 12/22/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195988 |
| Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547456 |
| Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39<sup>(a)</sup><br>| CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367444 |
| Ford Credit Auto Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A3, 0.30%, 08/15/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 409432 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A4, 3.93%, 08/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405835 |
| &nbsp;&nbsp;&nbsp;Series 2022-D, Class A3, 5.27%, 05/17/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;993 | &nbsp;&nbsp;&nbsp;&nbsp; 1002855 |
| FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1 mo. LIBOR US + 1.22%), 5.55%, 05/16/38<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 301520 |
| Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3 mo. LIBOR US + 1.40%), 5.73%, 07/24/30<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241023 |
| Generate CLO 2 Ltd., Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), 5.48%, 01/22/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1481519 |
| GM Financial Consumer Automobile Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A4, 1.51%, 04/17/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253584 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| GM Financial Consumer Automobile Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class A3, 3.10%, 02/16/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;931 | &nbsp;&nbsp;&nbsp;&nbsp;$901676 |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class A4, 3.25%, 04/17/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600804 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class A4, 3.71%, 12/16/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860705 |
| GoodLeap Sustainable Home Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-4GS, Class A, 1.93%, 07/20/48<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114499 |
| &nbsp;&nbsp;&nbsp;Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97356 |
| &nbsp;&nbsp;&nbsp;Series 2022-1GS, Class A, 2.70%, 01/20/49<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87561 |
| &nbsp;&nbsp;&nbsp;Series 2022-2CS, Class A, 4.00%, 04/20/49<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65866 |
| &nbsp;&nbsp;&nbsp;Series 2022-3CS, Class A, 4.95%, 07/20/49<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 787551 |
| Honda Auto Receivables Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-3, Class A4, 1.85%, 08/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;658 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657127 |
| &nbsp;&nbsp;&nbsp;Series 2019-4, Class A4, 1.87%, 01/20/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495733 |
| &nbsp;&nbsp;&nbsp;Series 2020-1, Class A4, 1.63%, 10/21/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 883438 |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class A3, 0.27%, 04/21/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698665 |
| Hyundai Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class A3, 0.74%, 05/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661188 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A3, 3.72%, 11/16/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 496525 |
| Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3 mo. LIBOR US + 1.80%), 6.16%, 07/25/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239459 |
| KKR CLO 13 Ltd., Series 13, Class A1R, (3 mo. LIBOR US + 0.80%), 4.88%, 01/16/28<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63941 |
| LCM XXI LP, Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 5.12%, 04/20/28<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116711 |
| Lendmark Funding Trust, Series 2021-1A, Class A, 1.90%, 11/20/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279982 |
| LoanCore Issuer Ltd., Series 2021-CRE5, Class A, (1 mo. LIBOR US + 1.30%), 5.62%, 07/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211412 |
| Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-AA, Class A, 2.19%, 08/21/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270281 |
| &nbsp;&nbsp;&nbsp;Series 2021-AA, Class A, 1.86%, 03/20/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120024 |
| Mosaic Solar Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-1A, Class A, 2.64%, 01/20/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172872 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A, 4.38%, 01/21/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169223 |
| &nbsp;&nbsp;&nbsp;Series 2022-3A, Class A, 6.16%, 06/20/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223377 |
| Navient Private Education Loan Trust, Series 2020-A, Class A2B, (1 mo. LIBOR US + 0.90%), 5.22%, 11/15/68<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1528 | &nbsp;&nbsp;&nbsp;&nbsp; 1499275 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-CA, Class A2, 3.13%, 02/15/68<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294433 |
| &nbsp;&nbsp;&nbsp;Series 2019-GA, Class A, 2.40%, 10/15/68<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105320 |
| &nbsp;&nbsp;&nbsp;Series 2020-BA, Class A2, 2.12%, 01/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364732 |
| &nbsp;&nbsp;&nbsp;Series 2020-DA, Class A, 1.69%, 05/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457317 |
| &nbsp;&nbsp;&nbsp;Series 2020-FA, Class A, 1.22%, 07/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 639732 |
| &nbsp;&nbsp;&nbsp;Series 2020-IA, Class A1A, 1.33%, 04/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 839651 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A, 0.84%, 05/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71884 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class A, 0.94%, 07/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428370 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class A, (Prime Rate + (1.99)%), 5.01%, 04/15/60<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442396 |
| &nbsp;&nbsp;&nbsp;Series 2022-BA, Class A, 4.16%, 10/15/70<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1548 | &nbsp;&nbsp;&nbsp;&nbsp; 1445624 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650869 |
| &nbsp;&nbsp;&nbsp;Series 2021-CA, Class AFL, (1 mo. LIBOR US + 0.74%), 5.09%, 04/20/62<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 531643 |
| OCP CLO Ltd., Series 2020-19A, Class BR, (3 mo. LIBOR US + 1.70%), 5.94%, 10/20/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238614 |
| Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%), 5.73%, 10/15/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285565 |
| Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.97%), 5.05%, 04/15/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428489 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OneMain Direct Auto Receivables Trust, Series 2021-1A, Class A, 0.87%, 07/14/28<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1990 | &nbsp;&nbsp;&nbsp;$1840163 |
| OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.13%, 05/14/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649630 |
| OZLM XXII Ltd., Series 2018-22A, Class A2, (3 mo. LIBOR US + 1.50%), 5.58%, 01/17/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237258 |
| Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 5.21%, 01/17/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1237407 |
| &nbsp;&nbsp;&nbsp;Series 2018-2A, Class A1A, (3 mo. LIBOR US + 1.10%), 5.18%, 07/16/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246677 |
| Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, (3 mo. LIBOR US + 0.80%), 5.04%, 07/20/29<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 748252 |
| Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, (3 mo. LIBOR US + 1.00%), 5.24%, 10/20/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 730634 |
| PFS Financing Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-A, Class A, 1.27%, 06/15/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 979718 |
| &nbsp;&nbsp;&nbsp;Series 2020-G, Class A, 0.97%, 02/15/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349083 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A, 0.71%, 04/15/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216414 |
| &nbsp;&nbsp;&nbsp;Series 2022-D, Class A, 4.27%, 08/15/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 688483 |
| Pikes Peak CLO 8, Series 2021-8A, Class B, (3 mo. LIBOR US + 1.75%), 5.99%, 07/20/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239639 |
| Prodigy Finance DAC, Series 2021-1A, Class A, (1 mo. LIBOR US + 1.25%), 5.64%, 07/25/51<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108592 |
| Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433411 |
| RAD CLO 1 Ltd., Series 2018-1A, Class AR, (3mo. LIBOR US + 0.98%), 5.06%, 07/15/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492105 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-2, Class A, 1.90%, 08/15/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349892 |
| &nbsp;&nbsp;&nbsp;Series 2022-2B, Class A, 7.10%, 11/17/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140778 |
| Santander Drive Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-4, Class A3, 0.51%, 08/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227955 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class A3, 3.40%, 12/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1080 | &nbsp;&nbsp;&nbsp;&nbsp; 1060191 |
| SLM Student Loan Trust, Series 2013-4, Class A, (1 mo. LIBOR US + 0.55%), 4.94%, 06/25/43<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 180496 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-A, Class A2B, (1 mo. LIBOR US + 1.50%), 5.82%, 05/15/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 404570 |
| &nbsp;&nbsp;&nbsp;Series 2016-B, Class A2B, (1 mo. LIBOR US + 1.45%), 5.77%, 02/17/32<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431128 |
| &nbsp;&nbsp;&nbsp;Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.90%), 5.22%, 09/15/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1071 | &nbsp;&nbsp;&nbsp;&nbsp; 1057791 |
| &nbsp;&nbsp;&nbsp;Series 2019-B, Class A2B, (1 mo. LIBOR US + 1.00%), 5.32%, 06/15/37<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 859616 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A2A1, (1 mo. LIBOR US + 0.73%), 5.05%, 01/15/53<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 993562 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class APL, (1 mo. LIBOR US + 0.73%), 5.05%, 01/15/53<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1220 | &nbsp;&nbsp;&nbsp;&nbsp; 1173287 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class APT, 2.85%, 11/16/54<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;846 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769552 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A1A, 3.94%, 02/16/55<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 812852 |
| SoFi Professional Loan Program LLC, Series 2016-D, Class A2B, 2.34%, 04/25/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9945 |
| SoFi Professional Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-A, Class A2FX, 2.54%, 05/15/46<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237367 |
| &nbsp;&nbsp;&nbsp;Series 2020-C, Class AFX, 1.95%, 02/15/46<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306363 |
| TICP CLO VI Ltd., Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 5.20%, 01/15/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 979222 |
| Toyota Auto Receivables Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-C, Class A4, 0.57%, 10/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2363854 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Toyota Auto Receivables Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A3, 2.93%, 09/15/26<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1241 | &nbsp;&nbsp;&nbsp;$1199822 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A4, 3.11%, 08/16/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 543517 |
| Verizon Owner Trust, Series 2020-A, Class A1A, 1.85%, 07/22/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97262 |
| Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1223 | &nbsp;&nbsp;&nbsp;&nbsp; 1162292 |
| Voya CLO Ltd., Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.15%), 5.23%, 10/15/31<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986684 |
| Westlake Automobile Receivables Trust, Series 2021-1A, Class A2A, 0.39%, 10/15/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91499 |
| **Total Asset-Backed Securities — 27.0%<br>(Cost: $117,377,560)<br>** | **Total Asset-Backed Securities — 27.0%<br>(Cost: $117,377,560)<br>** | **Total Asset-Backed Securities — 27.0%<br>(Cost: $117,377,560)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;113161104 |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** |
| Boeing Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.80%, 03/01/23<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448321 |
| &nbsp;&nbsp;&nbsp;2.20%, 02/04/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 613280 |
| Raytheon Technologies Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.65%, 08/16/23<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29747 |
| &nbsp;&nbsp;&nbsp;3.13%, 05/04/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1303705 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2395053 |
| **Automobiles — 0.9%** | **Automobiles — 0.9%** | **Automobiles — 0.9%** | **Automobiles — 0.9%** |
| Daimler Trucks Finance North America LLC, 2.00%, 12/14/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132164 |
| Honda Motor Co. Ltd., 2.53%, 03/10/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319766 |
| Mercedes-Benz Finance North America LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, 11/27/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457571 |
| &nbsp;&nbsp;&nbsp;1.45%, 03/02/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281763 |
| Nissan Motor Acceptance Co. LLC, 1.85%, 09/16/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155280 |
| Nissan Motor Co. Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.52%, 09/17/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701319 |
| &nbsp;&nbsp;&nbsp;2.65%, 03/17/26<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99218 |
| &nbsp;&nbsp;&nbsp;3.20%, 09/17/28<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145258 |
| Stellantis NV |  |  |  |
| &nbsp;&nbsp;&nbsp;2.38%, 04/14/23<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 741737 |
| &nbsp;&nbsp;&nbsp;3.75%, 03/29/24<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144290 |
| Traton Finance Luxembourg SA |  |  |  |
| &nbsp;&nbsp;&nbsp;0.00%, 06/14/24<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504517 |
| &nbsp;&nbsp;&nbsp;4.13%, 11/22/25<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106007 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3788890 |
| **Banks — 8.9%** | **Banks — 8.9%** | **Banks — 8.9%** | **Banks — 8.9%** |
| Australia & New Zealand Banking Group Ltd., 5.09%, 12/08/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 913652 |
| Bank Leumi Le-Israel BM, 3.28%, 01/29/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177000 |
| Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.55%, 03/05/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2340 | &nbsp;&nbsp;&nbsp;&nbsp; 2331192 |
| &nbsp;&nbsp;&nbsp;0.52%, 06/14/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 753635 |
| &nbsp;&nbsp;&nbsp;1.84%, 02/04/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479385 |
| &nbsp;&nbsp;&nbsp;0.98%, 09/25/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1472601 |
| &nbsp;&nbsp;&nbsp;1.53%, 12/06/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1610 | &nbsp;&nbsp;&nbsp;&nbsp; 1484904 |
| &nbsp;&nbsp;&nbsp;1.32%, 06/19/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210716 |
| &nbsp;&nbsp;&nbsp;4.83%, 07/22/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 797570 |
| &nbsp;&nbsp;&nbsp;6.20%, 11/10/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51624 |
| Bank of Nova Scotia, 5.25%, 12/06/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp; 1001845 |
| Barclays PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;1.01%, 12/10/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1142288 |
| &nbsp;&nbsp;&nbsp;3.93%, 05/07/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 775790 |
| &nbsp;&nbsp;&nbsp;5.50%, 08/09/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 576279 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| BPCE SA, 2.05%, 10/19/27<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;295 | &nbsp;&nbsp;&nbsp;&nbsp;$254274 |
| Citigroup, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;0.98%, 05/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1150 | &nbsp;&nbsp;&nbsp;&nbsp; 1076907 |
| &nbsp;&nbsp;&nbsp;3.11%, 04/08/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1360 | &nbsp;&nbsp;&nbsp;&nbsp; 1287352 |
| &nbsp;&nbsp;&nbsp;5.61%, 09/29/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 572438 |
| &nbsp;&nbsp;&nbsp;1.12%, 01/28/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87149 |
| &nbsp;&nbsp;&nbsp;1.46%, 06/09/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 503097 |
| Cooperatieve Rabobank UA, 1.34%, 06/24/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242765 |
| Danske Bank A/S |  |  |  |
| &nbsp;&nbsp;&nbsp;0.98%, 09/10/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547796 |
| &nbsp;&nbsp;&nbsp;1.62%, 09/11/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 510827 |
| Discover Bank, 2.45%, 09/12/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236473 |
| HSBC Holdings PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 03/10/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394748 |
| &nbsp;&nbsp;&nbsp;2.25%, 11/22/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749129 |
| &nbsp;&nbsp;&nbsp;7.39%, 11/03/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488692 |
| Huntington Bancshares, Inc., 4.44%, 08/04/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447685 |
| ING Groep NV |  |  |  |
| &nbsp;&nbsp;&nbsp;0.10%, 09/03/25<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100072 |
| &nbsp;&nbsp;&nbsp;1.73%, 04/01/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247094 |
| &nbsp;&nbsp;&nbsp;1.38%, 01/11/28<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187861 |
| JPMorgan Chase & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;0.70%, 03/16/24<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465057 |
| &nbsp;&nbsp;&nbsp;3.80%, 07/23/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 625720 |
| &nbsp;&nbsp;&nbsp;4.02%, 12/05/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1975 | &nbsp;&nbsp;&nbsp;&nbsp; 1945539 |
| &nbsp;&nbsp;&nbsp;2.30%, 10/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 885811 |
| &nbsp;&nbsp;&nbsp;2.60%, 02/24/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 958963 |
| &nbsp;&nbsp;&nbsp;2.08%, 04/22/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 762131 |
| &nbsp;&nbsp;&nbsp;1.05%, 11/19/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 705629 |
| &nbsp;&nbsp;&nbsp;4.85%, 07/25/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19496 |
| Mitsubishi UFJ Financial Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;1.41%, 07/17/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 876306 |
| &nbsp;&nbsp;&nbsp;4.79%, 07/18/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1420 | &nbsp;&nbsp;&nbsp;&nbsp; 1405846 |
| Mizuho Financial Group, Inc., 1.23%, 05/22/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173230 |
| NatWest Group PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;2.36%, 05/22/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635762 |
| &nbsp;&nbsp;&nbsp;1.64%, 06/14/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 990953 |
| NatWest Markets PLC, 1.60%, 09/29/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 370762 |
| PSA Banque France SA, 0.75%, 04/19/23<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 803504 |
| Royal Bank of Canada, 6.00%, 11/01/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 676544 |
| Standard Chartered PLC, 0.99%, 01/12/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504852 |
| Sumitomo Mitsui Financial Group, Inc., 0.95%, 01/12/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 726561 |
| Svenska Handelsbanken AB, 1.42%, 06/11/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481720 |
| U.S. Bancorp, 2.22%, 01/27/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 539316 |
| UniCredit SpA, 2.57%, 09/22/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504749 |
| Wells Fargo & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.91%, 04/25/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1385 | &nbsp;&nbsp;&nbsp;&nbsp; 1346092 |
| &nbsp;&nbsp;&nbsp;3.53%, 03/24/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1005 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930631 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37438014 |
| **Beverages — 0.1%** | **Beverages — 0.1%** | **Beverages — 0.1%** | **Beverages — 0.1%** |
| Asahi Group Holdings Ltd., 0.01%, 04/19/24<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536290 |
| **Biotechnology — 0.5%** | **Biotechnology — 0.5%** | **Biotechnology — 0.5%** | **Biotechnology — 0.5%** |
| AbbVie, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.60%, 11/21/24<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248731 |
| &nbsp;&nbsp;&nbsp;3.80%, 03/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682227 |
| &nbsp;&nbsp;&nbsp;2.95%, 11/21/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 534741 |
| &nbsp;&nbsp;&nbsp;0.75%, 11/18/27<br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164293 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
| Gilead Sciences, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.65%, 03/01/26<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;335 | &nbsp;&nbsp;&nbsp;&nbsp;$322962 |
| &nbsp;&nbsp;&nbsp;2.95%, 03/01/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 325595 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2278549 |
| **Capital Markets — 2.4%** | **Capital Markets — 2.4%** | **Capital Markets — 2.4%** | **Capital Markets — 2.4%** |
| Bank of New York Mellon, 5.22%, 11/21/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701839 |
| Bank of New York Mellon Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;4.41%, 07/24/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103399 |
| &nbsp;&nbsp;&nbsp;5.80%, 10/25/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41362 |
| Blackstone Private Credit Fund |  |  |  |
| &nbsp;&nbsp;&nbsp;3.25%, 03/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365411 |
| &nbsp;&nbsp;&nbsp;4.00%, 01/15/29<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251633 |
| Deutsche Bank AG |  |  |  |
| &nbsp;&nbsp;&nbsp;1.45%, 04/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320419 |
| &nbsp;&nbsp;&nbsp;2.55%, 01/07/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1330 | &nbsp;&nbsp;&nbsp;&nbsp; 1130559 |
| Goldman Sachs Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;0.66%, 09/10/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 596463 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/23/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434698 |
| &nbsp;&nbsp;&nbsp;3.27%, 09/29/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1410 | &nbsp;&nbsp;&nbsp;&nbsp; 1358716 |
| &nbsp;&nbsp;&nbsp;2.64%, 02/24/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365058 |
| &nbsp;&nbsp;&nbsp;Series VAR, 1.09%, 12/09/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440763 |
| Morgan Stanley |  |  |  |
| &nbsp;&nbsp;&nbsp;3.13%, 01/23/23<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169844 |
| &nbsp;&nbsp;&nbsp;0.53%, 01/25/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283088 |
| &nbsp;&nbsp;&nbsp;0.73%, 04/05/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68996 |
| &nbsp;&nbsp;&nbsp;0.79%, 01/22/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 | &nbsp;&nbsp;&nbsp;&nbsp; 1040654 |
| &nbsp;&nbsp;&nbsp;0.79%, 05/30/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 464847 |
| &nbsp;&nbsp;&nbsp;2.48%, 01/21/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253238 |
| &nbsp;&nbsp;&nbsp;6.30%, 10/18/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 825844 |
| UBS Group AG |  |  |  |
| &nbsp;&nbsp;&nbsp;1.01%, 07/30/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 627163 |
| &nbsp;&nbsp;&nbsp;1.25%, 09/01/26<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192981 |
| &nbsp;&nbsp;&nbsp;4.70%, 08/05/27<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193298 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10230273 |
| **Chemicals — 0.1%** | **Chemicals — 0.1%** | **Chemicals — 0.1%** | **Chemicals — 0.1%** |
| LYB International Finance III LLC, 1.25%, 10/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438024 |
| **Commercial Services & Supplies — 0.3%** | **Commercial Services & Supplies — 0.3%** | **Commercial Services & Supplies — 0.3%** | **Commercial Services & Supplies — 0.3%** |
| Aptiv PLC/Aptiv Corp., 2.40%, 02/18/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 603515 |
| Conti-Gummi Finance BV, 1.13%, 09/25/24<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405883 |
| Republic Services, Inc., 0.88%, 11/15/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326904 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1336302 |
| **Consumer Finance — 2.5%** | **Consumer Finance — 2.5%** | **Consumer Finance — 2.5%** | **Consumer Finance — 2.5%** |
| American Express Co., 2.55%, 03/04/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1105 | &nbsp;&nbsp;&nbsp;&nbsp; 1005222 |
| Capital One Financial Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.90%, 01/29/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394986 |
| &nbsp;&nbsp;&nbsp;3.20%, 02/05/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 384576 |
| &nbsp;&nbsp;&nbsp;2.64%, 03/03/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 955379 |
| &nbsp;&nbsp;&nbsp;4.93%, 05/10/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600226 |
| Ford Motor Credit Co. LLC, 5.58%, 03/18/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493425 |
| General Motors Financial Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.90%, 02/26/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568293 |
| &nbsp;&nbsp;&nbsp;6.05%, 10/10/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 915429 |
| &nbsp;&nbsp;&nbsp;2.35%, 02/26/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 296927 |
| &nbsp;&nbsp;&nbsp;2.70%, 08/20/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262245 |
| Hyundai Capital America, 1.65%, 09/17/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364735 |
| Synchrony Financial |  |  |  |
| &nbsp;&nbsp;&nbsp;4.38%, 03/19/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1150 | &nbsp;&nbsp;&nbsp;&nbsp; 1129296 |
| &nbsp;&nbsp;&nbsp;4.88%, 06/13/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23385 |
| &nbsp;&nbsp;&nbsp;4.50%, 07/23/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 557881 |
| Toyota Motor Credit Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;4.40%, 09/20/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 529953 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Consumer Finance (continued)** | **Consumer Finance (continued)** | **Consumer Finance (continued)** | **Consumer Finance (continued)** |
| Toyota Motor Credit Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;5.40%, 11/10/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;$812304 |
| Volkswagen Leasing GmbH |  |  |  |
| &nbsp;&nbsp;&nbsp;1.00%, 02/16/23<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 992954 |
| &nbsp;&nbsp;&nbsp;1.63%, 08/15/25<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125889 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10413105 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| Sonoco Products Co., 2.25%, 02/01/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288985 |
| **Diversified Financial Services — 0.6%** | **Diversified Financial Services — 0.6%** | **Diversified Financial Services — 0.6%** | **Diversified Financial Services — 0.6%** |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;2.88%, 08/14/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236696 |
| &nbsp;&nbsp;&nbsp;3.50%, 01/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428571 |
| &nbsp;&nbsp;&nbsp;2.45%, 10/29/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445965 |
| Aviation Capital Group LLC, 1.95%, 09/20/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 542183 |
| LSEGA Financing PLC, 1.38%, 04/06/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715043 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2368458 |
| **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** |
| AT&T Inc., 1.70%, 03/25/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 599296 |
| NTT Finance Corp., 4.37%, 07/27/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268597 |
| Verizon Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.88%, 02/08/29<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182962 |
| &nbsp;&nbsp;&nbsp;1.75%, 01/20/31<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376281 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1427136 |
| **Electric Utilities — 1.0%** | **Electric Utilities — 1.0%** | **Electric Utilities — 1.0%** | **Electric Utilities — 1.0%** |
| Duke Energy Corp., 5.00%, 12/08/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 608678 |
| Edison International, 4.70%, 08/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841471 |
| Enel Finance International NV, 1.13%, 09/16/26<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221455 |
| Eversource Energy, 2.90%, 03/01/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690523 |
| Exelon Corp., 2.75%, 03/15/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155904 |
| National Grid Electricity Transmission PLC, 0.19%, 01/20/25<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294719 |
| NextEra Energy Capital Holdings, Inc., 1.88%, 01/15/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 486781 |
| Pacific Gas & Electric Co., 3.45%, 07/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241397 |
| Texas Electric Market Stabilization Funding N LLC, Series A-1, 4.27%, 08/01/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 322718 |
| Virginia Electric and Power Co., Series B, 3.75%, 05/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338786 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4202432 |
| **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** |
| Schlumberger Finance Canada Ltd., 1.40%, 09/17/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329730 |
| **Equity Real Estate Investment Trusts (REITs) — 1.5%** | **Equity Real Estate Investment Trusts (REITs) — 1.5%** | **Equity Real Estate Investment Trusts (REITs) — 1.5%** | **Equity Real Estate Investment Trusts (REITs) — 1.5%** |
| American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 06/15/23<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81127 |
| &nbsp;&nbsp;&nbsp;2.40%, 03/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1405 | &nbsp;&nbsp;&nbsp;&nbsp; 1321786 |
| &nbsp;&nbsp;&nbsp;0.45%, 01/15/27<br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357688 |
| &nbsp;&nbsp;&nbsp;3.65%, 03/15/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289534 |
| &nbsp;&nbsp;&nbsp;0.50%, 01/15/28<br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87845 |
| Cibanco SA Ibm/PLA Administradora Industrial S de RL de CV, 4.96%, 07/18/29<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182038 |
| Crown Castle, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;3.70%, 06/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475418 |
| &nbsp;&nbsp;&nbsp;1.05%, 07/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 708483 |
| Digital Euro Finco LLC, 2.63%, 04/15/24<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 534567 |
| Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;1.25%, 07/15/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 949425 |
| &nbsp;&nbsp;&nbsp;1.80%, 07/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 513568 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** | **Equity Real Estate Investment Trusts (REITs) (continued)** |
| Healthpeak Properties, Inc., 1.35%, 02/01/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 | &nbsp;&nbsp;&nbsp;&nbsp;$190437 |
| VICI Properties LP, 4.38%, 05/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 707974 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6399890 |
| **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** |
| 7-Eleven, Inc., 0.95%, 02/10/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109474 |
| CVS Health Corp., 4.30%, 03/25/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 677070 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;786544 |
| **Food Products — 0.1%** | **Food Products — 0.1%** | **Food Products — 0.1%** | **Food Products — 0.1%** |
| General Mills, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;5.24%, 11/18/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155386 |
| &nbsp;&nbsp;&nbsp;0.45%, 01/15/26<br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375156 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;530542 |
| **Health Care Equipment & Supplies — 0.4%** | **Health Care Equipment & Supplies — 0.4%** | **Health Care Equipment & Supplies — 0.4%** | **Health Care Equipment & Supplies — 0.4%** |
| GE HealthCare Technologies, Inc., 5.60%, 11/15/25<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1050 | &nbsp;&nbsp;&nbsp;&nbsp; 1056469 |
| Thermo Fisher Scientific, Inc., 4.80%, 11/21/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 591915 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1648384 |
| **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** |
| Becton Dickinson Euro Finance Sarl |  |  |  |
| &nbsp;&nbsp;&nbsp;0.63%, 06/04/23<br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 706062 |
| &nbsp;&nbsp;&nbsp;1.21%, 06/04/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98024 |
| Elevance Health, Inc., 5.35%, 10/15/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869519 |
| Fresenius Finance Ireland PLC, 0.00%, 10/01/25<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295892 |
| HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;5.25%, 04/15/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397669 |
| &nbsp;&nbsp;&nbsp;3.13%, 03/15/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277300 |
| PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102172 |
| UnitedHealth Group, Inc., 5.15%, 10/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232623 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2979261 |
| **Household Durables — 0.1%** | **Household Durables — 0.1%** | **Household Durables — 0.1%** | **Household Durables — 0.1%** |
| DR Horton, Inc., 1.30%, 10/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210690 |
| **Industrial Conglomerates — 0.5%** | **Industrial Conglomerates — 0.5%** | **Industrial Conglomerates — 0.5%** | **Industrial Conglomerates — 0.5%** |
| CRH Finance DAC, 3.13%, 04/03/23<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 739015 |
| General Electric Co., 1.88%, 05/28/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172844 |
| Holcim Finance Luxembourg SA, 0.13%, 07/19/27<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258025 |
| John Deere Capital Corp., 4.05%, 09/08/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 556067 |
| Roper Technologies, Inc., 1.00%, 09/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416623 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2142574 |
| **Insurance — 0.6%** | **Insurance — 0.6%** | **Insurance — 0.6%** | **Insurance — 0.6%** |
| Aon Corp./Aon Global Holdings PLC, 2.85%, 05/28/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289344 |
| MassMutual Global Funding II, 2.80%, 03/21/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 791034 |
| Met Tower Global Funding, 3.70%, 06/13/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 775689 |
| Metropolitan Life Global Funding I, 2.80%, 03/21/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 762184 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2618251 |
| **Interactive Media & Services — 0.2%** | **Interactive Media & Services — 0.2%** | **Interactive Media & Services — 0.2%** | **Interactive Media & Services — 0.2%** |
| Meta Platforms, Inc., 3.50%, 08/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 927340 |
| **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** |
| Amazon.com, Inc., 4.60%, 12/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1095 | &nbsp;&nbsp;&nbsp;&nbsp; 1092304 |
| Booking Holdings, Inc., 1.80%, 03/03/27<br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197321 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1289625 |
| **IT Services — 0.5%** | **IT Services — 0.5%** | **IT Services — 0.5%** | **IT Services — 0.5%** |
| Global Payments, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;1.20%, 03/01/26<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 697326 |
| &nbsp;&nbsp;&nbsp;2.15%, 01/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1615 | &nbsp;&nbsp;&nbsp;&nbsp; 1408847 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2106173 |
| **Media — 0.6%** | **Media — 0.6%** | **Media — 0.6%** | **Media — 0.6%** |
| Comcast Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;5.25%, 11/07/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253276 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Media (continued)** | **Media (continued)** | **Media (continued)** | **Media (continued)** |
| Comcast Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.35%, 01/15/27<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1303 | &nbsp;&nbsp;&nbsp;$1183902 |
| &nbsp;&nbsp;&nbsp;4.15%, 10/15/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 709621 |
| Publicis Groupe SA, 1.63%, 12/16/24<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309795 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2456594 |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| Nucor Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 06/01/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83757 |
| &nbsp;&nbsp;&nbsp;4.30%, 05/23/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 512150 |
| Steel Dynamics, Inc., 2.40%, 06/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23442 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;619349 |
| **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** |
| Alliant Energy Finance LLC, 3.75%, 06/15/23<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243302 |
| ONE Gas, Inc., 1.10%, 03/11/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1282 | &nbsp;&nbsp;&nbsp;&nbsp; 1229264 |
| Redexis Gas Finance BV, 1.88%, 05/28/25<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303323 |
| Sempra Energy, 3.30%, 04/01/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306864 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2082753 |
| **Oil, Gas & Consumable Fuels — 1.2%** | **Oil, Gas & Consumable Fuels — 1.2%** | **Oil, Gas & Consumable Fuels — 1.2%** | **Oil, Gas & Consumable Fuels — 1.2%** |
| BP Capital Markets PLC, 1.95%, 03/03/25<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 372129 |
| Enbridge, Inc., 2.50%, 02/14/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 632064 |
| Energy Transfer LP |  |  |  |
| &nbsp;&nbsp;&nbsp;3.60%, 02/01/23<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149712 |
| &nbsp;&nbsp;&nbsp;4.50%, 04/15/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492882 |
| &nbsp;&nbsp;&nbsp;2.90%, 05/15/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 856988 |
| Kinder Morgan, Inc., 4.30%, 06/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 784548 |
| Marathon Petroleum Corp., 4.70%, 05/01/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231407 |
| MPLX LP, 1.75%, 03/01/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 583847 |
| Pioneer Natural Resources Co., 1.13%, 01/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276305 |
| Sabine Pass Liquefaction LLC, 5.75%, 05/15/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500121 |
| TotalEnergies Capital International SA, 0.75%, 07/12/28<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184858 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5064861 |
| **Paper & Forest Products — 0.2%** | **Paper & Forest Products — 0.2%** | **Paper & Forest Products — 0.2%** | **Paper & Forest Products — 0.2%** |
| Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186163 |
| Fibria Overseas Finance Ltd., 5.50%, 01/17/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26029 |
| Inversiones CMPC SA, 4.38%, 04/04/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193100 |
| Suzano Austria GmbH |  |  |  |
| &nbsp;&nbsp;&nbsp;5.75%, 07/14/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200538 |
| &nbsp;&nbsp;&nbsp;3.75%, 01/15/31<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24211 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;630041 |
| **Pharmaceuticals — 0.0%** | **Pharmaceuticals — 0.0%** | **Pharmaceuticals — 0.0%** | **Pharmaceuticals — 0.0%** |
| Bayer AG, 0.75%, 01/06/27<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189217 |
| **Road & Rail — 0.6%** | **Road & Rail — 0.6%** | **Road & Rail — 0.6%** | **Road & Rail — 0.6%** |
| Canadian Pacific Railway Co., 1.75%, 12/02/26<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218329 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.70%, 03/14/23<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502311 |
| &nbsp;&nbsp;&nbsp;1.20%, 11/15/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 994271 |
| Ryder System, Inc., 2.85%, 03/01/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334000 |
| SMBC Aviation Capital Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;1.90%, 10/15/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 485180 |
| &nbsp;&nbsp;&nbsp;2.30%, 06/15/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163998 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2698089 |
| **Semiconductors & Semiconductor Equipment — 1.5%** | **Semiconductors & Semiconductor Equipment — 1.5%** | **Semiconductors & Semiconductor Equipment — 1.5%** | **Semiconductors & Semiconductor Equipment — 1.5%** |
| Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1135068 |
| Broadcom, Inc., 3.63%, 10/15/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1515 | &nbsp;&nbsp;&nbsp;&nbsp; 1475058 |
| Intel Corp., 3.75%, 08/05/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307418 |
| NXP BV/NXP Funding LLC, 4.88%, 03/01/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1800 | &nbsp;&nbsp;&nbsp;&nbsp; 1784025 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** | **Semiconductors & Semiconductor Equipment (continued)** |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1465 | &nbsp;&nbsp;&nbsp;$1376001 |
| Texas Instruments, Inc., 4.60%, 02/15/28<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159782 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6237352 |
| **Software — 0.7%** | **Software — 0.7%** | **Software — 0.7%** | **Software — 0.7%** |
| Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;5.80%, 11/10/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316939 |
| &nbsp;&nbsp;&nbsp;1.65%, 03/25/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 563990 |
| &nbsp;&nbsp;&nbsp;2.65%, 07/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39522 |
| &nbsp;&nbsp;&nbsp;3.25%, 11/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 537302 |
| VMware, Inc., 1.40%, 08/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1610 | &nbsp;&nbsp;&nbsp;&nbsp; 1403544 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2861297 |
| **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** |
| Dell International LLC/EMC Corp., 4.00%, 07/15/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285005 |
| **Tobacco — 0.7%** | **Tobacco — 0.7%** | **Tobacco — 0.7%** | **Tobacco — 0.7%** |
| Altria Group, Inc., 2.35%, 05/06/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244897 |
| BAT Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.79%, 09/06/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 669820 |
| &nbsp;&nbsp;&nbsp;3.56%, 08/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1555 | &nbsp;&nbsp;&nbsp;&nbsp; 1420589 |
| Louis Dreyfus Co. Finance BV, 2.38%, 11/27/25<sup>(c)</sup><br>| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310628 |
| Philip Morris International, Inc., 0.13%, 08/03/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 298756 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2944690 |
| **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** |
| Air Lease Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;2.30%, 02/01/25<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223447 |
| &nbsp;&nbsp;&nbsp;1.88%, 08/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247533 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470980 |
| **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.74%, 03/20/25<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222347 |
| T-Mobile U.S.A., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;1.50%, 02/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200576 |
| &nbsp;&nbsp;&nbsp;2.25%, 02/15/26<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51850 |
| &nbsp;&nbsp;&nbsp;3.75%, 04/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 847703 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1322476 |
| **Total Corporate Bonds — 30.2%<br>(Cost: $133,244,789)<br>** | **Total Corporate Bonds — 30.2%<br>(Cost: $133,244,789)<br>** | **Total Corporate Bonds — 30.2%<br>(Cost: $133,244,789)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;126973219 |
| **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** |
| **Canada — 0.3%** | **Canada — 0.3%** | **Canada — 0.3%** | **Canada — 0.3%** |
| CPPIB Capital, Inc., 0.50%, 09/16/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1480 | &nbsp;&nbsp;&nbsp;&nbsp; 1375771 |
| **Panama — 0.0%** | **Panama — 0.0%** | **Panama — 0.0%** | **Panama — 0.0%** |
| Banco Nacional de Panama, 2.50%, 08/11/30<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159663 |
| **Peru — 0.1%** | **Peru — 0.1%** | **Peru — 0.1%** | **Peru — 0.1%** |
| Consorcio Transmantaro SA, 4.70%, 04/16/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181725 |
| **Qatar — 0.0%** | **Qatar — 0.0%** | **Qatar — 0.0%** | **Qatar — 0.0%** |
| QatarEnergy Trading LLC, 2.25%, 07/12/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165037 |
| **Saudi Arabia — 0.1%** | **Saudi Arabia — 0.1%** | **Saudi Arabia — 0.1%** | **Saudi Arabia — 0.1%** |
| SABIC Capital I BV, 2.15%, 09/14/30<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194561 |
| Saudi Arabian Oil Co., 2.88%, 04/16/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213028 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;407589 |
| **Total Foreign Agency Obligations — 0.5%<br>(Cost: $2,514,601)<br>** | **Total Foreign Agency Obligations — 0.5%<br>(Cost: $2,514,601)<br>** | **Total Foreign Agency Obligations — 0.5%<br>(Cost: $2,514,601)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2289785 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** |
| **Chile — 0.0%** | **Chile — 0.0%** | **Chile — 0.0%** | **Chile — 0.0%** |
| Republic of Chile, 3.24%, 02/06/28<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210 | &nbsp;&nbsp;&nbsp;&nbsp;$194552 |
| **Indonesia — 0.1%** | **Indonesia — 0.1%** | **Indonesia — 0.1%** | **Indonesia — 0.1%** |
| Republic of Indonesia, 3.55%, 03/31/32<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245962 |
| **Peru — 0.0%** | **Peru — 0.0%** | **Peru — 0.0%** | **Peru — 0.0%** |
| Republic of Peru |  |  |  |
| &nbsp;&nbsp;&nbsp;4.13%, 08/25/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41208 |
| &nbsp;&nbsp;&nbsp;2.78%, 01/23/31<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77715 |
| &nbsp;&nbsp;&nbsp;1.86%, 12/01/32<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32844 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;151767 |
| **Qatar — 0.1%** | **Qatar — 0.1%** | **Qatar — 0.1%** | **Qatar — 0.1%** |
| State of Qatar, 3.75%, 04/16/30<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242184 |
| **Romania — 0.0%** | **Romania — 0.0%** | **Romania — 0.0%** | **Romania — 0.0%** |
| Republic of Romania, 3.63%, 03/27/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68198 |
| **Uruguay — 0.0%** | **Uruguay — 0.0%** | **Uruguay — 0.0%** | **Uruguay — 0.0%** |
| Republic of Uruguay |  |  |  |
| &nbsp;&nbsp;&nbsp;4.38%, 10/27/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40320 |
| &nbsp;&nbsp;&nbsp;4.38%, 01/23/31<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62759 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;103079 |
| **Total Foreign Government Obligations — 0.2%<br>(Cost: $1,129,156)<br>** | **Total Foreign Government Obligations — 0.2%<br>(Cost: $1,129,156)<br>** | **Total Foreign Government Obligations — 0.2%<br>(Cost: $1,129,156)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1005742 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 1.7%** | **Collateralized Mortgage Obligations — 1.7%** | **Collateralized Mortgage Obligations — 1.7%** | **Collateralized Mortgage Obligations — 1.7%** |
| Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2, Class A1A, 2.53%, 01/26/65<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140770 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A1, 2.88%, 12/25/66<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238541 |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 290101 |
| Arroyo Mortgage Trust, Series 2022-2, Class A1, 4.95%, 07/25/57<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;288 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280022 |
| Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A3, 3.50%, 07/25/49<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145638 |
| COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 02/25/67<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126986 |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A, 3.76%, 05/20/34<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24882 |
| Credit Suisse Mortgage Capital Trust, Series 2022-ATH1, Class A1A, 2.87%, 01/25/67<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288430 |
| Flagstar Mortgage Trust, Series 2020-1INV, Class A11, (1 mo. LIBOR US + 0.85%), 4.87%, 03/25/50<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 424855 |
| GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237931 |
| GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%, 06/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;549 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440900 |
| Homeward Opportunities Fund I Trust, Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190554 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-2, Class 1A1, 3.00%, 06/25/29<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276009 |
| &nbsp;&nbsp;&nbsp;Series 2016-2, Class A1, 4.85%, 06/25/46<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81861 |
| &nbsp;&nbsp;&nbsp;Series 2022-INV3, Class A3B, 3.00%, 09/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 328237 |
| Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376383 |
| MFA Trust, Series 2021-INV2, Class A1, 1.91%, 11/25/56<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256058 |
| New Residential Mortgage Loan Trust, Series 2020-1A, Class A1B, 3.50%, 10/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345178 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| OBX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-EXP3, Class 2A1B, (1 mo. LIBOR US + 0.90%), 5.29%, 01/25/60<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;$969667 |
| &nbsp;&nbsp;&nbsp;Series 2022-INV3, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170486 |
| PRKCM Trust, Series 2021-AFC2, Class A1, 2.07%, 11/25/56<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293645 |
| RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393080 |
| SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158958 |
| Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190221 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A1, 2.72%, 01/25/67<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142257 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class A1, 4.13%, 02/25/67<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 384848 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7196498 |
| **Commercial Mortgage-Backed Securities — 14.3%** | **Commercial Mortgage-Backed Securities — 14.3%** | **Commercial Mortgage-Backed Securities — 14.3%** | **Commercial Mortgage-Backed Securities — 14.3%** |
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 5.12%, 09/15/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 584874 |
| Alen Mortgage Trust, Series 2021-ACEN, Class A, (1 mo. LIBOR US + 1.15%), 5.47%, 04/15/34<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 385494 |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-BN10, Class ASB, 3.64%, 02/15/61<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1375 | &nbsp;&nbsp;&nbsp;&nbsp; 1318270 |
| &nbsp;&nbsp;&nbsp;Series 2019-BN18, Class A2, 3.47%, 05/15/62<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1206808 |
| &nbsp;&nbsp;&nbsp;Series 2022-BNK42, Class A5, 4.49%, 06/15/55<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334433 |
| Barclays Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-C3, Class B, 4.10%, 05/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341241 |
| &nbsp;&nbsp;&nbsp;Series 2019-C5, Class ASB, 2.99%, 11/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229462 |
| Beast Mortgage Trust, Series 2021-SSCP, Class A, (1 mo. LIBOR US + 0.75%), 5.07%, 04/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957967 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-B1, Class ASB, 3.60%, 01/15/51<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2393707 |
| &nbsp;&nbsp;&nbsp;Series 2018-B2, Class ASB, 3.78%, 02/15/51<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;&nbsp; 1682578 |
| &nbsp;&nbsp;&nbsp;Series 2018-B5, Class C, 4.61%, 07/15/51<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418503 |
| &nbsp;&nbsp;&nbsp;Series 2022-B34, Class AM, 3.83%, 04/15/55<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227156 |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-XL, Class A, (1 mo. CME Term SOFR + 1.03%), 5.37%, 10/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 587270 |
| &nbsp;&nbsp;&nbsp;Series 2022-LP2, Class A, (1 mo. CME Term SOFR + 1.01%), 5.35%, 02/15/39<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268363 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-BILT, Class D, (1 mo. LIBOR US + 1.77%), 6.09%, 05/15/30<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 255743 |
| &nbsp;&nbsp;&nbsp;Series 2021-ARIA, Class A, (1 mo. LIBOR US + 0.90%), 5.22%, 10/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 756118 |
| &nbsp;&nbsp;&nbsp;Series 2022-IND, Class A, (1 mo. CME Term SOFR + 1.49%), 5.82%, 04/15/37<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 822334 |
| CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-CD2, Class A4, 3.53%, 11/10/49<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483347 |
| &nbsp;&nbsp;&nbsp;Series 2017-CD5, Class A4, 3.43%, 08/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 482291 |
| CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 750486 |
| CGMS Commercial Mortgage Trust, Series 2017-B1, Class AAB, 3.24%, 08/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1142 | &nbsp;&nbsp;&nbsp;&nbsp; 1085276 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-GC21, Class A5, 3.86%, 05/10/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740829 |
| &nbsp;&nbsp;&nbsp;Series 2015-GC27, Class A5, 3.14%, 02/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1395 | &nbsp;&nbsp;&nbsp;&nbsp; 1326008 |
| &nbsp;&nbsp;&nbsp;Series 2015-GC33, Class A4, 3.78%, 09/10/58<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1060 | &nbsp;&nbsp;&nbsp;&nbsp; 1008770 |
| &nbsp;&nbsp;&nbsp;Series 2016-C2, Class AAB, 2.71%, 08/10/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1396 | &nbsp;&nbsp;&nbsp;&nbsp; 1336674 |
| &nbsp;&nbsp;&nbsp;Series 2016-P4, Class AAB, 2.78%, 07/10/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 981416 |
| &nbsp;&nbsp;&nbsp;Series 2018-B2, Class A4, 4.01%, 03/10/51<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500964 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-CR10, Class A4, 4.21%, 08/10/46<sup>(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;$1738134 |
| &nbsp;&nbsp;&nbsp;Series 2013-CR8, Class B, 3.90%, 06/10/46<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294607 |
| &nbsp;&nbsp;&nbsp;Series 2013-SFS, Class A1, 1.87%, 04/12/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18467 |
| &nbsp;&nbsp;&nbsp;Series 2014-CR14, Class ASB, 3.74%, 02/10/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184269 |
| &nbsp;&nbsp;&nbsp;Series 2014-CR16, Class A4, 4.05%, 04/10/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 974591 |
| &nbsp;&nbsp;&nbsp;Series 2014-LC15, Class A4, 4.01%, 04/10/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1221724 |
| &nbsp;&nbsp;&nbsp;Series 2014-UBS2, Class A5, 3.96%, 03/10/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 977307 |
| &nbsp;&nbsp;&nbsp;Series 2014-UBS6, Class ASB, 3.39%, 12/10/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 413778 |
| &nbsp;&nbsp;&nbsp;Series 2015-CR23, Class A4, 3.50%, 05/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1425208 |
| &nbsp;&nbsp;&nbsp;Series 2015-CR24, Class B, 4.34%, 08/10/48<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462130 |
| &nbsp;&nbsp;&nbsp;Series 2015-LC19, Class A4, 3.18%, 02/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1524220 |
| &nbsp;&nbsp;&nbsp;Series 2015-LC23, Class A4, 3.77%, 10/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 523199 |
| Credit Suisse Mortgage Capital Trust, Series 2021-980M, Class C, 3.20%, 07/15/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138655 |
| Credit Suisse Mortgage Trust, Series 2022-NWPT, Class A, (1 mo. CME Term SOFR + 3.14%), 7.48%, 09/09/24<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274596 |
| CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 854394 |
| ELP Commercial Mortgage Trust, Series 2021-ELP, Class A, (1 mo. LIBOR US + 0.70%), 5.02%, 11/15/38<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278358 |
| FREMF Mortgage Trust, Series 2015-K45, Class B, 3.61%, 04/25/48<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276774 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-GC13, Class A5, 4.05%, 07/10/46<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 620037 |
| &nbsp;&nbsp;&nbsp;Series 2013-GC16, Class AAB, 3.81%, 11/10/46<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338427 |
| &nbsp;&nbsp;&nbsp;Series 2015-GC30, Class AAB, 3.12%, 05/10/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457987 |
| &nbsp;&nbsp;&nbsp;Series 2015-GC34, Class A4, 3.51%, 10/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1181052 |
| &nbsp;&nbsp;&nbsp;Series 2015-GC34, Class AAB, 3.28%, 10/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1129 | &nbsp;&nbsp;&nbsp;&nbsp; 1088610 |
| &nbsp;&nbsp;&nbsp;Series 2021-STAR, Class A, (1 mo. LIBOR US + 0.95%), 5.27%, 12/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 556612 |
| &nbsp;&nbsp;&nbsp;Series 2022-ECI, Class A, (1 mo. CME Term SOFR + 2.19%), 6.53%, 08/15/39<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 751318 |
| &nbsp;&nbsp;&nbsp;Series 2022-SHIP, Class A, (1 mo. CME Term SOFR + 0.73%), 5.07%, 08/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640902 |
| Hawaii Hotel Trust, Series 2019-MAUI, Class A, (1 mo. LIBOR US + 1.15%), 5.47%, 05/15/38<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536061 |
| ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1 mo. CME Term SOFR + 2.25%), 6.58%, 10/15/39<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 499844 |
| Independence Plaza Trust, Series 2018-INDP, Class A, 3.76%, 07/10/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 505843 |
| JPMBB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-C21, Class A5, 3.78%, 08/15/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 485260 |
| &nbsp;&nbsp;&nbsp;Series 2014-C25, Class A4A1, 3.41%, 11/15/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364414 |
| &nbsp;&nbsp;&nbsp;Series 2015-C28, Class ASB, 3.04%, 10/15/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662981 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-JP6, Class A3, 3.11%, 07/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398922 |
| &nbsp;&nbsp;&nbsp;Series 2019-BKWD, Class A, (1 mo. LIBOR US + 1.25%), 5.57%, 09/15/29<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 201017 |
| &nbsp;&nbsp;&nbsp;Series 2019-MFP, Class A, (1 mo. LIBOR US + 0.96%), 5.28%, 07/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 325191 |
| &nbsp;&nbsp;&nbsp;Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 5.12%, 04/15/38<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137997 |
| &nbsp;&nbsp;&nbsp;Series 2022-NXSS, Class A, (1 mo. CME Term SOFR + 2.18%), 6.52%, 08/15/39<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179547 |
| &nbsp;&nbsp;&nbsp;Series 2022-OPO, Class B, 3.38%, 01/05/39<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121848 |
| &nbsp;&nbsp;&nbsp;Series 2022-OPO, Class D, 3.45%, 01/05/39<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71882 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 5.02%, 03/15/38<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;531 | &nbsp;&nbsp;&nbsp;&nbsp;$513985 |
| MHC Commercial Mortgage Trust, Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 5.12%, 04/15/38<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130925 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-C10, Class A4, 4.07%, 07/15/46<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1984177 |
| &nbsp;&nbsp;&nbsp;Series 2014-C15, Class A4, 4.05%, 04/15/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1850 | &nbsp;&nbsp;&nbsp;&nbsp; 1812546 |
| &nbsp;&nbsp;&nbsp;Series 2015-C25, Class A4, 3.37%, 10/15/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312409 |
| &nbsp;&nbsp;&nbsp;Series 2016-C30, Class ASB, 2.73%, 09/15/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181556 |
| &nbsp;&nbsp;&nbsp;Series 2016-C31, Class A5, 3.10%, 11/15/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1525 | &nbsp;&nbsp;&nbsp;&nbsp; 1398312 |
| MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 5.73%, 03/15/39<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682197 |
| One New York Plaza Trust, Series 2020-1NYP, Class A, (1 mo. LIBOR US + 0.95%), 5.27%, 01/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547169 |
| Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1290 | &nbsp;&nbsp;&nbsp;&nbsp; 1224099 |
| SREIT Trust, Series 2021-MFP2, Class A, (1 mo. LIBOR US + 0.82%), 5.14%, 11/15/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 380140 |
| Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. CME Term SOFR + 2.19%), 6.52%, 05/15/37<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262167 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-LC18, Class ASB, 3.24%, 12/15/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749090 |
| &nbsp;&nbsp;&nbsp;Series 2015-C26, Class B, 3.78%, 02/15/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475687 |
| &nbsp;&nbsp;&nbsp;Series 2015-C27, Class A5, 3.45%, 02/15/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 470967 |
| &nbsp;&nbsp;&nbsp;Series 2015-C29, Class A4, 3.64%, 06/15/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1904149 |
| &nbsp;&nbsp;&nbsp;Series 2016-LC24, Class A3, 2.68%, 10/15/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767430 |
| &nbsp;&nbsp;&nbsp;Series 2017-C39, Class A5, 3.42%, 09/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1698 | &nbsp;&nbsp;&nbsp;&nbsp; 1562479 |
| &nbsp;&nbsp;&nbsp;Series 2021-C60, Class ASB, 2.13%, 08/15/54<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700820 |
| WFRBS Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-C13, Class A4, 3.00%, 05/15/45<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172786 |
| &nbsp;&nbsp;&nbsp;Series 2014-LC14, Class A5, 4.05%, 03/15/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 707301 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60112936 |
| **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%** |
| Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.71%, 09/15/48<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68657 |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-CR23, Class XA, 0.86%, 05/10/48<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28964 |
| &nbsp;&nbsp;&nbsp;Series 2015-LC21, Class XA, 0.66%, 07/10/48<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57719 |
| CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.86%, 01/15/49<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28587 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;183927 |
| **Mortgage-Backed Securities — 1.0%** | **Mortgage-Backed Securities — 1.0%** | **Mortgage-Backed Securities — 1.0%** | **Mortgage-Backed Securities — 1.0%** |
| Fannie Mae, Series 2022-65, Class FB, (SOFR30A + 0.80%), 4.73%, 09/25/52<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4057 | &nbsp;&nbsp;&nbsp;&nbsp; 3981822 |
| **Total Non-Agency Mortgage-Backed Securities — 17.0%<br>(Cost: $77,520,914)<br>** | **Total Non-Agency Mortgage-Backed Securities — 17.0%<br>(Cost: $77,520,914)<br>** | **Total Non-Agency Mortgage-Backed Securities — 17.0%<br>(Cost: $77,520,914)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71475183 |
| **Preferred Securities** | **Preferred Securities** | **Preferred Securities** | **Preferred Securities** |
| **Capital Trusts — 0.4%** | **Capital Trusts — 0.4%** | **Capital Trusts — 0.4%** | **Capital Trusts — 0.4%** |
| **Electric Utilities — 0.4%** | **Electric Utilities — 0.4%** | **Electric Utilities — 0.4%** | **Electric Utilities — 0.4%** |
| Southern Co., 4.48%<sup>(d)(e)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1490 | &nbsp;&nbsp;&nbsp;&nbsp; 1471331 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Collateralized Mortgage Obligations — 1.5%** | **Collateralized Mortgage Obligations — 1.5%** | **Collateralized Mortgage Obligations — 1.5%** | **Collateralized Mortgage Obligations — 1.5%** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-21, Class CA, 3.50%, 04/25/45<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145815 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-73, Class P, 3.00%, 03/25/48<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;592 | &nbsp;&nbsp;&nbsp;&nbsp;$552105 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 3959, Class MA, 4.50%, 11/15/41<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64505 |
| &nbsp;&nbsp;&nbsp;Series 3986, Class M, 4.50%, 09/15/41<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23055 |
| &nbsp;&nbsp;&nbsp;Series 4274, Class PN, 3.50%, 10/15/35<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92310 |
| &nbsp;&nbsp;&nbsp;Series 4390, Class CA, 3.50%, 06/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73274 |
| &nbsp;&nbsp;&nbsp;Series 4459, Class BN, 3.00%, 08/15/43<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272084 |
| &nbsp;&nbsp;&nbsp;Series 4482, Class DH, 3.00%, 06/15/42<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54370 |
| &nbsp;&nbsp;&nbsp;Series 4494, Class KA, 3.75%, 10/15/42<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115903 |
| &nbsp;&nbsp;&nbsp;Series 4752, Class PL, 3.00%, 09/15/46<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354484 |
| &nbsp;&nbsp;&nbsp;Series 4777, Class CB, 3.50%, 10/15/45<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331184 |
| &nbsp;&nbsp;&nbsp;Series 4941, Class MB, 3.00%, 07/25/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274683 |
| &nbsp;&nbsp;&nbsp;Series 5000, Class MA, 2.00%, 06/25/44<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230093 |
| &nbsp;&nbsp;&nbsp;Series 5006, Class KA, 2.00%, 06/25/45<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 641254 |
| &nbsp;&nbsp;&nbsp;Series 5105, Class LA, 1.50%, 04/15/44<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2627 | &nbsp;&nbsp;&nbsp;&nbsp; 2463878 |
| Ginnie Mae, Series 2017-136, Class GB, 3.00%, 03/20/47<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422314 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6111311 |
| **Commercial Mortgage-Backed Securities — 0.3%** | **Commercial Mortgage-Backed Securities — 0.3%** | **Commercial Mortgage-Backed Securities — 0.3%** | **Commercial Mortgage-Backed Securities — 0.3%** |
| Fannie Mae, Series 2014-M9, Class A2, 3.10%, 07/25/24<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1370 | &nbsp;&nbsp;&nbsp;&nbsp; 1326517 |
| **Mortgage-Backed Securities — 12.8%** | **Mortgage-Backed Securities — 12.8%** | **Mortgage-Backed Securities — 12.8%** | **Mortgage-Backed Securities — 12.8%** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;0.54%, 10/27/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4030084 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/01/27 - 04/01/32<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1156 | &nbsp;&nbsp;&nbsp;&nbsp; 1082400 |
| &nbsp;&nbsp;&nbsp;3.00%, 09/01/30 - 09/01/35<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2579 | &nbsp;&nbsp;&nbsp;&nbsp; 2442830 |
| &nbsp;&nbsp;&nbsp;4.00%, 03/01/32 - 08/01/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;12477 | &nbsp;&nbsp;&nbsp;&nbsp; 12030586 |
| &nbsp;&nbsp;&nbsp;4.50%, 09/01/26 - 01/01/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6487 | &nbsp;&nbsp;&nbsp;&nbsp; 6430104 |
| &nbsp;&nbsp;&nbsp;5.00%, 07/01/25 - 06/01/39<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3103 | &nbsp;&nbsp;&nbsp;&nbsp; 3140705 |
| &nbsp;&nbsp;&nbsp;(12 mo. LIBOR US + 1.59%), 2.98%, 06/01/45<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148196 |
| &nbsp;&nbsp;&nbsp;(12 mo. LIBOR US + 1.59%), 5.47%, 10/01/45<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76877 |
| &nbsp;&nbsp;&nbsp;(12 mo. LIBOR US + 1.60%), 3.24%, 07/01/44<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137122 |
| &nbsp;&nbsp;&nbsp;(12 mo. LIBOR US + 1.71%), 3.37%, 07/01/43<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287178 |
| Freddie Mac Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;0.60%, 09/30/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2699848 |
| &nbsp;&nbsp;&nbsp;0.90%, 10/13/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1724242 |
| &nbsp;&nbsp;&nbsp;2.50%, 11/01/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190965 |
| &nbsp;&nbsp;&nbsp;3.00%, 02/01/36<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350265 |
| &nbsp;&nbsp;&nbsp;4.00%, 09/01/33 - 06/01/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1551 | &nbsp;&nbsp;&nbsp;&nbsp; 1512423 |
| &nbsp;&nbsp;&nbsp;4.50%, 03/01/49 - 01/01/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3207 | &nbsp;&nbsp;&nbsp;&nbsp; 3185971 |
| &nbsp;&nbsp;&nbsp;(12 mo. LIBOR US + 1.62%), 2.44%, 03/01/45<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212255 |
| &nbsp;&nbsp;&nbsp;(12 mo. LIBOR US + 1.62%), 3.22%, 05/01/45<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417062 |
| Uniform Mortgage-Backed Securities, 4.50%, 01/01/53<sup>(f)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;14100 | &nbsp;&nbsp;&nbsp;&nbsp; 13567779 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53666892 |
| **Total U.S. Government Sponsored Agency Securities — 14.6%<br>(Cost: $64,602,636)<br>** | **Total U.S. Government Sponsored Agency Securities — 14.6%<br>(Cost: $64,602,636)<br>** | **Total U.S. Government Sponsored Agency Securities — 14.6%<br>(Cost: $64,602,636)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61104720 |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Notes, 1.50%, 02/29/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12530781 |
| **Total U.S. Treasury Obligations — 3.0%<br>(Cost: $12,548,219)<br>** | **Total U.S. Treasury Obligations — 3.0%<br>(Cost: $12,548,219)<br>** | **Total U.S. Treasury Obligations — 3.0%<br>(Cost: $12,548,219)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12530781 |
| **Total Long-Term Investments — 92.9%<br>(Cost: $410,432,720)<br>** | **Total Long-Term Investments — 92.9%<br>(Cost: $410,432,720)<br>** | **Total Long-Term Investments — 92.9%<br>(Cost: $410,432,720)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;390011865 |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Commercial Paper — 0.3%** | **Commercial Paper — 0.3%** | **Commercial Paper — 0.3%** | **Commercial Paper — 0.3%** |
| HSBC U.S.A., Inc., 4.01%, 06/14/23<sup>(g)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1460 | &nbsp;&nbsp;&nbsp;&nbsp; 1426258 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series S Portfolio

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

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Money Market Funds — 2.2%** | **Money Market Funds — 2.2%** | **Money Market Funds — 2.2%** |
| Dreyfus Treasury Securities Cash Management, Institutional Class, 3.90%<sup>(h)</sup><br>| 9226046 | &nbsp;&nbsp;&nbsp;$9226046 |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par<br> (000)* |  |
| **U.S. Treasury Obligations<sup>(g)</sup> — 6.9%** | **U.S. Treasury Obligations<sup>(g)</sup> — 6.9%** | **U.S. Treasury Obligations<sup>(g)</sup> — 6.9%** | **U.S. Treasury Obligations<sup>(g)</sup> — 6.9%** |
| U.S. Treasury Bills |  |  |  |
| &nbsp;&nbsp;&nbsp;4.47%, 10/05/23<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp; 4831066 |
| &nbsp;&nbsp;&nbsp;4.66%, 11/30/23<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp; 23970223 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28801289 |
| **Total Short-Term Securities — 9.4%<br>(Cost: $39,474,359)<br>** | **Total Short-Term Securities — 9.4%<br>(Cost: $39,474,359)<br>** | **Total Short-Term Securities — 9.4%<br>(Cost: $39,474,359)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39453593 |
| **Total Investments Before TBA Sale Commitments — 102.3%<br>(Cost: $449,907,079)<br>** | **Total Investments Before TBA Sale Commitments — 102.3%<br>(Cost: $449,907,079)<br>** | **Total Investments Before TBA Sale Commitments — 102.3%<br>(Cost: $449,907,079)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;429465458 |
| **TBA Sale Commitments<sup>(f)</sup>** | **TBA Sale Commitments<sup>(f)</sup>** | **TBA Sale Commitments<sup>(f)</sup>** | **TBA Sale Commitments<sup>(f)</sup>** |
| **Mortgage-Backed Securities — (3.3)%** | **Mortgage-Backed Securities — (3.3)%** | **Mortgage-Backed Securities — (3.3)%** | **Mortgage-Backed Securities — (3.3)%** |
| Uniform Mortgage-Backed Securities, 4.50%, 01/01/53<br>|  | &nbsp;&nbsp; (14100) | &nbsp;&nbsp; (13567814) |
| **Total TBA Sale Commitments — (3.3)%<br>(Proceeds: $(13751249))<br>** | **Total TBA Sale Commitments — (3.3)%<br>(Proceeds: $(13751249))<br>** | **Total TBA Sale Commitments — (3.3)%<br>(Proceeds: $(13751249))<br>** | &nbsp;&nbsp;&nbsp;&nbsp;(13567814) |
| **Total Investments Net of TBA Sale Commitments — 99.0%<br>(Cost: $436,155,830)<br>** | **Total Investments Net of TBA Sale Commitments — 99.0%<br>(Cost: $436,155,830)<br>** | **Total Investments Net of TBA Sale Commitments — 99.0%<br>(Cost: $436,155,830)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;415897644 |
| **Other Assets Less Liabilities — 1.0%<br>** | **Other Assets Less Liabilities — 1.0%<br>** | **Other Assets Less Liabilities — 1.0%<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4007298 |
| **Net Assets — 100.0%<br>** | **Net Assets — 100.0%<br>** | **Net Assets — 100.0%<br>** | $419904942 |

---

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

<sup>(d)</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>(e)</sup> Perpetual security with no stated maturity date.

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

<sup>(g)</sup> Rates are discount rates or a range of discount rates as of period end.

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

For Fund compliance purposes, the Fund's industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

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

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp;*Number of<br> Contracts* | &nbsp;&nbsp;&nbsp;&nbsp;*Expiration<br> Date* | &nbsp;&nbsp;&nbsp;&nbsp;*Notional<br> Amount<br> (000)* | &nbsp;&nbsp;&nbsp;&nbsp;*Value/<br> Unrealized<br> Appreciation<br> (Depreciation)* |
| Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Bonds (30 Year)<br>| &nbsp;&nbsp;12 | &nbsp;&nbsp;&nbsp;&nbsp;03/22/23 | &nbsp;&nbsp;&nbsp;&nbsp;$1496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(4978) |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Notes (2 Year)<br>| &nbsp;&nbsp;713 | &nbsp;&nbsp;&nbsp;&nbsp;03/31/23 | &nbsp;&nbsp;&nbsp;&nbsp; 146165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148382 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143404 |
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Euro-Bobl<br>| &nbsp;&nbsp;24 | &nbsp;&nbsp;&nbsp;&nbsp;03/08/23 | &nbsp;&nbsp;&nbsp;&nbsp; 2778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91748 |
| &nbsp;&nbsp;&nbsp;Euro-Schatz<br>| &nbsp;&nbsp;57 | &nbsp;&nbsp;&nbsp;&nbsp;03/08/23 | &nbsp;&nbsp;&nbsp;&nbsp; 6009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73966 |
| &nbsp;&nbsp;&nbsp;Japanese Government Bonds (10 Year)<br>| &nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;03/13/23 | &nbsp;&nbsp;&nbsp;&nbsp; 1163680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141114 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Notes (10 Year)<br>| &nbsp;&nbsp;44 | &nbsp;&nbsp;&nbsp;&nbsp;03/22/23 | &nbsp;&nbsp;&nbsp;&nbsp; 4934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98060 |
| &nbsp;&nbsp;&nbsp;U.S. Ultra Treasury Bonds<br>| &nbsp;&nbsp;26 | &nbsp;&nbsp;&nbsp;&nbsp;03/22/23 | &nbsp;&nbsp;&nbsp;&nbsp; 3472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54734 |
| &nbsp;&nbsp;&nbsp;U.S. Ultra Treasury Notes (10 Year)<br>| &nbsp;&nbsp;73 | &nbsp;&nbsp;&nbsp;&nbsp;03/22/23 | &nbsp;&nbsp;&nbsp;&nbsp; 8606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85266 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Notes (5 Year)<br>| &nbsp;&nbsp;395 | &nbsp;&nbsp;&nbsp;&nbsp;03/31/23 | &nbsp;&nbsp;&nbsp;&nbsp; 42592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212560 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757448 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;$900852 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

BATS: Series S Portfolio

#### Forward Foreign Currency Exchange Contracts

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Currency Sold* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Currency Sold* | *Counterparty* | *Settlement<br> Date* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Unrealized<br> Appreciation<br> (Depreciation)* |
| EUR | 382000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 408302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NatWest Markets PLC | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;03/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2735 |
| USD | 380620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CAD | 519000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Royal Bank of Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;03/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2918) |
| USD | 11814062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR | 11071000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank AG | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;03/15/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (98486) |
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(101404) |
|  |  |  |  |  |  | &nbsp;&nbsp;$(98669) |

---

#### Centrally Cleared Credit Default Swaps — Buy Protection

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp;*Financing<br> Rate<br> Paid by<br> the<br> Fund* | &nbsp;&nbsp;&nbsp;&nbsp;*Payment<br> Frequency* | &nbsp;&nbsp;&nbsp;&nbsp;*Termination<br> Date* | &nbsp;&nbsp;&nbsp;&nbsp;*Notional<br> Amount<br> (000)* | &nbsp;&nbsp;&nbsp;&nbsp;*Notional<br> Amount<br> (000)* | &nbsp;&nbsp;&nbsp;&nbsp;*Value* | &nbsp;&nbsp;&nbsp;&nbsp;*Upfront<br> Premium<br> Paid<br> (Received)* | &nbsp;&nbsp;&nbsp;&nbsp;*Unrealized<br> Appreciation<br> (Depreciation)* |
| CDX.NA.IG.39.V1<br>| &nbsp;&nbsp;1.00% | &nbsp;&nbsp;&nbsp;&nbsp;Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;12/20/27 | &nbsp;&nbsp;&nbsp;&nbsp;USD | 4760 | &nbsp;&nbsp;&nbsp;&nbsp;$(39788) | &nbsp;&nbsp;&nbsp;&nbsp;$(11821) | &nbsp;&nbsp;&nbsp;&nbsp;$(27967) |

---

#### Centrally Cleared Interest Rate Swaps

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund |  | &nbsp;&nbsp;Received by the Fund | &nbsp;&nbsp;Received by the Fund |  |  |  |  |  |  |
| *Rate* | &nbsp;&nbsp;*Frequency* | &nbsp;&nbsp;*Rate* | &nbsp;&nbsp;*Frequency* | &nbsp;&nbsp;*Effective<br> Date* | &nbsp;&nbsp;*Termination<br> Date* | &nbsp;&nbsp;*Notional<br> Amount<br> (000)* | &nbsp;&nbsp;*Notional<br> Amount<br> (000)* | &nbsp;&nbsp;*Value* | &nbsp;&nbsp;*Upfront<br> Premium<br> Paid<br> (Received)* | &nbsp;&nbsp;*Unrealized<br> Appreciation<br> (Depreciation)* |
| SOFR, 4.30% | &nbsp;&nbsp;Annual | &nbsp;&nbsp;3.66% | &nbsp;&nbsp;Annual | &nbsp;&nbsp;01/05/23<sup>(a)</sup> | &nbsp;&nbsp;09/30/24 | &nbsp;&nbsp;USD | 9575 | &nbsp;&nbsp;$(146813) | &nbsp;&nbsp;$1716 | &nbsp;&nbsp;$(148529) |
| SOFR, 4.30% | &nbsp;&nbsp;Annual | &nbsp;&nbsp;3.22% | &nbsp;&nbsp;Annual | &nbsp;&nbsp;01/05/23<sup>(a)</sup> | &nbsp;&nbsp;02/28/27 | &nbsp;&nbsp;USD | 9575 | &nbsp;&nbsp;&nbsp;&nbsp; 227079 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223522 |
|  |  |  |  |  |  |  |  | &nbsp;&nbsp;$80266 | &nbsp;&nbsp;$5273 | &nbsp;&nbsp;$74993 |

---

<sup>(a)</sup> Forward Swap.

#### Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. 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 for identical assets or liabilities that the Fund has the ability to access;

&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (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. There may not be a secondary market, and/or there are 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.

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

BATS: Series S Portfolio

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.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;*Level 1* | &nbsp;&nbsp;*Level 2* | &nbsp;&nbsp;*Level 3* | &nbsp;&nbsp;*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<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$113161104 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$113161104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corporate Bonds <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 126973219 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 126973219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign Agency Obligations<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2289785 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2289785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign Government Obligations<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1005742 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1005742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Non-Agency Mortgage-Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 71475183 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 71475183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Preferred Securities <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1471331 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1471331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Government Sponsored Agency Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 61104720 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 61104720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Obligations<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12530781 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12530781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Commercial Paper<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1426258 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1426258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Money Market Funds<br>| &nbsp;&nbsp; 9226046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9226046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Obligations<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 28801289 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 28801289 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TBA Sale Commitments<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (13567814) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (13567814) |
|  | &nbsp;&nbsp;$9226046 | &nbsp;&nbsp;$406671598 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$415897644 |
| Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign Currency Exchange Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2735 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Rate Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp; 905830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223522 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1129352 |
| &nbsp;&nbsp;&nbsp;Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Credit Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27967) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27967) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign Currency Exchange Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (101404) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (101404) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Interest Rate Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4978) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (148529) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (153507) |
|  | &nbsp;&nbsp;$900852 | &nbsp;&nbsp;&nbsp;&nbsp;$(51643) | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$849209 |

---

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

---

| | |
|:---|:---|
| **Currency Abbreviation** | **Currency Abbreviation** |
| CAD | &nbsp;&nbsp;Canadian Dollar |
| EUR | &nbsp;&nbsp;Euro |
| USD | &nbsp;&nbsp;United States Dollar |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| CLO | &nbsp;&nbsp;Collateralized Loan Obligation |
| DAC | &nbsp;&nbsp;Designated Activity Co. |
| LIBOR | &nbsp;&nbsp;London Interbank Offered Rate |
| LP | &nbsp;&nbsp;Limited Partnership |
| SOFR | &nbsp;&nbsp;Secured Overnight Financing Rate |
| TBA | &nbsp;&nbsp;To-be-Announced |

---

## 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:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-30

**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:** $453050489.24

**Total Liabilities:** $32958325.04

**Net Assets:** $420092164.20

**Stand-by Commitments:** $13628984.39

**Cash Not Reported:** $2979234.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 12000.33000000 | **1-Year:** 23274.50000000 | **5-Year:** 56383.34000000 | **10-Year:** 1843.54000000 | **30-Year:** 4087.91000000

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

- **3-Month:** 9.52000000 | **1-Year:** 1631.24000000 | **5-Year:** -3214.76000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000003893 | -0.51%               | 1.18%                | 0.59%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-941564.77              | $-2253957.17                               |
| Month 2  | $-2052766.28             | $8129293.75                                |
| Month 3  | $-723419.50              | $1564334.18                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137B5VK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95312 | PA      | $92309.64     | 0.02%             | 2035-10-15      | Fixed         | 3.50%                 | 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        |    185258 | PA      | $180496.20    | 0.04%             | 2043-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                    | Stellantis NV                                                                   | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |    135000 | PA      | $144289.94    | 0.03%             | 2024-03-29      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                               | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1145000 | PA      | $990953.34    | 0.24%             | 2027-06-14      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    255000 | PA      | $241397.35    | 0.06%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                   | SMB Private Education Loan Trust 2016-B                                         | CUSIP: 78449GAC3<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    434288 | PA      | $431128.31    | 0.10%             | 2032-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2015-C26                                  | CUSIP: 94989CBC4<br>LEI: 549300DT2BKPLXAJ4C66 | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $475687.32    | 0.11%             | 2048-02-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term                    | GM Financial Consumer Automobile Receivables Trust 2022-3                       | CUSIP: 36265WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887000 | PA      | $860704.53    | 0.20%             | 2027-12-16      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753730 | PA      | $720952.29    | 0.17%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun                   | American Express Credit Account Master Trust                                    | CUSIP: 02582JJV3<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   5051000 | PA      | $4937810.63   | 1.18%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SONOCO PRODUCTS CO                               | Sonoco Products Co                                                              | CUSIP: 835495AN2<br>LEI: GKOMIK4RDJGHEF0VNP11 | Long             | DBT              | CORP              | US        |    325000 | PA      | $288985.13    | 0.07%             | 2027-02-01      | Fixed         | 2.25%                 | 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        |    137381 | PA      | $126985.50    | 0.03%             | 2067-02-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J5SL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98614 | PA      | $92206.37     | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51623.59     | 0.01%             | 2028-11-10      | Fixed         | 6.20%                 | 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        |    189764 | PA      | $181556.25    | 0.04%             | 2049-09-15      | Fixed         | 2.73%                 | 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        |   1241000 | PA      | $1199822.38   | 0.29%             | 2026-09-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                | Cedar Funding V CLO Ltd                                                         | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491278.70    | 0.12%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                   | Americredit Automobile Receivables Trust 2022-1                                 | CUSIP: 03066TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    797000 | PA      | $771422.20    | 0.18%             | 2026-11-18      | Fixed         | 2.45%                 | 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        |    720698 | PA      | $639731.46    | 0.15%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                   | AmeriCredit Automobile Receivables Trust 2021-1                                 | CUSIP: 03063FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975003 | PA      | $958219.49    | 0.23%             | 2025-08-18      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463480 | PA      | $424855.00    | 0.10%             | 2050-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                             | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    335000 | PA      | $322962.19    | 0.08%             | 2026-03-01      | Fixed         | 3.65%                 | 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        |    609280 | PA      | $28586.92     | 0.01%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245173 | PA      | $246650.11    | 0.06%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                            | Traton Finance Luxembourg SA                                                    | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $106007.52    | 0.03%             | 2025-11-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                               | CUSIP: 3136B7PP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591784 | PA      | $552104.99    | 0.13%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1358715.93   | 0.32%             | 2025-09-29      | Fixed         | 3.27%                 | 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        |    207842 | PA      | $190221.46    | 0.05%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                           | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     40000 | PA      | $40320.00     | 0.01%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PSA BANQUE FRANCE                                | PSA Banque France SA                                                            | CUSIP: 000000000<br>LEI: 969500JK1O192KI3E882 | Long             | DBT              | CORP              | FR        |    755000 | PA      | $803503.87    | 0.19%             | 2023-04-19      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2019-BNK18                                                                 | CUSIP: 065402AZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1206808.25   | 0.29%             | 2062-05-15      | Fixed         | 3.47%                 | 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        |     83140 | PA      | $71883.48     | 0.02%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                     | CUSIP: 61765TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $312408.59    | 0.07%             | 2048-10-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                         | Independence Plaza Trust 2018-INDP                                              | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $505842.73    | 0.12%             | 2035-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137BJTG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55740 | PA      | $54369.52     | 0.01%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8XV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1425480 | PA      | $1452259.35   | 0.35%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                               | Meta Platforms Inc                                                              | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    995000 | PA      | $927340.12    | 0.22%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2013-CCRE8 Mortgage Trust                                                  | CUSIP: 12625KAM7<br>LEI: 549300NGGFIEJ2ER3D22 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $294606.69    | 0.07%             | 2046-06-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                             | Edison International                                                            | CUSIP: 281020AU1<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    860000 | PA      | $841470.41    | 0.20%             | 2025-08-15      | Fixed         | 4.70%                 | 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      | $462130.35    | 0.11%             | 2048-08-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FUGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144195 | PA      | $134245.86    | 0.03%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                   | JPMBB Commercial Mortgage Securities Trust 2015-C28                             | CUSIP: 46644FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682816 | PA      | $662981.52    | 0.16%             | 2048-10-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140GNMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581379 | PA      | $553294.01    | 0.13%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                    | Life 2021-BMR Mortgage Trust                                                    | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530804 | PA      | $513984.88    | 0.12%             | 2038-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137BHTC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298660 | PA      | $272084.15    | 0.06%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                           | TotalEnergies Capital International SA                                          | CUSIP: 000000000<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $184858.15    | 0.04%             | 2028-07-12      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                             | Enel Finance International NV                                                   | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    225000 | PA      | $221455.02    | 0.05%             | 2026-09-16      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                              | CNH Equipment Trust 2022-B                                                      | CUSIP: 12663JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    614000 | PA      | $593289.66    | 0.14%             | 2027-08-16      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                    | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1303000 | PA      | $1183902.15   | 0.28%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2014-CCRE16 Mortgage Trust                                                 | CUSIP: 12591VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $974590.70    | 0.23%             | 2047-04-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                              | CNH Equipment Trust 2019-B                                                      | CUSIP: 12596TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162486 | PA      | $162207.37    | 0.04%             | 2024-08-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                     | Hawaii Hotel Trust 2019-MAUI                                                    | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552000 | PA      | $536060.94    | 0.13%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                            | Republic Services Inc                                                           | CUSIP: 760759AY6<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    365000 | PA      | $326904.23    | 0.08%             | 2025-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                           | CHL Mortgage Pass-Through Trust 2004-HYB1                                       | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27364 | PA      | $24881.89     | 0.01%             | 2034-05-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| TRATON FINANCE LUX SA                            | Traton Finance Luxembourg SA                                                    | CUSIP: 000000000<br>LEI: 529900BRKIE6LKIEXD84 | Long             | DBT              | CORP              | LU        |    500000 | PA      | $504517.00    | 0.12%             | 2024-06-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                             | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271746 | PA      | $237931.34    | 0.06%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                    | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $192981.15    | 0.05%             | 2026-09-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137FQTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310607 | PA      | $274683.21    | 0.07%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                             | Birch Grove CLO 2 Ltd                                                           | CUSIP: 09077LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239995.05    | 0.06%             | 2034-10-19      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                      | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    640000 | PA      | $542183.21    | 0.13%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                             | Mercedes-Benz Finance North America LLC                                         | CUSIP: 233851EC4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    315000 | PA      | $281762.82    | 0.07%             | 2026-03-02      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| NATL GRID ELECT TRANS                            | National Grid Electricity Transmission PLC                                      | CUSIP: 000000000<br>LEI: 5XJXCCYG4SDKFJ5WLB02 | Long             | DBT              | CORP              | GB        |    295000 | PA      | $294718.78    | 0.07%             | 2025-01-20      | Fixed         | 0.19%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136AKXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1370138 | PA      | $1326517.36   | 0.32%             | 2024-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    250000 | PA      | $236696.01    | 0.06%             | 2024-08-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                      | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354399 | PA      | $293644.99    | 0.07%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2152935 | PA      | $2139500.66   | 0.51%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US ULTRA TREASURY BOND                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -26 | NC      | $67734.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                             | CUSIP: 375558BM4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    350000 | PA      | $325594.67    | 0.08%             | 2027-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                   | WFRBS Commercial Mortgage Trust 2014-LC14                                       | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    721000 | PA      | $707301.43    | 0.17%             | 2047-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2013-CCRE10 Mortgage Trust                                                 | CUSIP: 12626BAD6<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1738133.78   | 0.41%             | 2046-08-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                   | WFRBS Commercial Mortgage Trust 2013-C13                                        | CUSIP: 92937UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174000 | PA      | $172786.07    | 0.04%             | 2045-05-15      | Fixed         | 3.00%                 | 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        |       -73 | NC      | $89828.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                               | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    865000 | PA      | $749129.05    | 0.18%             | 2027-11-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2022-SHIP                                     | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $640901.63    | 0.15%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                                  | Atrium XIII                                                                     | CUSIP: 04966HAE6<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $777856.80    | 0.19%             | 2030-11-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr                   | Credit Acceptance Auto Loan Trust 2021-2                                        | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970000 | PA      | $932844.34    | 0.22%             | 2030-02-15      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| TRANSMANTARO                                     | Consorcio Transmantaro SA                                                       | CUSIP: 210314AB6<br>LEI: 549300NL65DC6HVEJX96 | Long             | DBT              | CORP              | PE        |    200000 | PA      | $181725.00    | 0.04%             | 2034-04-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                             | Diameter Capital Clo 1 Ltd                                                      | CUSIP: 25255DAA8<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240413.30    | 0.06%             | 2036-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    675000 | PA      | $613279.78    | 0.15%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137H0A40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2626683 | PA      | $2463877.46   | 0.59%             | 2044-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                      | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $955379.39    | 0.23%             | 2026-03-03      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |         1 | NC      | $227078.51    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    234000 | PA      | $210715.84    | 0.05%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137FCPN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378356 | PA      | $354484.36    | 0.08%             | 2046-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                         | OZLM XXII Ltd                                                                   | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $237258.23    | 0.06%             | 2031-01-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137FVGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256104 | PA      | $230093.04    | 0.05%             | 2044-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                              | LYB International Finance III LLC                                               | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    491000 | PA      | $438024.12    | 0.10%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    820000 | PA      | $708483.12    | 0.17%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                              | Suzano Austria GmbH                                                             | CUSIP: 05674XAA9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    200000 | PA      | $200537.50    | 0.05%             | 2026-07-14      | Fixed         | 5.75%                 | 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      | $500963.84    | 0.12%             | 2051-03-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| REDEXIS GAS FINANCE BV                           | Redexis Gas Finance BV                                                          | CUSIP: 000000000<br>LEI: 724500XI19XTPCL36320 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $303322.93    | 0.07%             | 2025-05-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-3                                               | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407686 | PA      | $384847.53    | 0.09%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2015-GC33                                   | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1008769.78   | 0.24%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457512 | PA      | $448201.23    | 0.11%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                                 | Ryder System Inc                                                                | CUSIP: 78355HKT5<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    370000 | PA      | $334000.29    | 0.08%             | 2027-03-01      | Fixed         | 2.85%                 | 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        |    321339 | PA      | $290100.64    | 0.07%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68996.02     | 0.02%             | 2024-04-05      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva                   | AmeriCredit Automobile Receivables Trust 2021-3                                 | CUSIP: 03066JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1336139.00   | 0.32%             | 2026-08-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    450000 | PA      | $428570.44    | 0.10%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2015-LC19 Mortgage Trust                                                   | CUSIP: 200474BC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1524220.16   | 0.36%             | 2048-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBZ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    470000 | PA      | $465057.04    | 0.11%             | 2024-03-16      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                         | Uruguay Government International Bond                                           | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     63043 | PA      | $62759.31     | 0.01%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QP4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683302 | PA      | $680343.20    | 0.16%             | 2037-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                             | Mercedes-Benz Finance North America LLC                                         | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    455000 | PA      | $457571.76    | 0.11%             | 2024-11-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                              | Synchrony Financial                                                             | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23384.62     | 0.01%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON                          | Bank of New York Mellon/The                                                     | CUSIP: 06405LAC5<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |    700000 | PA      | $701839.44    | 0.17%             | 2025-11-21      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163681 | PA      | $142257.01    | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T                   | Honda Auto Receivables 2019-3 Owner Trust                                       | CUSIP: 43815NAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    657926 | PA      | $657126.54    | 0.16%             | 2025-08-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                   | Galaxy XIX CLO Ltd                                                              | CUSIP: 36319QBQ4<br>LEI: 5493000B2531UL3WQV87 | Long             | ABS-CBDO         | CORP              | KY        |    249310 | PA      | $241023.37    | 0.06%             | 2030-07-24      | Floating      | 5.72%                 | 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        |    262308 | PA      | $237367.27    | 0.06%             | 2046-05-15      | Fixed         | 2.54%                 | 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      | $584873.64    | 0.14%             | 2034-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut                   | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NGB1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    193000 | PA      | $194472.90    | 0.05%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    900000 | PA      | $847702.54    | 0.20%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1346091.51   | 0.32%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                     | TICP CLO VI 2016-2 Ltd                                                          | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $979222.00    | 0.23%             | 2034-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi                   | Park Avenue Institutional Advisers CLO Ltd 2018-1                               | CUSIP: 70016RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $730634.18    | 0.17%             | 2031-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                         | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAG7<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    570000 | PA      | $485179.98    | 0.12%             | 2026-10-15      | Fixed         | 1.90%                 | 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        |   1990000 | PA      | $1840163.15   | 0.44%             | 2028-07-14      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                 | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    340000 | PA      | $296927.02    | 0.07%             | 2027-02-26      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                     | CUSIP: 61766RAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525000 | PA      | $1398311.85   | 0.33%             | 2049-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $958963.24    | 0.23%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                  | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    240000 | PA      | $223447.03    | 0.05%             | 2025-02-01      | Fixed         | 2.30%                 | 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      | $523199.11    | 0.12%             | 2048-10-10      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                       | Federal National Mortgage Association                                           | CUSIP: 3136G45C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |   4500000 | PA      | $4030083.95   | 0.96%             | 2025-10-27      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1287352.42   | 0.31%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                           | Mosaic Solar Loan Trust 2022-3                                                  | CUSIP: 61946KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224000 | PA      | $223377.37    | 0.05%             | 2053-06-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                     | ING Groep NV                                                                    | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    100000 | PA      | $100072.30    | 0.02%             | 2025-09-03      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    965000 | PA      | $876306.30    | 0.21%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                      | SREIT Trust 2021-MFP2                                                           | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $380140.26    | 0.09%             | 2036-11-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8EP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468202 | PA      | $451324.46    | 0.11%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T                   | Honda Auto Receivables 2020-1 Owner Trust                                       | CUSIP: 43813RAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $883438.02    | 0.21%             | 2026-10-21      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                      | CUSIP: 458140BY5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    320000 | PA      | $307418.14    | 0.07%             | 2027-08-05      | Fixed         | 3.75%                 | 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        |    297159 | PA      | $276009.35    | 0.07%             | 2029-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                      | CUSIP: 000000000<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    175000 | PA      | $164292.93    | 0.04%             | 2027-11-18      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                   | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141735 | PA      | $137997.00    | 0.03%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                           | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $173230.36    | 0.04%             | 2027-05-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NXSS                | CUSIP: 465979AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $179547.16    | 0.04%             | 2039-08-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Octagon 56 Ltd                                   | Octagon 56 Ltd                                                                  | CUSIP: 67577EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $285565.20    | 0.07%             | 2034-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2022-1                                                 | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273070 | PA      | $238540.50    | 0.06%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ASAHI GROUP HOLDINGS LTD                         | Asahi Group Holdings Ltd                                                        | CUSIP: 000000000<br>LEI: 353800KAJ02XNHLCJW79 | Long             | DBT              | CORP              | JP        |    525000 | PA      | $536289.99    | 0.13%             | 2024-04-19      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                    | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    670000 | PA      | $632064.31    | 0.15%             | 2025-02-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                 | CUSIP: 23636ABA8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    600000 | PA      | $547795.84    | 0.13%             | 2025-09-10      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAUN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731681 | PA      | $716835.17    | 0.17%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2014-LC18                                 | CUSIP: 94989AAV7<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    768649 | PA      | $749089.98    | 0.18%             | 2047-12-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132DNCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276431 | PA      | $274035.49    | 0.07%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Federal Home Loan Mortgage Corp                                                 | CUSIP: 3134GWVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   3000000 | PA      | $2699848.41   | 0.64%             | 2025-09-30      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                               | CUSIP: 404280DA4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    420000 | PA      | $394747.68    | 0.09%             | 2026-03-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $865995.51    | 0.21%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                   | GoodLeap Sustainable Home Solutions Trust 2022-3                                | CUSIP: 38237TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850944 | PA      | $787551.45    | 0.19%             | 2049-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                           | Mosaic Solar Loan Trust 2022-1                                                  | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207786 | PA      | $172871.66    | 0.04%             | 2053-01-20      | Fixed         | 2.64%                 | 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      | $482290.57    | 0.11%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    800000 | PA      | $705629.04    | 0.17%             | 2026-11-19      | Fixed         | 1.04%                 | 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        |   1220031 | PA      | $1173286.70   | 0.28%             | 2053-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1076906.86   | 0.26%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149711.68    | 0.04%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105427 | PA      | $106029.35    | 0.03%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                 | CUSIP: 46651MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331057 | PA      | $325191.06    | 0.08%             | 2036-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                     | 7-Eleven Inc                                                                    | CUSIP: 817826AC4<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    125000 | PA      | $109474.26    | 0.03%             | 2026-02-10      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                            | Palmer Square CLO 2014-1 Ltd                                                    | CUSIP: 69688XAS0<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1237407.25   | 0.29%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                              | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAL5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1000000 | PA      | $1001845.13   | 0.24%             | 2024-12-06      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                          | BPCE SA                                                                         | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    295000 | PA      | $254273.47    | 0.06%             | 2027-10-19      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1403544.15   | 0.33%             | 2026-08-15      | Fixed         | 1.40%                 | 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      | $700819.79    | 0.17%             | 2054-08-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                         | Svenska Handelsbanken AB                                                        | CUSIP: 86959LAH6<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |    550000 | PA      | $481720.20    | 0.11%             | 2027-06-11      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| MET TOWER GLOBAL FUNDING                         | Met Tower Global Funding                                                        | CUSIP: 58989V2E3<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |    800000 | PA      | $775688.86    | 0.18%             | 2025-06-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T                   | Honda Auto Receivables 2019-4 Owner Trust                                       | CUSIP: 43813VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $495733.25    | 0.12%             | 2026-01-20      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                   | SMB Private Education Loan Trust 2016-A                                         | CUSIP: 78449FAC5<br>LEI: 54930039BHEBCRK29U41 | Long             | ABS-O            | CORP              | US        |    406973 | PA      | $404569.81    | 0.10%             | 2031-05-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| HONDA MOTOR CO LTD                               | Honda Motor Co Ltd                                                              | CUSIP: 438127AB8<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | DBT              | CORP              | JP        |    350000 | PA      | $319766.26    | 0.08%             | 2027-03-10      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                       | Nucor Corp                                                                      | CUSIP: 670346AY1<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    525000 | PA      | $512149.67    | 0.12%             | 2027-05-23      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun                   | American Express Credit Account Master Trust                                    | CUSIP: 02582JJR2<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1385000 | PA      | $1285137.62   | 0.31%             | 2026-11-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300MXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429363 | PA      | $417061.82    | 0.10%             | 2045-05-01      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    620000 | PA      | $596462.58    | 0.14%             | 2024-09-10      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                | Jamestown CLO XVI Ltd                                                           | CUSIP: 47048RAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239458.80    | 0.06%             | 2034-07-25      | Floating      | 6.16%                 | 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      | $385494.44    | 0.09%             | 2034-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                              | PFS Financing Corp                                                              | CUSIP: 69335PDX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $349082.83    | 0.08%             | 2026-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2022-2                                                      | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471615 | PA      | $393079.93    | 0.09%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                           | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $279981.97    | 0.07%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 36 Senior Loan Fund                                                      | CUSIP: 26249KAZ4<br>LEI: 549300XLLT7H0EYXK263 | Long             | ABS-CBDO         | CORP              | KY        |    228241 | PA      | $225806.23    | 0.05%             | 2029-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137BDX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75039 | PA      | $73273.61     | 0.02%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                         | MassMutual Global Funding II                                                    | CUSIP: 57629WDG2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    829000 | PA      | $791033.94    | 0.19%             | 2025-03-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670924 | PA      | $623021.83    | 0.15%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38009 | PA      | $37183.02     | 0.01%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                   | Regional Management Issuance Trust 2022-2B                                      | CUSIP: 75907JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $140777.78    | 0.03%             | 2032-11-17      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171632 | PA      | $165258.20    | 0.04%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95423 | PA      | $95965.20     | 0.02%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                 | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    580000 | PA      | $510826.79    | 0.12%             | 2026-09-11      | Fixed         | 1.62%                 | 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        |    114277 | PA      | $87561.19     | 0.02%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                      | Exelon Corp                                                                     | CUSIP: 30161NAZ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    170000 | PA      | $155904.35    | 0.04%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                | CPPIB Capital Inc                                                               | CUSIP: 22411VAR9<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |   1480000 | PA      | $1375770.93   | 0.33%             | 2024-09-16      | Fixed         | 0.50%                 | 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        |   1070776 | PA      | $1057790.63   | 0.25%             | 2034-09-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    580000 | PA      | $503096.55    | 0.12%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136103 | PA      | $137121.55    | 0.03%             | 2044-07-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                            | KKR CLO 13 Ltd                                                                  | CUSIP: 48250VAU1<br>LEI: 635400ZS4BDP68TETX94 | Long             | ABS-CBDO         | CORP              | KY        |     64414 | PA      | $63941.38     | 0.02%             | 2028-01-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2015-GC34                                          | CUSIP: 36250VAD4<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1181051.88   | 0.28%             | 2048-10-10      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBJ5<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    105000 | PA      | $103399.24    | 0.02%             | 2026-07-24      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2015-GC27                                   | CUSIP: 17323CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395000 | PA      | $1326007.76   | 0.32%             | 2048-02-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                    | Stellantis NV                                                                   | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |    695000 | PA      | $741736.81    | 0.18%             | 2023-04-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAC0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    450000 | PA      | $434697.73    | 0.10%             | 2025-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                            | Texas Instruments Inc                                                           | CUSIP: 882508BV5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159782.06    | 0.04%             | 2028-02-15      | Fixed         | 4.60%                 | 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        |    845671 | PA      | $769551.53    | 0.18%             | 2054-11-16      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                 | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-98486.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Discover Card Execution Note T                   | Discover Card Execution Note Trust                                              | CUSIP: 254683CA1<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $924995.38    | 0.22%             | 2026-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                   | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    570000 | PA      | $504748.76    | 0.12%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                 | NTT Finance Corp                                                                | CUSIP: 62954WAK1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    275000 | PA      | $268597.07    | 0.06%             | 2027-07-27      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132AEB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778133 | PA      | $772434.78    | 0.18%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CRH FINANCE DAC                                  | CRH Finance DAC                                                                 | CUSIP: 000000000<br>LEI: 549300C4ROP5J6I59W35 | Long             | DBT              | CORP              | IE        |    690000 | PA      | $739015.26    | 0.18%             | 2023-04-03      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    655000 | PA      | $583847.44    | 0.14%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                              | LSEGA Financing PLC                                                             | CUSIP: 50220PAB9<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    816000 | PA      | $715043.17    | 0.17%             | 2026-04-06      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490346 | PA      | $493132.32    | 0.12%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC.                     | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 549300QJJX6CVVUXLE15 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2917.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                 | CUSIP: 718172CK3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    320000 | PA      | $298755.92    | 0.07%             | 2026-08-03      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                   | Mariner Finance Issuance Trust 2020-A                                           | CUSIP: 56848MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284000 | PA      | $270280.56    | 0.06%             | 2034-08-21      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                    | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $193297.50    | 0.05%             | 2027-08-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13200000 | PA      | $12701783.03  | 3.02%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                            | Palmer Square CLO 2018-2 Ltd                                                    | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246677.05    | 0.06%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2017-I Ltd                                                         | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |    468698 | PA      | $463940.91    | 0.11%             | 2029-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                   | Amazon.com Inc                                                                  | CUSIP: 023135CN4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1092304.29   | 0.26%             | 2025-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                | Cedar Funding VII Clo Ltd                                                       | CUSIP: 15032FAA4<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1481520.60   | 0.35%             | 2031-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                   | Hyundai Auto Receivables Trust 2021-C                                           | CUSIP: 44935FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $661187.59    | 0.16%             | 2026-05-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                     | Voya CLO 2018-3 Ltd                                                             | CUSIP: 92917KAA2<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $986684.00    | 0.23%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137AKBG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23256 | PA      | $23055.39     | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru                   | OneMain Financial Issuance Trust 2022-S1                                        | CUSIP: 68267HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    689000 | PA      | $649629.71    | 0.15%             | 2035-05-14      | Fixed         | 4.13%                 | 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        |    374757 | PA      | $345178.30    | 0.08%             | 2059-10-25      | Variable      | 3.50%                 | 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        |    196302 | PA      | $190554.42    | 0.05%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                                                      | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    485000 | PA      | $376281.63    | 0.09%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                      | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    620000 | PA      | $600226.45    | 0.14%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PAU0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    632000 | PA      | $625720.32    | 0.15%             | 2024-07-23      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 43 Senior Loan Fund                                                      | CUSIP: 26245CBE2<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $972428.80    | 0.23%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Verizon Owner Trust                              | Verizon Owner Trust 2020-A                                                      | CUSIP: 92348TAA2<br>LEI: 549300XY7L2MRX0BQH89 | Long             | ABS-O            | CORP              | US        |     97628 | PA      | $97261.83     | 0.02%             | 2024-07-22      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act                   | Prodigy Finance CM2021-1 DAC                                                    | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    112385 | PA      | $108592.38    | 0.03%             | 2051-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                            | Healthpeak Properties Inc                                                       | CUSIP: 42250PAC7<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    220000 | PA      | $190436.49    | 0.05%             | 2027-02-01      | Fixed         | 1.35%                 | 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        |   1390000 | PA      | $1362645.63   | 0.32%             | 2027-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                     | ING Groep NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    280000 | PA      | $247094.06    | 0.06%             | 2027-04-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                             | BlueMountain CLO XXIX Ltd                                                       | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $238710.40    | 0.06%             | 2034-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                            | Arroyo Mortgage Trust 2022-2                                                    | CUSIP: 04285EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287896 | PA      | $280021.95    | 0.07%             | 2057-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable                   | Westlake Automobile Receivables Trust 2021-1                                    | CUSIP: 96043FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91753 | PA      | $91498.97     | 0.02%             | 2024-10-15      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                         | Virginia Electric and Power Co                                                  | CUSIP: 927804GH1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    355000 | PA      | $338785.58    | 0.08%             | 2027-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                       | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    600000 | PA      | $539316.03    | 0.13%             | 2028-01-27      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                    | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $130925.23    | 0.03%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                 | CUSIP: 37045XDA1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    300000 | PA      | $262245.38    | 0.06%             | 2027-08-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management      | Dreyfus Treasury Securities Cash Management                                     | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  12279328 | NS      | $12279328.15  | 2.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138Y7HG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76541 | PA      | $76876.56     | 0.02%             | 2045-10-01      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2018-B5 Mortgage Trust                                                | CUSIP: 08160BAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $418502.90    | 0.10%             | 2051-07-15      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                  | DR Horton Inc                                                                   | CUSIP: 23331ABQ1<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    245000 | PA      | $210690.01    | 0.05%             | 2026-10-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2014-GC21                                   | CUSIP: 17322MAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $740829.47    | 0.18%             | 2047-05-10      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 2 YEAR US TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       713 | NC      | $36976.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                | Chile Government International Bond                                             | CUSIP: 168863CF3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    210000 | PA      | $194551.88    | 0.05%             | 2028-02-06      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                               | VICI Properties LP                                                              | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    730000 | PA      | $707974.40    | 0.17%             | 2025-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                | Eversource Energy                                                               | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    750000 | PA      | $690523.32    | 0.16%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T                   | Regional Management Issuance Trust 2021-2                                       | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421000 | PA      | $349891.58    | 0.08%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2021-ARIA                                                              | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $756118.46    | 0.18%             | 2036-10-15      | Floating      | 5.22%                 | 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        |    340000 | PA      | $322717.79    | 0.08%             | 2034-08-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2331191.96   | 0.55%             | 2024-03-05      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER FIN CA                              | Schlumberger Finance Canada Ltd                                                 | CUSIP: 80685XAC5<br>LEI: 549300P4EXZFF0LRNF59 | Long             | DBT              | CORP              | CA        |    360000 | PA      | $329729.74    | 0.08%             | 2025-09-17      | Fixed         | 1.40%                 | 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        |    985296 | PA      | $839651.20    | 0.20%             | 2069-04-15      | Fixed         | 1.33%                 | 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        |    229442 | PA      | $213898.98    | 0.05%             | 2052-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                         | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $222347.38    | 0.05%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                            | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    649000 | PA      | $676543.92    | 0.16%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                         | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    305000 | PA      | $277299.42    | 0.07%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Funding 2021-1 LLC                                             | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565035 | PA      | $547456.19    | 0.13%             | 2026-12-21      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    740000 | PA      | $709620.84    | 0.17%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | Comm 2014-UBS2 Mortgage Trust                                                   | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $977306.90    | 0.23%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| BANK LEUMI LE-ISRAEL                             | Bank Leumi Le-Israel BM                                                         | CUSIP: 06326BAA7<br>LEI: 7JDSZWRGUQY2DSTWCR57 | Long             | DBT              | CORP              | IL        |    200000 | PA      | $177000.00    | 0.04%             | 2031-01-29      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                              | PFS Financing Corp                                                              | CUSIP: 69335PEP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    706000 | PA      | $688483.43    | 0.16%             | 2027-08-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $440763.03    | 0.10%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128MENT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199366 | PA      | $190965.23    | 0.05%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                             | Saudi Arabian Oil Co                                                            | CUSIP: 80414L2C8<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    220000 | PA      | $213028.20    | 0.05%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    665000 | PA      | $599296.01    | 0.14%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                         | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1130000 | PA      | $994270.64    | 0.24%             | 2025-11-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                      | Rad CLO 1 Ltd                                                                   | CUSIP: 48661AAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492104.90    | 0.12%             | 2031-07-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                          | Daimler Trucks Finance North America LLC                                        | CUSIP: 233853AF7<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    150000 | PA      | $132163.95    | 0.03%             | 2026-12-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GJG5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1472601.10   | 0.35%             | 2025-09-25      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| LOUIS DREYFUS FINANCE BV                         | Louis Dreyfus Co Finance BV                                                     | CUSIP: 000000000<br>LEI: 5493001HHX62PQCEEH95 | Long             | DBT              | CORP              | NL        |    305000 | PA      | $310628.09    | 0.07%             | 2025-11-27      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2                   | BX Commercial Mortgage Trust 2019-XL                                            | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594601 | PA      | $587269.90    | 0.14%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                     | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $278358.18    | 0.07%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut                   | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NGA3<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   7105000 | PA      | $6909627.42   | 1.64%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2015-GC34                                          | CUSIP: 36250VAE2<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |   1129216 | PA      | $1088610.39   | 0.26%             | 2048-10-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR10 Trust                                           | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527000 | PA      | $433511.46    | 0.10%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2735.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                                    | United States Treasury Bill                                                     | CUSIP: 912796ZD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $23970222.25  | 5.71%             | 2023-11-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                 | CUSIP: 37045XDZ6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    900000 | PA      | $915428.78    | 0.22%             | 2025-10-10      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                          | Metropolitan Life Global Funding I                                              | CUSIP: 59217GEW5<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    795000 | PA      | $762184.42    | 0.18%             | 2025-03-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                      | CUSIP: 14040HBG9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $384576.44    | 0.09%             | 2025-02-05      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                               | TSE Japanese 10 Year Bond s                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -8 | NC      | $141113.63    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    260000 | PA      | $248731.43    | 0.06%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140H7JU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52993 | PA      | $50428.05     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2018-B1 Mortgage Trust                                                | CUSIP: 08162PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2393707.25   | 0.57%             | 2051-01-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2021-STAR                                     | CUSIP: 36264LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $556611.85    | 0.13%             | 2036-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2015-CCRE23 Mortgage Trust                                                 | CUSIP: 12593ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1425207.60   | 0.34%             | 2048-05-10      | Fixed         | 3.50%                 | 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      | $499843.90    | 0.12%             | 2039-10-15      | Floating      | 6.58%                 | 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      | $543516.51    | 0.13%             | 2027-08-16      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                   | Government National Mortgage Association                                        | CUSIP: 38380HHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    458345 | PA      | $422313.86    | 0.10%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2018-BILT                                                              | CUSIP: 05606JAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $255742.73    | 0.06%             | 2030-05-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2015-LC21 Mortgage Trust                                                   | CUSIP: 12593FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4533783 | PA      | $57718.69     | 0.01%             | 2048-07-10      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| STATE OF QATAR                                   | Qatar Government International Bond                                             | CUSIP: 74727PBD2<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |    251000 | PA      | $242183.63    | 0.06%             | 2030-04-16      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                         | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKG9<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    535000 | PA      | $529952.99    | 0.13%             | 2024-09-20      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210549 | PA      | $202729.28    | 0.05%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4JH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36308 | PA      | $34999.72     | 0.01%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQRM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331735 | PA      | $329990.73    | 0.08%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31419A3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       485 | PA      | $487.83       | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2015-C29                                  | CUSIP: 94989KAV5<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1904149.00   | 0.45%             | 2048-06-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2018-B2 Mortgage Trust                                                | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1682577.93   | 0.40%             | 2051-02-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401314 | PA      | $393149.84    | 0.09%             | 2033-09-01      | Fixed         | 4.00%                 | 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        |   1527600 | PA      | $1499274.68   | 0.36%             | 2068-11-15      | Floating      | 5.22%                 | 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        |     81118 | PA      | $65865.93     | 0.02%             | 2049-04-20      | Fixed         | 4.00%                 | 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      | $750485.57    | 0.18%             | 2049-11-10      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                    | Discover Bank                                                                   | CUSIP: 25466AAQ4<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    250000 | PA      | $236472.58    | 0.06%             | 2024-09-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 31307WTN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1046546 | PA      | $1026099.48   | 0.24%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     57000 | PA      | $51849.54     | 0.01%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor                   | Taubman Centers Commercial Mortgage Trust 2022-DPM                              | CUSIP: 87666YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $262167.25    | 0.06%             | 2037-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding                       | Donlen Fleet Lease Funding 2 LLC                                                | CUSIP: 257812AD9<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |    616847 | PA      | $596081.81    | 0.14%             | 2034-12-11      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    310000 | PA      | $289533.95    | 0.07%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FHZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23685 | PA      | $22145.49     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                    | CUSIP: 11135FAY7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1475057.81   | 0.35%             | 2024-10-15      | Fixed         | 3.62%                 | 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        |    155694 | PA      | $140769.56    | 0.03%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | US 5 YEAR TREASURY NOTE                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -435 | NC      | $266999.52    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                           | NXP BV / NXP Funding LLC                                                        | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1800000 | PA      | $1784025.00   | 0.42%             | 2024-03-01      | Fixed         | 4.88%                 | 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        |    115040 | PA      | $105320.03    | 0.03%             | 2068-10-15      | Fixed         | 2.40%                 | 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        |   1087000 | PA      | $1097494.22   | 0.26%             | 2028-04-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1679736 | PA      | $1613130.49   | 0.38%             | 2043-09-01      | Fixed         | 4.00%                 | 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        |   3234000 | PA      | $3144237.42   | 0.75%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                               | Raytheon Technologies Corp                                                      | CUSIP: 913017CR8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1303704.99   | 0.31%             | 2027-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2021-4                                   | CUSIP: 80285VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228986 | PA      | $227955.46    | 0.05%             | 2025-08-15      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                           | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAR8<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    305000 | PA      | $251632.81    | 0.06%             | 2029-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QABC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40048 | PA      | $37618.76     | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EPT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152234 | PA      | $148195.63    | 0.04%             | 2045-06-01      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                 | Crown Castle Inc                                                                | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    500000 | PA      | $475417.51    | 0.11%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                             | Diameter Capital Clo 2 Ltd                                                      | CUSIP: 25255LAC6<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241131.30    | 0.06%             | 2036-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    285000 | PA      | $253237.63    | 0.06%             | 2028-01-21      | Fixed         | 2.48%                 | 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        |    500000 | PA      | $492985.45    | 0.12%             | 2031-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                           | Mosaic Solar Loan Trust 2022-2                                                  | CUSIP: 61946UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180112 | PA      | $169223.46    | 0.04%             | 2053-01-21      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | Eurex 5 Year Euro BOBL                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -24 | NC      | $91949.43     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2015-C27                                  | CUSIP: 94989DAW9<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $470967.21    | 0.11%             | 2048-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                           | Roper Technologies Inc                                                          | CUSIP: 776743AM8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    465000 | PA      | $416622.71    | 0.10%             | 2025-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                 | Peruvian Government International Bond                                          | CUSIP: 715638DP4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     45000 | PA      | $32844.38     | 0.01%             | 2032-12-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2022-AGSS                                     | CUSIP: 36265XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $751318.14    | 0.18%             | 2039-08-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                         | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500120.77    | 0.12%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term                    | GM Financial Consumer Automobile Receivables Trust 2022-1                       | CUSIP: 380146AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277000 | PA      | $253583.58    | 0.06%             | 2028-04-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                | CUSIP: 05526DBG9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    700000 | PA      | $669820.34    | 0.16%             | 2024-09-06      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC.                                   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: LCZ7XYGSLJUHFXXNXD88 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-146812.70   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GRP NY                         | Australia & New Zealand Banking Group Ltd/New York NY                           | CUSIP: 05254JAA8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    910000 | PA      | $913652.15    | 0.22%             | 2025-12-08      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        12 | NC      | $-6853.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    390000 | PA      | $357688.00    | 0.09%             | 2027-01-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | CGMS Commercial Mortgage Trust 2017-B1                                          | CUSIP: 17326CBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141640 | PA      | $1085276.38   | 0.26%             | 2050-08-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| DIGITAL EURO FINCO                               | Digital Euro Finco LLC                                                          | CUSIP: 000000000<br>LEI: 635400OUEAPTXSW3SC91 | Long             | DBT              | CORP              | US        |    515000 | PA      | $534566.89    | 0.13%             | 2024-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    510000 | PA      | $445965.26    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                     | Drive Auto Receivables Trust 2021-3                                             | CUSIP: 262081AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1137379 | PA      | $1129352.59   | 0.27%             | 2025-10-15      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                     | ING Groep NV                                                                    | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $187860.76    | 0.04%             | 2028-01-11      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | ORACLE CORP                                                                     | CUSIP: 68389XBN4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    585000 | PA      | $537301.66    | 0.13%             | 2027-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                   | SoFi Professional Loan Program 2016-D LLC                                       | CUSIP: 83404LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10155 | PA      | $9944.53      | 0.00%             | 2033-04-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| CIBANCO SA/PLA ADMIN                             | Cibanco SA Ibm / PLA Administradora Industrial S de RL de CV                    | CUSIP: 17162LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    200000 | PA      | $182037.50    | 0.04%             | 2029-07-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                          | BMW Vehicle Owner Trust 2019-A                                                  | CUSIP: 05588CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100617 | PA      | $1090953.12   | 0.26%             | 2026-01-26      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                         | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $502311.30    | 0.12%             | 2023-03-14      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl                   | Santander Drive Auto Receivables Trust 2022-3                                   | CUSIP: 80285UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080000 | PA      | $1060190.96   | 0.25%             | 2026-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    630000 | PA      | $563989.46    | 0.13%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Financing 2020-1 LLC                                           | CUSIP: 29373KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196883 | PA      | $195988.23    | 0.05%             | 2025-12-22      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                         | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    310000 | PA      | $276305.14    | 0.07%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                         | Bayer AG                                                                        | CUSIP: 000000000<br>LEI: 549300J4U55H3WP1XT59 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $189216.60    | 0.05%             | 2027-01-06      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                      | Equinix Inc                                                                     | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    600000 | PA      | $513567.68    | 0.12%             | 2027-07-15      | Fixed         | 1.80%                 | 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        |    508808 | PA      | $457317.00    | 0.11%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON EURO                            | Becton Dickinson Euro Finance Sarl                                              | CUSIP: 07589LAC1<br>LEI: 549300W40NLZ25XUTH09 | Long             | DBT              | CORP              | LU        |    100000 | PA      | $98024.32     | 0.02%             | 2026-06-04      | Fixed         | 1.21%                 | 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        |    134170 | PA      | $97356.41     | 0.02%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                   | Barclays Commercial Mortgage Trust 2019-C3                                      | CUSIP: 05550MAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $341241.00    | 0.08%             | 2052-05-15      | Fixed         | 4.10%                 | 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        |    100000 | PA      | $81618.03     | 0.02%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.      | 10 YEAR US TREASURY NOTE                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -44 | NC      | $104246.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                          | Nissan Motor Acceptance Co LLC                                                  | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    186000 | PA      | $155279.91    | 0.04%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                   | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                          | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $483255.55    | 0.12%             | 2036-05-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                 | Peruvian Government International Bond                                          | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     43000 | PA      | $41207.44     | 0.01%             | 2027-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CELULOSA ARAUCO CONSTITU                         | Celulosa Arauco y Constitucion SA                                               | CUSIP: 151191BJ1<br>LEI: 549300QEKV8G0AMNQD28 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $186162.50    | 0.04%             | 2030-01-29      | Fixed         | 4.20%                 | 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        |   1038462 | PA      | $993561.66    | 0.24%             | 2053-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2020-EXP3 Trust                                                             | CUSIP: 67448WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $969667.20    | 0.23%             | 2060-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                   | JPMBB Commercial Mortgage Securities Trust 2014-C25                             | CUSIP: 46643PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379844 | PA      | $364414.06    | 0.09%             | 2047-11-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                               | Steel Dynamics Inc                                                              | CUSIP: 858119BL3<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23442.00     | 0.01%             | 2025-06-15      | Fixed         | 2.40%                 | 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        |    879786 | PA      | $812852.27    | 0.19%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Tr                   | BA Credit Card Trust                                                            | CUSIP: 05522RDE5<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   4763000 | PA      | $4631672.18   | 1.10%             | 2027-11-15      | Fixed         | 3.53%                 | 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        |     82365 | PA      | $69518.22     | 0.02%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61744YAN8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169843.95    | 0.04%             | 2023-01-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                  | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-39788.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                          | John Deere Capital Corp                                                         | CUSIP: 24422EWJ4<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    565000 | PA      | $556066.86    | 0.13%             | 2025-09-08      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29278NAH6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492882.14    | 0.12%             | 2024-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                               | CUSIP: 3136B1RK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149748 | PA      | $145815.33    | 0.03%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138AN4X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21795 | PA      | $21753.72     | 0.01%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-980M                                                                  | CUSIP: 12659RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $138655.47    | 0.03%             | 2031-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-ATH1                                                                  | CUSIP: 12660BAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315318 | PA      | $288430.02    | 0.07%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                             | FS RIALTO                                                                       | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    310000 | PA      | $301519.52    | 0.07%             | 2038-05-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut                   | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NFZ9<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   3331000 | PA      | $3192741.18   | 0.76%             | 2027-03-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1945538.75   | 0.46%             | 2024-12-05      | Fixed         | 4.02%                 | 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      | $854394.40    | 0.20%             | 2052-09-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $479385.22    | 0.11%             | 2025-02-04      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2414788 | PA      | $2319404.05   | 0.55%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                         | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    200000 | PA      | $159662.50    | 0.04%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $464846.93    | 0.11%             | 2025-05-30      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                  | Nissan Motor Co Ltd                                                             | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    755000 | PA      | $701318.84    | 0.17%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458604 | PA      | $456617.73    | 0.11%             | 2037-09-01      | Fixed         | 4.50%                 | 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      | $398922.21    | 0.09%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2014-III Ltd                                                       | CUSIP: 12549QBA2<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $986748.30    | 0.23%             | 2031-10-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WJJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693655 | PA      | $648617.99    | 0.15%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QAUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476256 | PA      | $466575.40    | 0.11%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit                   | Bain Capital Credit CLO 2021-5 Ltd                                              | CUSIP: 05682EAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $477264.10    | 0.11%             | 2034-10-23      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    224000 | PA      | $200576.18    | 0.05%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt                   | Benefit Street Partners CLO III Ltd                                             | CUSIP: 08180EBJ2<br>LEI: 549300Y1V90IQ456QX97 | Long             | ABS-CBDO         | CORP              | KY        |    644832 | PA      | $640684.08    | 0.15%             | 2029-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     82000 | PA      | $81127.49     | 0.02%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                     | Ford Credit Auto Owner Trust 2021-A                                             | CUSIP: 34532NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421497 | PA      | $409431.94    | 0.10%             | 2025-08-15      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    410000 | PA      | $365058.00    | 0.09%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GJY6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    772000 | PA      | $753634.60    | 0.18%             | 2024-06-14      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2018-3                               | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1290360 | PA      | $1224099.50   | 0.29%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note T                   | Discover Card Execution Note Trust                                              | CUSIP: 254683CW3<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |   4148000 | PA      | $4026840.65   | 0.96%             | 2027-07-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQA47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270178 | PA      | $271719.90    | 0.06%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138EQHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279846 | PA      | $287178.09    | 0.07%             | 2043-07-01      | Floating      | 3.37%                 | 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        |    250000 | PA      | $229461.68    | 0.05%             | 2052-11-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| INVERSIONES CMPC SA                              | Inversiones CMPC SA                                                             | CUSIP: 46128MAJ0<br>LEI: 549300G475ACIABB4385 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $193100.00    | 0.05%             | 2027-04-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2014-UBS6 Mortgage Trust                                                   | CUSIP: 12592PBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422111 | PA      | $413777.99    | 0.10%             | 2047-12-10      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| QATAR ENERGY TRADING LLC                         | QatarEnergy Trading LLC                                                         | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    200000 | PA      | $165037.50    | 0.04%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                              | PFS Financing Corp                                                              | CUSIP: 69335PDZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $216413.85    | 0.05%             | 2026-04-15      | Fixed         | 0.71%                 | 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        |    161801 | PA      | $158958.11    | 0.04%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN LEASING GMBH                          | Volkswagen Leasing GmbH                                                         | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |    125000 | PA      | $125888.67    | 0.03%             | 2025-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner                    | Toyota Auto Receivables 2020-C Owner Trust                                      | CUSIP: 89237VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2363853.75   | 0.56%             | 2025-10-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123236 | PA      | $117277.47    | 0.03%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023BW4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    450000 | PA      | $448320.74    | 0.11%             | 2023-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| SABIC CAPITAL I BV                               | SABIC Capital I BV                                                              | CUSIP: 000000000<br>LEI: 213800LBMMAIG1FQP389 | Long             | DBT              | CORP              | NL        |    232000 | PA      | $194561.00    | 0.05%             | 2030-09-14      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term                    | GM Financial Consumer Automobile Receivables Trust 2022-2                       | CUSIP: 362585AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    629000 | PA      | $600804.45    | 0.14%             | 2028-04-17      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2022-BNK42                                                                 | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $334432.67    | 0.08%             | 2055-06-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1420588.75   | 0.34%             | 2027-08-15      | Fixed         | 3.56%                 | 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        |    735530 | PA      | $650868.51    | 0.15%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun                   | American Express Credit Account Master Trust                                    | CUSIP: 02582JJT8<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   3884000 | PA      | $3770225.99   | 0.90%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                 | Altria Group Inc                                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    260000 | PA      | $244897.15    | 0.06%             | 2025-05-06      | Fixed         | 2.35%                 | 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        |    507000 | PA      | $496524.72    | 0.12%             | 2026-11-16      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                   | Mariner Finance Issuance Trust 2021-A                                           | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $120023.54    | 0.03%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137BKUK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118406 | PA      | $115903.27    | 0.03%             | 2042-10-15      | Fixed         | 3.75%                 | 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        |    311854 | PA      | $294432.86    | 0.07%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                              | NatWest Markets PLC                                                             | CUSIP: 63906YAD0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    427000 | PA      | $370762.06    | 0.09%             | 2026-09-29      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FRJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189420 | PA      | $180246.72    | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                | Eurex 2 Year Euro SCHATZ                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |       -57 | NC      | $74088.25     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137AHGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65277 | PA      | $64504.84     | 0.02%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                       | Nucor Corp                                                                      | CUSIP: 670346AR6<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83757.33     | 0.02%             | 2025-06-01      | Fixed         | 2.00%                 | 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        |    207411 | PA      | $201016.97    | 0.05%             | 2029-09-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| APTIV PLC / APTIV CORP                           | Aptiv PLC / Aptiv Corp                                                          | CUSIP: 00217GAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    640000 | PA      | $603514.94    | 0.14%             | 2025-02-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2015-K45 Mortgage Trust                                                   | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $276773.77    | 0.07%             | 2048-04-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138W1LP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25487 | PA      | $24229.53     | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                      | Federal Home Loan Mortgage Corp                                                 | CUSIP: 3134GWYB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   2000000 | PA      | $1724242.08   | 0.41%             | 2027-10-13      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                    | Sempra Energy                                                                   | CUSIP: 816851BN8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    320000 | PA      | $306863.86    | 0.07%             | 2025-04-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                           | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1056469.23   | 0.25%             | 2025-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8B91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377135 | PA      | $350265.32    | 0.08%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                               | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    465000 | PA      | $488691.93    | 0.12%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                          | Carmax Auto Owner Trust 2021-1                                                  | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905320 | PA      | $875148.39    | 0.21%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2014-LC15 Mortgage Trust                                                   | CUSIP: 12591TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1221724.25   | 0.29%             | 2047-04-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| BROADCOM CRP / CAYMN FI                          | Broadcom Corp / Broadcom Cayman Finance Ltd                                     | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1200000 | PA      | $1135068.18   | 0.27%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    285000 | PA      | $283088.34    | 0.07%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2013-GC13                                          | CUSIP: 36198EAE5<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $620037.19    | 0.15%             | 2046-07-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                           | BP Capital Markets PLC                                                          | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    360000 | PA      | $372128.67    | 0.09%             | 2025-03-03      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                   | JPMBB Commercial Mortgage Securities Trust 2014-C21                             | CUSIP: 46642EAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $485260.15    | 0.12%             | 2047-08-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur                   | BHG Securitization Trust 2022-B                                                 | CUSIP: 05553DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102169 | PA      | $100528.96    | 0.02%             | 2035-06-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PUBLICIS GROUPE SA                               | Publicis Groupe SA                                                              | CUSIP: 000000000<br>LEI: 2138004KW8BV57III342 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $309795.08    | 0.07%             | 2024-12-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                | Cedar Funding VII Clo Ltd                                                       | CUSIP: 15032FAC0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |    875000 | PA      | $840836.94    | 0.20%             | 2031-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    821000 | PA      | $762131.22    | 0.18%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                         | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $289343.49    | 0.07%             | 2027-05-28      | Fixed         | 2.85%                 | 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        |    451582 | PA      | $376383.32    | 0.09%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                              | American Express Co                                                             | CUSIP: 025816CS6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1005222.04   | 0.24%             | 2027-03-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    800000 | PA      | $825843.62    | 0.20%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    910000 | PA      | $856987.80    | 0.20%             | 2025-05-15      | Fixed         | 2.90%                 | 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      | $227156.04    | 0.05%             | 2055-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                      | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    700000 | PA      | $682226.68    | 0.16%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FIBRIA OVERSEAS FINANCE                          | Fibria Overseas Finance Ltd                                                     | CUSIP: 31572UAF3<br>LEI: 549300WABWKSHESAMG92 | Long             | DBT              | CORP              | KY        |     26000 | PA      | $26029.25     | 0.01%             | 2027-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522353 | PA      | $519606.84    | 0.12%             | 2037-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                 | CUSIP: 37045XCV6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    600000 | PA      | $568292.96    | 0.14%             | 2025-02-26      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                              | PFS Financing Corp                                                              | CUSIP: 69335PDP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $979718.40    | 0.23%             | 2025-06-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PBF2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    940000 | PA      | $885811.27    | 0.21%             | 2025-10-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAQ8<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    469518 | PA      | $457986.54    | 0.11%             | 2050-05-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87148.51     | 0.02%             | 2027-01-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                              | Elevance Health Inc                                                             | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    860000 | PA      | $869519.00    | 0.21%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                    | United States Treasury Bill                                                     | CUSIP: 912796YJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4831065.95   | 1.15%             | 2023-10-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WFNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149590 | PA      | $143103.46    | 0.03%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                | Kinder Morgan Inc                                                               | CUSIP: 49456BAF8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    800000 | PA      | $784547.91    | 0.19%             | 2025-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                              | General Electric Co                                                             | CUSIP: 369604BL6<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    175000 | PA      | $172844.12    | 0.04%             | 2027-05-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                   | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                 | CUSIP: 46655AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $121847.60    | 0.03%             | 2039-01-05      | Fixed         | 3.38%                 | 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        |    880644 | PA      | $859616.42    | 0.20%             | 2037-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MARATHON PETROLEUM CORP                          | Marathon Petroleum Corp                                                         | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    235000 | PA      | $231406.76    | 0.06%             | 2025-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 45 Senior Loan Fund                                                      | CUSIP: 26244MAQ5<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $672647.50    | 0.16%             | 2030-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9538 | PA      | $9114.59      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                               | UNITED TECHNOLOGIES CORP                                                        | CUSIP: 913017DB2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29747.48     | 0.01%             | 2023-08-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                    | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    595000 | PA      | $576279.43    | 0.14%             | 2028-08-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    415000 | PA      | $364734.57    | 0.09%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FE3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665220 | PA      | $654319.69    | 0.16%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                        | Anchorage Capital CLO 7 Ltd                                                     | CUSIP: 03328TBA2<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $463890.24    | 0.11%             | 2031-01-28      | Floating      | 5.46%                 | 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        |   4330542 | PA      | $68657.28     | 0.02%             | 2048-09-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2016-2                                                 | CUSIP: 46647CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89484 | PA      | $81861.27     | 0.02%             | 2046-06-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| CONTI-GUMMI FINANCE B.V.                         | Conti-Gummi Finance BV                                                          | CUSIP: 000000000<br>LEI: 7245005XLGUQL4UWDV24 | Long             | DBT              | CORP              | NL        |    395000 | PA      | $405883.35    | 0.10%             | 2024-09-25      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                              | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     29000 | PA      | $24211.38     | 0.01%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                   | Wells Fargo Commercial Mortgage Trust 2017-C39                                  | CUSIP: 95000XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698000 | PA      | $1562478.88   | 0.37%             | 2050-09-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                      | ONE Gas Inc                                                                     | CUSIP: 68235PAL2<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |   1282000 | PA      | $1229264.28   | 0.29%             | 2024-03-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| PEACEHEALTH OBLIGATED GR                         | PeaceHealth Obligated Group                                                     | CUSIP: 70462GAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    114000 | PA      | $102172.30    | 0.02%             | 2025-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                      | Equinix Inc                                                                     | CUSIP: 29444UBF2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $949424.97    | 0.23%             | 2025-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| HSBC USA INC                                     | HSBC USA INC                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1426258.10   | 0.34%             | 2023-06-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                          | CUSIP: 91324PEN8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    230000 | PA      | $232623.20    | 0.06%             | 2025-10-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Octagon Investments Partners 3                   | Octagon Investment Partners 36 Ltd                                              | CUSIP: 67591UAC1<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |    435000 | PA      | $428489.27    | 0.10%             | 2031-04-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                     | Ford Credit Auto Owner Trust 2022-D                                             | CUSIP: 345295AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    993000 | PA      | $1002855.43   | 0.24%             | 2027-05-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WGZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8126 | PA      | $7773.13      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                        | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -14100000 | PA      | $-13567813.69 | -3.23%            | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AGL CLO 3 Ltd.                                   | AGL CLO 3 LTD                                                                   | CUSIP: 00119MAA7<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245473.73    | 0.06%             | 2033-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                   | Palmer Square Loan Funding 2021-3 Ltd                                           | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    759017 | PA      | $748251.91    | 0.18%             | 2029-07-20      | Floating      | 5.04%                 | 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        |    541288 | PA      | $512607.31    | 0.12%             | 2047-08-26      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                           | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAA4<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    245000 | PA      | $243301.55    | 0.06%             | 2023-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                | General Mills Inc                                                               | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    155000 | PA      | $155385.94    | 0.04%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                              | Synchrony Financial                                                             | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1129295.84   | 0.27%             | 2024-03-19      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                     | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    310000 | PA      | $316939.41    | 0.08%             | 2025-11-10      | Fixed         | 5.80%                 | 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        |    548136 | PA      | $531643.05    | 0.13%             | 2062-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    345000 | PA      | $320418.97    | 0.08%             | 2025-04-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                          | CarMax Auto Owner Trust 2021-2                                                  | CUSIP: 14314QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    876546 | PA      | $843507.44    | 0.20%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278517 | PA      | $268362.76    | 0.06%             | 2039-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun                   | American Express Credit Account Master Trust                                    | CUSIP: 02589BAA8<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1711000 | PA      | $1612975.61   | 0.38%             | 2027-03-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1330000 | PA      | $1130559.28   | 0.27%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                   | Pikes Peak CLO 8                                                                | CUSIP: 72133CAC6<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239639.03    | 0.06%             | 2034-07-20      | Floating      | 5.99%                 | 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        |    841386 | PA      | $767430.34    | 0.18%             | 2049-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 31418CVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145002 | PA      | $138900.18    | 0.03%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                         | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDH4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    270000 | PA      | $242765.05    | 0.06%             | 2026-06-24      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T                   | Honda Auto Receivables 2021-1 Owner Trust                                       | CUSIP: 43813GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    722280 | PA      | $698665.11    | 0.17%             | 2025-04-21      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138WNZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18463 | PA      | $17573.52     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Loan Enhanced                    | Volkswagen Auto Loan Enhanced Trust 2021-1                                      | CUSIP: 92868KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1223000 | PA      | $1162292.36   | 0.28%             | 2026-06-22      | Fixed         | 1.02%                 | 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      | $483346.92    | 0.12%             | 2049-11-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                          | Romanian Government International Bond                                          | CUSIP: 77586RAL4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     86000 | PA      | $68198.00     | 0.02%             | 2032-03-27      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 03027XAZ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1321786.19   | 0.31%             | 2025-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300M2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213994 | PA      | $212255.31    | 0.05%             | 2045-03-01      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FRESENIUS FIN IRELAND PL                         | Fresenius Finance Ireland PLC                                                   | CUSIP: 000000000<br>LEI: 549300GFSOR556BX2290 | Long             | DBT              | CORP              | IE        |    310000 | PA      | $295891.33    | 0.07%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                    | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    645000 | PA      | $627163.31    | 0.15%             | 2024-07-30      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X5AA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358104 | PA      | $1296217.87   | 0.31%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                         | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAF9<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $163998.23    | 0.04%             | 2028-06-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $930630.98    | 0.22%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                      | OCP CLO 2020-19 Ltd                                                             | CUSIP: 670881AP6<br>LEI: 254900ZMV4RGFPV8TK42 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $238613.50    | 0.06%             | 2034-10-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137F4TS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343873 | PA      | $331183.64    | 0.08%             | 2045-10-15      | Fixed         | 3.50%                 | 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        |    401779 | PA      | $364731.51    | 0.09%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                              | Synchrony Financial                                                             | CUSIP: 87165BAG8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    582000 | PA      | $557881.18    | 0.13%             | 2025-07-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-INV3                                            | CUSIP: 46593FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393226 | PA      | $328236.58    | 0.08%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                     | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     43000 | PA      | $39522.29     | 0.01%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                              | LCM XXI LP                                                                      | CUSIP: 50189CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    117939 | PA      | $116711.15    | 0.03%             | 2028-04-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137FVBQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721804 | PA      | $641254.34    | 0.15%             | 2045-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                    | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $682197.18    | 0.16%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-NWPT                                                                  | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $274595.80    | 0.07%             | 2024-09-09      | Floating      | 7.48%                 | 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        |    342083 | PA      | $306363.23    | 0.07%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                  | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1040654.30   | 0.25%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                         | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397669.24    | 0.09%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $285004.74    | 0.07%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    700000 | PA      | $677069.88    | 0.16%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBL0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41361.81     | 0.01%             | 2028-10-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                   | LoanCore 2021-CRE5 Issuer Ltd                                                   | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    220000 | PA      | $211412.19    | 0.05%             | 2036-07-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                    | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253275.59    | 0.06%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                 | Duke Energy Corp                                                                | CUSIP: 26441CBV6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    610000 | PA      | $608678.15    | 0.14%             | 2025-12-08      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627276 | PA      | $624364.73    | 0.15%             | 2037-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                    | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                               | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549275 | PA      | $440900.30    | 0.10%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-INV3 Trust                                                             | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204548 | PA      | $170486.18    | 0.04%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                           | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |    434000 | PA      | $365411.28    | 0.09%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                         | Toyota Motor Credit Corp                                                        | CUSIP: 89236TKK0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    800000 | PA      | $812304.45    | 0.19%             | 2025-11-10      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636283 | PA      | $633332.02    | 0.15%             | 2037-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2021-INV2 Trust                                                             | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313674 | PA      | $256057.60    | 0.06%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MGNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16924 | PA      | $16089.50     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                         | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCD0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    825000 | PA      | $726560.75    | 0.17%             | 2026-01-12      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                         | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    245000 | PA      | $218328.74    | 0.05%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                    | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    800000 | PA      | $775789.94    | 0.18%             | 2025-05-07      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    807000 | PA      | $797570.09    | 0.19%             | 2026-07-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J8X73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3726450 | PA      | $3578681.75   | 0.85%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J9NG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2034494 | PA      | $1999857.92   | 0.48%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAW8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |   1465000 | PA      | $1376001.25   | 0.33%             | 2025-05-01      | Fixed         | 2.70%                 | 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        |   1547479 | PA      | $1445624.16   | 0.34%             | 2070-10-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2013-GC16                                          | CUSIP: 36248GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340565 | PA      | $338426.53    | 0.08%             | 2046-11-10      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                      | Southern Co/The                                                                 | CUSIP: 842587DC8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1471331.02   | 0.35%             | 2024-08-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQAL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682168 | PA      | $677678.62    | 0.16%             | 2037-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                             | Booking Holdings Inc                                                            | CUSIP: 09857LAD0<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197321.19    | 0.05%             | 2027-03-03      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                  | Nissan Motor Co Ltd                                                             | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    155000 | PA      | $145257.76    | 0.03%             | 2028-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                           | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBY5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    550000 | PA      | $486781.28    | 0.12%             | 2027-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133509 | PA      | $127291.10    | 0.03%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                               | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4057238 | PA      | $3981822.20   | 0.95%             | 2052-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-D                                | CUSIP: 63942CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480819 | PA      | $442395.87    | 0.11%             | 2060-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                          | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    535000 | PA      | $504852.09    | 0.12%             | 2025-01-12      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                | General Mills Inc                                                               | CUSIP: 000000000<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    385000 | PA      | $375155.79    | 0.09%             | 2026-01-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                | Generate CLO 2 Ltd                                                              | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1481518.95   | 0.35%             | 2031-01-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                            | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    470000 | PA      | $447685.42    | 0.11%             | 2028-08-04      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQAY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471343 | PA      | $474462.26    | 0.11%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                  | United States Treasury Note/Bond                                                | CUSIP: 91282CEA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $12530781.25  | 2.98%             | 2024-02-29      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                            | Indonesia Government International Bond                                         | CUSIP: 455780DJ2<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    271000 | PA      | $245962.31    | 0.06%             | 2032-03-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr                   | Credit Acceptance Auto Loan Trust 2020-2                                        | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116290 | PA      | $115129.07    | 0.03%             | 2029-07-16      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                              | Beast Mortgage Trust                                                            | CUSIP: 05601PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $957967.00    | 0.23%             | 2036-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    570000 | PA      | $572437.88    | 0.14%             | 2026-09-29      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    285000 | PA      | $247533.19    | 0.06%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2013-SFS Mortgage Trust                                                    | CUSIP: 12625EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18631 | PA      | $18466.91     | 0.00%             | 2035-04-12      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                    | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1142288.40   | 0.27%             | 2024-12-10      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                  | Nissan Motor Co Ltd                                                             | CUSIP: 000000000<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    100000 | PA      | $99217.87     | 0.02%             | 2026-03-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1420000 | PA      | $1405846.29   | 0.33%             | 2025-07-18      | Fixed         | 4.79%                 | 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      | $405835.45    | 0.10%             | 2027-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                 | Peruvian Government International Bond                                          | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     94000 | PA      | $77714.50     | 0.02%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr                   | Credit Acceptance Auto Loan Trust 2022-3                                        | CUSIP: 22534QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452000 | PA      | $454018.99    | 0.11%             | 2032-10-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                         | Ford Motor Credit Co LLC                                                        | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    500000 | PA      | $493425.00    | 0.12%             | 2024-03-18      | Fixed         | 5.58%                 | 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        |   2113000 | PA      | $2064096.09   | 0.49%             | 2027-05-17      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15                     | CUSIP: 61763KBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1812546.20   | 0.43%             | 2047-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2018-BNK10                                                                 | CUSIP: 065404AZ8<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1318269.98   | 0.31%             | 2061-02-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term                    | GM Financial Consumer Automobile Receivables Trust 2022-2                       | CUSIP: 362585AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931000 | PA      | $901675.92    | 0.21%             | 2027-02-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2016-C2                                     | CUSIP: 17291CBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1396285 | PA      | $1336674.22   | 0.32%             | 2049-08-10      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GKE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1484903.71   | 0.35%             | 2025-12-06      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON EURO                            | Becton Dickinson Euro Finance Sarl                                              | CUSIP: 07589LAB3<br>LEI: 549300W40NLZ25XUTH09 | Long             | DBT              | CORP              | LU        |    665000 | PA      | $706061.92    | 0.17%             | 2023-06-04      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2022-IND                                                               | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840228 | PA      | $822334.06    | 0.20%             | 2037-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                      | CUSIP: 14040HCA1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394985.65    | 0.09%             | 2024-01-29      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QQRR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488675 | PA      | $486557.34    | 0.12%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2015-CCRE23 Mortgage Trust                                                 | CUSIP: 12593ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1885441 | PA      | $28963.95     | 0.01%             | 2048-05-10      | Variable      | 0.86%                 | 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      | $71882.17     | 0.02%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN LEASING GMBH                          | Volkswagen Leasing GmbH                                                         | CUSIP: 000000000<br>LEI: 5299004GLEUX88BSNB74 | Long             | DBT              | CORP              | DE        |    930000 | PA      | $992954.04    | 0.24%             | 2023-02-16      | Fixed         | 1.00%                 | 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        |   2722000 | PA      | $2650717.08   | 0.63%             | 2026-08-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                    | Citigroup Commercial Mortgage Trust 2016-P4                                     | CUSIP: 29429EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1027455 | PA      | $981416.01    | 0.23%             | 2049-07-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                             | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1408847.30   | 0.34%             | 2027-01-15      | Fixed         | 2.15%                 | 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        |    507194 | PA      | $428369.89    | 0.10%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2014-CR14 Mortgage Trust                                                   | CUSIP: 12630DAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185797 | PA      | $184268.63    | 0.04%             | 2047-02-10      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                               | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    645000 | PA      | $635762.38    | 0.15%             | 2024-05-22      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-                   | One New York Plaza Trust 2020-1NYP                                              | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $547168.81    | 0.13%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10                     | CUSIP: 61762MBW0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1984177.00   | 0.47%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19495.67     | 0.00%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    800000 | PA      | $697325.82    | 0.17%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    575000 | PA      | $534740.89    | 0.13%             | 2026-11-21      | Fixed         | 2.95%                 | 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        |    163795 | PA      | $145637.87    | 0.03%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE LUX SA                            | Holcim Finance Luxembourg SA                                                    | CUSIP: 000000000<br>LEI: 529900XU3Z9D2HLBR716 | Long             | DBT              | CORP              | LU        |    285000 | PA      | $258025.42    | 0.06%             | 2027-07-19      | Fixed         | 0.12%                 | 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      | $239052.35    | 0.06%             | 2034-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                                                      | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    195000 | PA      | $182961.72    | 0.04%             | 2029-02-08      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Tr                   | Credit Acceptance Auto Loan Trust 2022-1                                        | CUSIP: 22534LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $759500.90    | 0.18%             | 2032-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                   | GoodLeap Sustainable Home Solutions Trust 2021-4                                | CUSIP: 38237GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150289 | PA      | $114499.08    | 0.03%             | 2048-07-20      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Fairstone Financial Issuance T                   | Fairstone Financial Issuance Trust I                                            | CUSIP: 30575PAN6<br>LEI: 549300LY2ZF7LX6T3F37 | Long             | ABS-O            | CORP              | CA        |    510000 | PA      | $367443.96    | 0.09%             | 2039-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87845.41     | 0.02%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                         | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CT7<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    590000 | PA      | $591914.82    | 0.14%             | 2027-11-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

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

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer