# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0001752724-23-037508
**Filing Date:** 2023-2
**Character Count:** 913422
**Document Hash:** 0a7dbddd51ccd7762e9791a629895765
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-037508.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-037508

**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:** 23661323

**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 A (Series ID: S000047014)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000146955 | BATS SERIES A |  |

## Nport-Ex

Schedule of Investments (unaudited)

December 31, 2022

#### BATS: Series A 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** |
| 510 Loan Acquisition Trust, Series 2020-1, Class A, 5.11%, 09/25/60<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$557082 |
| 522 Funding CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-3A, Class CR, (3 mo. LIBOR US + 2.05%), 6.29%, 10/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 467533 |
| &nbsp;&nbsp;&nbsp;Series 2019-5A, Class AR, (3 mo. CME Term SOFR + 1.33%), 5.19%, 04/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 413567 |
| ABFC Trust, Series 2007-WMC1, Class A2B, (1 mo. LIBOR US + 1.00%), 5.39%, 06/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2332723 |
| AccessLex Institute, Series 2007-A, Class A3, (3 mo. LIBOR US + 0.30%), 5.06%, 05/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3291 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3191226 |
| ACRES Commercial Realty Ltd., Series 2021-FL1, Class A, (1 mo. LIBOR US + 1.20%), 5.53%, 06/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1422495 |
| AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3 mo. LIBOR US + 1.16%), 5.40%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3895266 |
| AGL CLO 14 Ltd., Series 2021-14A, Class A, (3 mo. LIBOR US + 1.15%), 5.43%, 12/02/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15412700 |
| AGL CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-3A, Class A, (3 mo. LIBOR US + 1.30%), 5.38%, 01/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245474 |
| &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D, (3 mo. LIBOR US + 3.30%), 7.38%, 01/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1116276 |
| AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R, (3 mo. LIBOR US + 1.07%), 5.31%, 04/20/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4260662 |
| AGL Static CLO 18 Ltd., Series 2022-18A, Class B, (3 mo. CME Term SOFR + 2.00%), 5.99%, 04/21/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1749062 |
| AIG CLO Ltd., Series 2018-1A, Class A1R, (3 mo. LIBOR US + 1.12%), 5.36%, 04/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1705830 |
| AIMCO CLO |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-AA, Class AR, (3 mo. LIBOR US + 1.05%), 5.29%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2438537 |
| &nbsp;&nbsp;&nbsp;Series 2018-BA, Class AR, (3 mo. LIBOR US + 1.10%), 5.18%, 01/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982126 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-D, Class B, 0.00%, 12/25/57<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88481 |
| &nbsp;&nbsp;&nbsp;Series 2018-A, Class B, 0.00%, 04/25/58<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46549 |
| &nbsp;&nbsp;&nbsp;Series 2018-B, Class B, 0.00%, 02/26/57<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57048 |
| &nbsp;&nbsp;&nbsp;Series 2018-D, Class B, 0.00%, 08/25/58<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4980 |
| &nbsp;&nbsp;&nbsp;Series 2018-E, Class C, 0.00%, 06/25/58<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8171 |
| &nbsp;&nbsp;&nbsp;Series 2018-F, Class C, 0.00%, 11/25/58<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99903 |
| &nbsp;&nbsp;&nbsp;Series 2019-E, Class A, 3.00%, 09/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1135751 |
| &nbsp;&nbsp;&nbsp;Series 2019-E, Class B, 4.88%, 09/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345533 |
| &nbsp;&nbsp;&nbsp;Series 2019-E, Class C, 0.00%, 09/25/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 687605 |
| &nbsp;&nbsp;&nbsp;Series 2019-G, Class A, 3.00%, 09/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1472053 |
| &nbsp;&nbsp;&nbsp;Series 2019-G, Class B, 4.25%, 09/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195306 |
| &nbsp;&nbsp;&nbsp;Series 2019-G, Class C, 0.00%, 09/25/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307519 |
| &nbsp;&nbsp;&nbsp;Series 2019-H, Class A, 3.00%, 11/25/59<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;&nbsp;&nbsp; 414732 |
| &nbsp;&nbsp;&nbsp;Series 2019-H, Class B, 4.25%, 11/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137145 |
| &nbsp;&nbsp;&nbsp;Series 2019-H, Class C, 0.00%, 11/25/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 317318 |
| &nbsp;&nbsp;&nbsp;Series 2020-A, Class A, 2.38%, 12/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6423366 |
| &nbsp;&nbsp;&nbsp;Series 2020-A, Class B, 3.50%, 12/25/59<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965266 |
| &nbsp;&nbsp;&nbsp;Series 2020-A, Class C, 0.00%, 12/25/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1449768 |
| &nbsp;&nbsp;&nbsp;Series 2020-C, Class A, 2.25%, 09/27/60<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133578 |
| &nbsp;&nbsp;&nbsp;Series 2020-C, Class B, 5.00%, 09/27/60<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;&nbsp;&nbsp; 229039 |
| &nbsp;&nbsp;&nbsp;Series 2020-C, Class C, 0.00%, 09/27/60<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 645774 |
| &nbsp;&nbsp;&nbsp;Series 2020-D, Class A, 2.25%, 06/25/60<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533634 |
| &nbsp;&nbsp;&nbsp;Series 2020-D, Class B, 5.00%, 06/25/60<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320612 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-D, Class C, 0.00%, 06/25/60<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;827 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$693884 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class A, 2.12%, 01/25/61<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2936354 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class B, 3.72%, 01/25/61<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 709618 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class C, 0.00%, 01/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2064 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2016445 |
| &nbsp;&nbsp;&nbsp;Series 2021-D, Class A, 2.00%, 03/25/60<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7815105 |
| &nbsp;&nbsp;&nbsp;Series 2021-D, Class B, 4.00%, 03/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1436075 |
| &nbsp;&nbsp;&nbsp;Series 2021-D, Class C, 0.00%, 03/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2406394 |
| &nbsp;&nbsp;&nbsp;Series 2021-E, Class A1, 1.74%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10504624 |
| &nbsp;&nbsp;&nbsp;Series 2021-E, Class A2, 2.69%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1416513 |
| &nbsp;&nbsp;&nbsp;Series 2021-E, Class B1, 3.73%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841933 |
| &nbsp;&nbsp;&nbsp;Series 2021-E, Class B3, 3.76%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241373 |
| &nbsp;&nbsp;&nbsp;Series 2021-E, Class M1, 2.94%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 538869 |
| &nbsp;&nbsp;&nbsp;Series 2021-E, Class SA, 0.00%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4574 |
| &nbsp;&nbsp;&nbsp;Series 2021-F, Class A, 1.88%, 06/25/61<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19614 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17297671 |
| &nbsp;&nbsp;&nbsp;Series 2021-F, Class B, 3.75%, 06/25/61<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1725079 |
| &nbsp;&nbsp;&nbsp;Series 2021-F, Class C, 0.00%, 06/25/61<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3318920 |
| Allegro CLO II-S Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-1RA, Class A1, (3 mo. LIBOR US + 1.08%), 5.36%, 10/21/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1493456 |
| &nbsp;&nbsp;&nbsp;Series 2014-1RA, Class B, (3 mo. LIBOR US + 2.15%), 6.43%, 10/21/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 290632 |
| &nbsp;&nbsp;&nbsp;Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 7.28%, 10/21/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 686330 |
| Allegro CLO IV Ltd., Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.55%), 5.63%, 01/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342056 |
| Allegro CLO VI Ltd., Series 2017-2A, Class A, (3 mo. LIBOR US + 1.13%), 5.21%, 01/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 981129 |
| Allegro CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class A2A, (3 mo. LIBOR US + 1.85%), 6.08%, 01/19/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243468 |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class C, (3 mo. LIBOR US + 3.00%), 7.23%, 01/19/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239422 |
| ALM Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), 5.93%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242968 |
| &nbsp;&nbsp;&nbsp;Series 2020-1A, Class B, (3 mo. LIBOR US + 2.00%), 6.08%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331579 |
| AMMC CLO XIII Ltd., Series 2013-13A, Class A1R2, (3 mo. LIBOR US + 1.05%), 5.38%, 07/24/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 829387 |
| AMSR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-SFR4, Class F, 2.86%, 11/17/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3465062 |
| &nbsp;&nbsp;&nbsp;Series 2020-SFR4, Class G2, 4.87%, 11/17/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2259533 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR1, Class F, 3.60%, 06/17/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2872 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2228197 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR2, Class F1, 3.28%, 08/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3756 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3143735 |
| Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A1R, (3 mo. LIBOR US + 1.20%), 5.43%, 01/19/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 369384 |
| Anchorage Capital CLO 3-R Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-3RA, Class A, (3 mo. LIBOR US + 1.05%), 5.42%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1211860 |
| &nbsp;&nbsp;&nbsp;Series 2014-3RA, Class B, (3 mo. LIBOR US + 1.50%), 5.87%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1218086 |
| &nbsp;&nbsp;&nbsp;Series 2014-3RA, Class C, (3 mo. LIBOR US + 1.85%), 6.22%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465341 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Anchorage Capital CLO 4-R Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-4RA, Class A, (3 mo. LIBOR US + 1.05%), 5.42%, 01/28/31<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2498 | &nbsp;&nbsp;&nbsp;&nbsp;$2469733 |
| &nbsp;&nbsp;&nbsp;Series 2014-4RA, Class C, (3 mo. LIBOR US + 1.85%), 6.22%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1401292 |
| &nbsp;&nbsp;&nbsp;Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 6.97%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 663377 |
| Anchorage Capital CLO 5-R Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-5RA, Class B, (3 mo. LIBOR US + 1.45%), 5.53%, 01/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2036213 |
| &nbsp;&nbsp;&nbsp;Series 2014-5RA, Class C, (3 mo. LIBOR US + 1.85%), 5.93%, 01/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3365155 |
| &nbsp;&nbsp;&nbsp;Series 2014-5RA, Class E, (3 mo. LIBOR US + 5.40%), 9.48%, 01/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 908299 |
| Anchorage Capital CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-7A, Class AR2, (3 mo. LIBOR US + 1.09%), 5.46%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740250 |
| &nbsp;&nbsp;&nbsp;Series 2015-7A, Class BR2, (3 mo. LIBOR US + 1.75%), 6.12%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1450757 |
| &nbsp;&nbsp;&nbsp;Series 2015-7A, Class CR2, (3 mo. LIBOR US + 2.20%), 6.57%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 589656 |
| &nbsp;&nbsp;&nbsp;Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 7.87%, 01/28/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 898396 |
| Anchorage Capital CLO 8 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-8A, Class AR2A, (3 mo. LIBOR US + 1.20%), 5.56%, 10/27/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4855350 |
| &nbsp;&nbsp;&nbsp;Series 2016-8A, Class BR2, (3 mo. LIBOR US + 1.80%), 6.16%, 10/27/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 954952 |
| &nbsp;&nbsp;&nbsp;Series 2016-8A, Class CR2, (3 mo. LIBOR US + 2.40%), 6.76%, 10/27/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935601 |
| Anchorage Capital CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.25%), 5.19%, 10/13/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326292 |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class BR, (3 mo. LIBOR US + 2.15%), 6.09%, 10/13/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481832 |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class DR, (3 mo. LIBOR US + 6.80%), 10.74%, 10/13/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891552 |
| &nbsp;&nbsp;&nbsp;Series 2018-10A, Class A2, (3 mo. LIBOR US + 1.50%), 5.58%, 10/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438703 |
| Apidos CLO XII, Series 2013-12A, Class AR, (3 mo. LIBOR US + 1.08%), 5.16%, 04/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1365900 |
| Apidos CLO XV, Series 2013-15A, Class A1RR, (3 mo. LIBOR US + 1.01%), 5.25%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985354 |
| Apidos CLO XX, Series 2015-20A, Class A1RA, (3 mo. LIBOR US + 1.10%), 5.18%, 07/16/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353113 |
| Apidos CLO XXVI, Series 2017-26A, Class BR, (3 mo. LIBOR US + 1.95%), 6.14%, 07/18/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2689916 |
| Apidos CLO XXX, Series XXXA, Class A1A, (3 mo. LIBOR US + 1.14%), 5.33%, 10/18/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395072 |
| Apidos CLO XXXIX, Series 2022-39A, Class A1, (3 mo. CME Term SOFR + 1.30%), 5.29%, 04/21/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4821610 |
| Apidos CLO XXXVI, Series 2021-36A, Class B, (3 mo. LIBOR US + 1.60%), 5.84%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238843 |
| Apidos CLO XXXVII, Series 2021-37A, Class A, (3 mo. LIBOR US + 1.13%), 5.46%, 10/22/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1735040 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Apollo Credit Funding IV Ltd., Series 4A, Class A2R, (3 mo. LIBOR US + 1.60%), 5.68%, 07/15/30<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$487059 |
| Aqua Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A, 1.54%, 07/17/46<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272524 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class B, 2.40%, 07/17/46<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4629750 |
| Arbor Realty Commercial Real Estate Notes Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-FL4, Class A, (1 mo. LIBOR US + 1.35%), 5.67%, 11/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;546 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527753 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL2, Class A, (1 mo. CME Term SOFR + 1.85%), 6.19%, 05/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4997354 |
| Ares L CLO Ltd., Series 2018-50A, Class BR, (3 mo. LIBOR US + 1.60%), 5.68%, 01/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965665 |
| Ares LIX CLO Ltd., Series 2021-59A, Class A, (3 mo. LIBOR US + 1.03%), 5.39%, 04/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242449 |
| Ares LVI CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-56A, Class AR, (3 mo. LIBOR US + 1.16%), 5.52%, 10/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2065484 |
| &nbsp;&nbsp;&nbsp;Series 2020-56A, Class ER, (3 mo. LIBOR US + 6.50%), 10.86%, 10/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223062 |
| Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3 mo. LIBOR US + 1.45%), 5.53%, 04/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2386413 |
| Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3 mo. LIBOR US + 1.58%), 5.82%, 07/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656596 |
| Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3 mo. LIBOR US + 0.94%), 5.55%, 05/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736821 |
| Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R, (3 mo. LIBOR US + 1.17%), 5.25%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 593784 |
| Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1 mo. LIBOR US + 0.48%), 4.87%, 05/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37638 |
| ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127128 |
| Asset Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1 mo. LIBOR US + 1.11%), 5.50%, 07/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770152 |
| ASSURANT CLO I Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.70%), 5.94%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1320145 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class CR, (3 mo. LIBOR US + 2.15%), 6.39%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228593 |
| ASSURANT CLO Ltd., Series 2018-2A, Class A, (3 mo. LIBOR US + 1.04%), 5.28%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488900 |
| Atrium IX, Series 9A, Class AR2, (3 mo. LIBOR US + 0.99%), 5.73%, 05/28/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1791797 |
| Atrium XIII |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 13A, Class A1, (3 mo. LIBOR US + 1.18%), 5.51%, 11/21/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 496129 |
| &nbsp;&nbsp;&nbsp;Series 13A, Class B, (3 mo. LIBOR US + 1.50%), 5.83%, 11/21/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1215401 |
| &nbsp;&nbsp;&nbsp;Series 13A, Class C, (3 mo. LIBOR US + 1.80%), 6.13%, 11/21/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1516403 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Bain Capital Credit CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.97%), 5.21%, 07/20/30<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1230 | &nbsp;&nbsp;&nbsp;&nbsp;$1215713 |
| &nbsp;&nbsp;&nbsp;Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.96%), 5.29%, 04/23/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246626 |
| &nbsp;&nbsp;&nbsp;Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.08%), 5.31%, 07/19/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 989240 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.17%), 5.41%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340809 |
| Ballyrock CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.60%), 5.84%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239861 |
| BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1727921 |
| Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1775588 |
| Barings CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-2A, Class AR, (3 mo. LIBOR US + 1.19%), 5.43%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 988232 |
| &nbsp;&nbsp;&nbsp;Series 2018-3A, Class A1, (3 mo. LIBOR US + 0.95%), 5.19%, 07/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 579767 |
| &nbsp;&nbsp;&nbsp;Series 2019-3A, Class A1R, (3 mo. LIBOR US + 1.07%), 5.31%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1150356 |
| Battalion CLO 18 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.20%), 5.28%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483089 |
| &nbsp;&nbsp;&nbsp;Series 2020-18A, Class BR, (3 mo. LIBOR US + 1.75%), 5.83%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 940825 |
| Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3 mo. LIBOR US + 1.07%), 5.26%, 07/18/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1211765 |
| Battalion CLO X Ltd., Series 2016-10A, Class A1R2, (3 mo. LIBOR US + 1.17%), 5.50%, 01/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3146375 |
| Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3 mo. LIBOR US + 2.08%), 6.73%, 05/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237165 |
| Battalion CLO XX Ltd., Series 2021-20A, Class A, (3 mo. LIBOR US + 1.18%), 5.26%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2921676 |
| Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1 mo. LIBOR US + 2.48%), 6.86%, 02/28/41<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5257313 |
| Bayview Financial Revolving Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-A, Class A1, (1 mo. LIBOR US + 1.00%), 5.39%, 02/28/40<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3927 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3656187 |
| &nbsp;&nbsp;&nbsp;Series 2005-E, Class A1, (1 mo. LIBOR US + 1.00%), 5.39%, 12/28/40<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1706562 |
| &nbsp;&nbsp;&nbsp;Series 2005-E, Class A2A, (1 mo. LIBOR US + 0.93%), 5.32%, 12/28/40<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1433341 |
| BDS Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-FL7, Class A, (1 mo. LIBOR US + 1.07%), 5.41%, 06/16/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2919498 |
| &nbsp;&nbsp;&nbsp;Series 2021-FL9, Class A, (1 mo. LIBOR US + 1.07%), 5.41%, 11/16/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1788931 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL11, Class ATS, (1 mo. CME Term SOFR + 1.80%), 6.12%, 03/19/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6691787 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-HE8, Class M3, (1 mo. LIBOR US + 1.95%), 6.34%, 08/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3996965 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-HE7, Class 1A2, (1 mo. LIBOR US + 0.34%), 4.73%, 09/25/36<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$131766 |
| &nbsp;&nbsp;&nbsp;Series 2007-HE2, Class 1A4, (1 mo. LIBOR US + 0.32%), 4.71%, 03/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;918 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 823995 |
| &nbsp;&nbsp;&nbsp;Series 2007-HE2, Class 23A, (1 mo. LIBOR US + 0.14%), 4.53%, 03/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48319 |
| &nbsp;&nbsp;&nbsp;Series 2007-HE3, Class 1A4, (1 mo. LIBOR US + 0.35%), 4.74%, 04/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302727 |
| Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A2R2, (3 mo. LIBOR US + 1.45%), 5.53%, 07/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1653065 |
| Benefit Street Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-6BR, Class A, (3 mo. LIBOR US + 1.19%), 5.43%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1399257 |
| &nbsp;&nbsp;&nbsp;Series 2015-6BR, Class B, (3 mo. LIBOR US + 1.80%), 6.04%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239508 |
| Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1A, (3 mo. LIBOR US + 1.09%), 5.33%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986492 |
| Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3 mo. LIBOR US + 1.10%), 5.34%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1873345 |
| Benefit Street Partners CLO XIX Ltd., Series 2019-19A, Class B, (3 mo. LIBOR US + 2.00%), 6.08%, 01/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242744 |
| Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.08%), 5.50%, 04/30/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246097 |
| BHG Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A, 1.42%, 11/17/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165883 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class B, 2.79%, 11/17/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3111034 |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class C, 2.24%, 10/17/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4234489 |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class D, 3.17%, 10/17/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110982 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class C, 3.08%, 02/20/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8542 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7092565 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class D, 3.56%, 02/20/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 795861 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class E, 4.30%, 02/20/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 555369 |
| &nbsp;&nbsp;&nbsp;Series 2022-C, Class A, 5.32%, 10/17/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2640090 |
| &nbsp;&nbsp;&nbsp;Series 2022-C, Class B, 5.93%, 10/17/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 864752 |
| Birch Grove CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.26%), 5.49%, 10/19/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311263 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class B, (3 mo. LIBOR US + 1.75%), 5.98%, 10/19/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239995 |
| Birch Grove CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 19A, Class BR, (3 mo. LIBOR US + 1.75%), 6.52%, 06/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950952 |
| &nbsp;&nbsp;&nbsp;Series 19A, Class DR, (3 mo. LIBOR US + 3.35%), 8.12%, 06/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 470775 |
| &nbsp;&nbsp;&nbsp;Series 2021-3A, Class D1, (3 mo. LIBOR US + 3.20%), 7.43%, 01/19/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 679238 |
| BlueMountain CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.18%), 5.51%, 10/22/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2468935 |
| &nbsp;&nbsp;&nbsp;Series 2013-2A, Class BR, (3 mo. LIBOR US + 1.60%), 5.93%, 10/22/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1206158 |
| &nbsp;&nbsp;&nbsp;Series 2018-2A, Class B, (3 mo. LIBOR US + 1.70%), 6.31%, 08/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 676072 |
| BlueMountain CLO XXIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-23A, Class A1, (3 mo. LIBOR US + 1.15%), 5.39%, 10/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245108 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| BlueMountain CLO XXIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-23A, Class B, (3 mo. LIBOR US + 1.70%), 5.94%, 10/20/31<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$724265 |
| &nbsp;&nbsp;&nbsp;Series 2018-23A, Class C, (3 mo. LIBOR US + 2.15%), 6.39%, 10/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895173 |
| BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3 mo. LIBOR US + 1.75%), 6.11%, 07/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401033 |
| BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3 mo. LIBOR US + 1.26%), 5.34%, 04/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243797 |
| BlueMountain Fuji U.S. CLO III Ltd., Series 2017-3A, Class B, (3 mo. LIBOR US + 1.38%), 5.45%, 01/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 531802 |
| BPCRE Ltd., Series 2022-FL2, Class A, (1 mo. CME Term SOFR + 2.40%), 6.73%, 01/16/37<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2719897 |
| Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.09%, 07/15/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1343266 |
| Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.23%), 5.47%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240127 |
| Bristol Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.45%), 5.53%, 04/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338239 |
| &nbsp;&nbsp;&nbsp;Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.95%), 7.03%, 04/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223523 |
| Burnham Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.15%), 5.39%, 10/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3455752 |
| &nbsp;&nbsp;&nbsp;Series 2016-1A, Class BR, (3 mo. LIBOR US + 1.50%), 5.74%, 10/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 485072 |
| &nbsp;&nbsp;&nbsp;Series 2016-1A, Class DR, (3 mo. LIBOR US + 2.85%), 7.09%, 10/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222570 |
| Carbone CLO Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.14%), 5.38%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246753 |
| Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3 mo. LIBOR US + 1.03%), 5.45%, 04/30/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2323928 |
| Carlyle Global Market Strategies CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 0.97%), 5.05%, 04/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3754 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3700987 |
| &nbsp;&nbsp;&nbsp;Series 2014-3RA, Class A1B, (3 mo. LIBOR US + 1.30%), 5.66%, 07/27/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 969755 |
| Carlyle U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-4A, Class B, (3 mo. LIBOR US + 2.07%), 6.31%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2301634 |
| &nbsp;&nbsp;&nbsp;Series 2021-10A, Class A, (3 mo. LIBOR US + 1.15%), 5.39%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4207703 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.14%), 5.22%, 04/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243138 |
| Carrington Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-FRE2, Class A4, (1 mo. LIBOR US + 0.25%), 4.64%, 10/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1215858 |
| &nbsp;&nbsp;&nbsp;Series 2006-NC4, Class A3, (1 mo. LIBOR US + 0.16%), 4.55%, 10/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31440 |
| &nbsp;&nbsp;&nbsp;Series 2007-FRE1, Class A3, (1 mo. LIBOR US + 0.26%), 4.65%, 02/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4443462 |
| CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D, (3 mo. LIBOR US + 3.25%), 7.33%, 10/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 918975 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class E, (3 mo. LIBOR US + 6.75%), 10.83%, 10/15/34<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;$1105444 |
| Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5274860 |
| CBAM Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.25%), 5.49%, 07/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1479114 |
| &nbsp;&nbsp;&nbsp;Series 2018-6A, Class B1R, (3 mo. CME Term SOFR + 2.36%), 6.23%, 01/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960535 |
| &nbsp;&nbsp;&nbsp;Series 2018-7A, Class B1, (3 mo. LIBOR US + 1.60%), 5.84%, 07/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475855 |
| Cedar Funding II CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class ARR, (3 mo. LIBOR US + 1.08%), 5.32%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 730433 |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class BRR, (3 mo. LIBOR US + 1.35%), 5.59%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475699 |
| Cedar Funding IX CLO Ltd., Series 2018-9A, Class A1, (3 mo. LIBOR US + 0.98%), 5.22%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1380017 |
| Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3 mo. LIBOR US + 1.10%), 5.18%, 07/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1965115 |
| Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3 mo. LIBOR US + 1.05%), 5.29%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 487568 |
| 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)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345688 |
| &nbsp;&nbsp;&nbsp;Series 2018-7A, Class A2, (3 mo. LIBOR US + 1.13%), 5.37%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240239 |
| Cedar Funding VIII CLO Ltd., Series 2017-8A, Class A1R, (3 mo. LIBOR US + 1.15%), 5.23%, 10/17/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2660465 |
| Cedar Funding XI CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-11A, Class A1R, (3 mo. LIBOR US + 1.05%), 5.79%, 05/29/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985666 |
| &nbsp;&nbsp;&nbsp;Series 2019-11A, Class A2R, (3 mo. LIBOR US + 1.35%), 6.09%, 05/29/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240685 |
| Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 5.68%, 07/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966866 |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.75%), 5.83%, 07/16/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243189 |
| &nbsp;&nbsp;&nbsp;Series 2013-2A, Class A1L2, (3 mo. LIBOR US + 1.00%), 5.19%, 10/18/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1558975 |
| &nbsp;&nbsp;&nbsp;Series 2014-2RA, Class A1, (3 mo. LIBOR US + 1.05%), 5.38%, 04/24/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244656 |
| &nbsp;&nbsp;&nbsp;Series 2014-3A, Class A1R2, (3 mo. LIBOR US + 1.20%), 5.53%, 10/22/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3453619 |
| &nbsp;&nbsp;&nbsp;Series 2014-5A, Class A1R2, (3 mo. LIBOR US + 1.20%), 5.28%, 10/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5185304 |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class ARR, (3 mo. LIBOR US + 1.11%), 5.44%, 01/22/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246748 |
| &nbsp;&nbsp;&nbsp;Series 2017-5A, Class A1, (3 mo. LIBOR US + 1.18%), 5.26%, 11/16/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247455 |
| &nbsp;&nbsp;&nbsp;Series 2018-1A, Class A, (3 mo. LIBOR US + 1.00%), 5.19%, 04/18/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3401489 |
| &nbsp;&nbsp;&nbsp;Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.04%), 5.28%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245858 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-4A, Class A2, (3 mo. LIBOR US + 1.70%), 5.78%, 10/17/31<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$242855 |
| &nbsp;&nbsp;&nbsp;Series 2019-5A, Class A1R1, (3 mo. LIBOR US + 1.14%), 5.22%, 01/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243344 |
| &nbsp;&nbsp;&nbsp;Series 2020-3A, Class A1R, (3 mo. LIBOR US + 1.13%), 5.37%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6768177 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class A, (3 mo. LIBOR US + 1.05%), 5.13%, 07/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2940379 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class B, (3 mo. LIBOR US + 1.58%), 5.66%, 07/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2394535 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class C, (3 mo. LIBOR US + 1.85%), 5.93%, 07/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 939001 |
| &nbsp;&nbsp;&nbsp;Series 2021-5A, Class A, (3 mo. LIBOR US + 1.14%), 5.22%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1659614 |
| Citibank Credit Card Issuance Trust, Series 2018-A2, Class A2, (1 mo. LIBOR US + 0.33%), 4.68%, 01/20/25<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7999040 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-AHL2, Class A3B, (1 mo. LIBOR US + 0.20%), 4.59%, 05/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 689386 |
| &nbsp;&nbsp;&nbsp;Series 2007-AHL2, Class A3C, (1 mo. LIBOR US + 0.27%), 4.66%, 05/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 321419 |
| &nbsp;&nbsp;&nbsp;Series 2007-WFH2, Class M3, (1 mo. LIBOR US + 0.71%), 5.09%, 03/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4606260 |
| &nbsp;&nbsp;&nbsp;Series 2007-WFH4, Class M3A, (1 mo. LIBOR US + 2.50%), 6.89%, 07/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 941160 |
| Clear Creek CLO |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class AR, (3 mo. LIBOR US + 1.20%), 5.44%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247283 |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 7.19%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283589 |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class ER, (3 mo. LIBOR US + 6.30%), 10.54%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 856487 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class B, 2.42%, 06/25/52<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 537300 |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class C, 2.72%, 06/25/52<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2139016 |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class D, 3.78%, 06/25/52<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394428 |
| &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;&nbsp;&nbsp;&nbsp;&nbsp;406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331369 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class C, 3.06%, 07/26/55<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2998329 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class D, 4.11%, 07/26/55<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;&nbsp;&nbsp; 210263 |
| Concord Music Royalties LLC, Series 2022-1A, Class A2, 6.50%, 01/20/73<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4468221 |
| Conseco Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 1996-10, Class B1, 7.24%, 11/15/28<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44763 |
| &nbsp;&nbsp;&nbsp;Series 1998-4, Class M1, 6.83%, 04/01/30<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 836292 |
| &nbsp;&nbsp;&nbsp;Series 1998-8, Class M1, 6.98%, 09/01/30<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 830072 |
| Conseco Finance Securitizations Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2000-1, Class A5, 8.06%, 09/01/29<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481309 |
| &nbsp;&nbsp;&nbsp;Series 2000-4, Class A6, 8.31%, 05/01/32<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466183 |
| Cook Park CLO Ltd., Series 2018-1A, Class B, (3 mo. LIBOR US + 1.40%), 5.48%, 04/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239477 |
| Countrywide Asset-Backed Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-16, Class 1AF, 4.53%, 04/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1327106 |
| &nbsp;&nbsp;&nbsp;Series 2006-11, Class 3AV2, (1 mo. LIBOR US + 0.16%), 4.55%, 09/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1109 |
| &nbsp;&nbsp;&nbsp;Series 2006-12, Class 1A, (1 mo. LIBOR US + 0.26%), 4.65%, 12/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176979 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1 mo. LIBOR US + 0.27%), 4.59%, 03/15/34<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$12328 |
| Credit Suisse Mortgage Trust, Series 2021-JR1, Class A1, 2.47%, 09/27/66<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5497370 |
| Credit-Based Asset Servicing & Securitization LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-CB2, Class AF4, 3.02%, 12/25/36<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12916 |
| &nbsp;&nbsp;&nbsp;Series 2006-MH1, Class B1, 6.25%, 10/25/36<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1955217 |
| &nbsp;&nbsp;&nbsp;Series 2006-SL1, Class A3, (1 mo. LIBOR US + 0.44%), 4.83%, 09/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355342 |
| CWHEQ Revolving Home Equity Loan Resuritization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-RES, Class 4Q1B, (1 mo. LIBOR US + 0.30%), 4.62%, 12/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7983 |
| &nbsp;&nbsp;&nbsp;Series 2006-RES, Class 5B1B, (1 mo. LIBOR US + 0.19%), 4.51%, 05/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2384 |
| CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A, (1 mo. LIBOR US + 0.18%), 4.50%, 05/15/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710809 |
| Deer Creek CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class A, (3 mo. LIBOR US + 1.18%), 5.42%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 989100 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class B, (3 mo. LIBOR US + 1.65%), 5.89%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 729357 |
| Dewolf Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.92%), 5.00%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7893162 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class CR, (3 mo. LIBOR US + 1.85%), 5.93%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 470363 |
| Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3 mo. LIBOR US + 1.24%), 5.32%, 07/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 990503 |
| Diameter Capital CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class A1, (3 mo. LIBOR US + 1.22%), 5.30%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239800 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.75%), 5.83%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 482263 |
| Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3 mo. CME Term SOFR + 1.39%), 5.25%, 04/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455180 |
| Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3 mo. LIBOR US + 1.10%), 5.18%, 01/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1233583 |
| Dryden 40 Senior Loan Fund, Series 2015-40A, Class CR, (3 mo. LIBOR US + 2.10%), 6.71%, 08/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1140907 |
| Dryden 42 Senior Loan Fund, Series 2016-42A, Class CR, (3 mo. LIBOR US + 2.05%), 6.13%, 07/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236293 |
| Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3 mo. LIBOR US + 1.04%), 5.28%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1575335 |
| Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR, (3 mo. LIBOR US + 1.70%), 5.78%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6957097 |
| Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3 mo. LIBOR US + 0.95%), 5.14%, 07/18/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;994 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 983162 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3 mo. LIBOR US + 1.12%), 5.20%, 01/15/31<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;$1975408 |
| Dryden 58 CLO Ltd., Series 2018-58A, Class B, (3 mo. LIBOR US + 1.50%), 5.58%, 07/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240985 |
| Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3 mo. LIBOR US + 1.05%), 5.13%, 07/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245535 |
| Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3 mo. LIBOR US + 1.60%), 5.79%, 07/18/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481931 |
| Dryden 77 CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-77A, Class AR, (3 mo. LIBOR US + 1.12%), 5.80%, 05/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1942118 |
| &nbsp;&nbsp;&nbsp;Series 2020-77A, Class XR, (3 mo. LIBOR US + 1.00%), 5.68%, 05/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217502 |
| Dryden 78 CLO Ltd., Series 2020-78A, Class B, (3 mo. LIBOR US + 1.50%), 5.58%, 04/17/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239150 |
| Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, (3 mo. LIBOR US + 1.20%), 5.81%, 08/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1231632 |
| Eaton Vance CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-1RA, Class A2, (3 mo. LIBOR US + 1.49%), 5.57%, 07/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240596 |
| &nbsp;&nbsp;&nbsp;Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.45%), 5.53%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240451 |
| EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 834604 |
| EDvestinU Private Education Loan Issue No. 3 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237521 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class B, 3.50%, 11/25/50<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 929742 |
| EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1190380 |
| Elmwood CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A1, (3 mo. CME Term SOFR + 1.34%), 5.38%, 04/22/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10324046 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class D, (3 mo. CME Term SOFR + 3.67%), 7.71%, 04/22/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1512718 |
| Elmwood CLO I Ltd., Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.45%), 5.69%, 10/20/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247471 |
| Elmwood CLO II Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 5.39%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2193069 |
| Elmwood CLO IV Ltd., Series 2020-1A, Class A, (3 mo. LIBOR US + 1.24%), 5.32%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492004 |
| Elmwood CLO X Ltd., Series 2021-3A, Class C, (3 mo. LIBOR US + 1.95%), 6.19%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5929682 |
| Elmwood CLO XII Ltd., Series 2021-5A, Class A, (3 mo. LIBOR US + 1.15%), 5.39%, 01/20/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935499 |
| FBR Securitization Trust, Series 2005-5, Class M2, (1 mo. LIBOR US + 0.71%), 5.09%, 11/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2537817 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.34%), 5.42%, 07/15/30<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$239573 |
| First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-FF16, Class 2A3, (1 mo. LIBOR US + 0.28%), 4.67%, 12/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 208928 |
| &nbsp;&nbsp;&nbsp;Series 2006-FF17, Class A5, (1 mo. LIBOR US + 0.15%), 4.54%, 12/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1668 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1509668 |
| FirstKey Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-SFR1, Class G, 4.78%, 08/17/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3304713 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR1, Class F1, 3.24%, 08/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3750303 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR2, Class F1, 2.91%, 09/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4516440 |
| &nbsp;&nbsp;&nbsp;Series 2022-SFR1, Class E1, 5.00%, 05/17/39<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3408867 |
| &nbsp;&nbsp;&nbsp;Series 2022-SFR2, Class E1, 4.50%, 07/17/39<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2241327 |
| Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3 mo. CME Term SOFR + 1.21%), 5.08%, 04/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1233326 |
| Flatiron CLO 19 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-1A, Class AR, (3 mo. LIBOR US + 1.08%), 5.72%, 11/16/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491468 |
| &nbsp;&nbsp;&nbsp;Series 2019-1A, Class DR, (3 mo. LIBOR US + 3.00%), 7.64%, 11/16/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 843131 |
| Foundation Finance Trust, Series 2021-2A, Class A, 2.19%, 01/15/42<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2118187 |
| Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.28%), 4.67%, 02/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1648813 |
| FS Rialto Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-FL3, Class A, (1 mo. LIBOR US + 1.25%), 5.58%, 11/16/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2091881 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 5.71%, 01/19/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12012080 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL5, Class A, (1 mo. CME Term SOFR + 2.30%), 6.63%, 06/19/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4167579 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL6, Class A, (1 mo. CME Term SOFR + 2.58%), 6.91%, 08/17/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5939726 |
| Galaxy XIX CLO Ltd., Series 2015-19A, Class A1RR, (3 mo. LIBOR US + 0.95%), 5.28%, 07/24/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;499 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 490966 |
| Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3 mo. LIBOR US + 1.00%), 5.24%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2968356 |
| Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3 mo. LIBOR US + 1.20%), 5.28%, 04/16/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971500 |
| Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3 mo. LIBOR US + 1.02%), 5.66%, 05/16/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2297514 |
| Generate CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2A, Class AR, (3 mo. LIBOR US + 1.15%), 5.48%, 01/22/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1204969 |
| &nbsp;&nbsp;&nbsp;Series 2A, Class BR, (3 mo. LIBOR US + 1.45%), 5.78%, 01/22/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238673 |
| &nbsp;&nbsp;&nbsp;Series 2A, Class ER, (3 mo. LIBOR US + 5.65%), 9.98%, 01/22/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 851429 |
| Generate CLO 3 Ltd., Series 3A, Class AR, (3 mo. LIBOR US + 1.25%), 5.49%, 10/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 941307 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Generate CLO 6 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 6A, Class A1R, (3 mo. LIBOR US + 1.20%), 5.53%, 01/22/35<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$242657 |
| &nbsp;&nbsp;&nbsp;Series 6A, Class CR, (3 mo. LIBOR US + 2.45%), 6.78%, 01/22/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4059699 |
| &nbsp;&nbsp;&nbsp;Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 7.83%, 01/22/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3986438 |
| Generate CLO 7 Ltd., Series 7A, Class A1, (3 mo. LIBOR US + 1.37%), 5.70%, 01/22/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244681 |
| Gilbert Park CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.19%), 5.27%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247536 |
| GMACM Home Equity Loan Trust, Series 2006-HE1, Class A, (1 mo. LIBOR US + 0.32%), 4.70%, 11/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3334 |
| GoldenTree Loan Management U.S. CLO 1 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class A1R2, (3 mo. LIBOR US + 1.02%), 5.26%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243435 |
| &nbsp;&nbsp;&nbsp;Series 2021-11A, Class A, (3 mo. LIBOR US + 1.13%), 5.37%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5351609 |
| &nbsp;&nbsp;&nbsp;Series 2021-11A, Class E, (3 mo. LIBOR US + 5.35%), 9.59%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1469207 |
| &nbsp;&nbsp;&nbsp;Series 2021-11A, Class EJ, (3 mo. LIBOR US + 7.75%), 11.99%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934637 |
| &nbsp;&nbsp;&nbsp;Series 2021-9A, Class E, (3 mo. LIBOR US + 4.75%), 8.99%, 01/20/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 824802 |
| GoldenTree Loan Management U.S. CLO 10 Ltd., Series 2021-10A, Class A, (3 mo. LIBOR US + 1.10%), 5.34%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243720 |
| GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3 mo. LIBOR US + 1.30%), 5.54%, 04/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 828562 |
| GoldenTree Loan Opportunities IX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-9A, Class AR2, (3 mo. LIBOR US + 1.11%), 5.53%, 10/29/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841058 |
| &nbsp;&nbsp;&nbsp;Series 2014-9A, Class BR2, (3 mo. LIBOR US + 1.60%), 6.02%, 10/29/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244224 |
| &nbsp;&nbsp;&nbsp;Series 2014-9A, Class ER2, (3 mo. LIBOR US + 5.66%), 10.08%, 10/29/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 676571 |
| GoldenTree Loan Opportunities XI Ltd., Series 2015-11A, Class AR2, (3 mo. LIBOR US + 1.07%), 5.26%, 01/18/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494033 |
| Goldman Home Improvement Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-GRN2, Class B, 1.97%, 06/25/51<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2161173 |
| &nbsp;&nbsp;&nbsp;Series 2022-GRN2, Class A, 6.80%, 10/25/52<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2400845 |
| Golub Capital Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-53A, Class E, (3 mo. LIBOR US + 6.70%), 10.94%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220800 |
| &nbsp;&nbsp;&nbsp;Series 2021-55A, Class A, (3 mo. LIBOR US + 1.20%), 5.44%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320552 |
| &nbsp;&nbsp;&nbsp;Series 2021-58A, Class A1, (3 mo. LIBOR US + 1.18%), 5.54%, 01/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1737112 |
| GoodLeap Sustainable Home Solutions Trust |  |  |  |
| &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;3778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2741054 |
| &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;2893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2677856 |
| Gracie Point International Funding |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class A, (1 mo. LIBOR US + 0.75%), 4.87%, 11/01/23<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4637714 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A, (SOFR (30-day) + 2.75%), 6.80%, 07/01/24<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5101749 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class B, (SOFR (30-day) + 3.35%), 7.40%, 07/01/24<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2032297 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Gracie Point International Funding |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-3A, Class A, (SOFR (30-day) + 3.25%), 7.30%, 11/01/24<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3043 | &nbsp;&nbsp;&nbsp;&nbsp;$3045486 |
| Greystone CRE Notes Ltd., Series 2021-FL3, Class A, (1 mo. LIBOR US + 1.02%), 5.34%, 07/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 820692 |
| Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3 mo. CME Term SOFR + 1.55%), 5.59%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 489285 |
| GSAA Home Equity Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-14, Class 1A2, (1 mo. LIBOR US + 0.70%), 5.09%, 12/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123707 |
| &nbsp;&nbsp;&nbsp;Series 2006-4, Class 1A1, 3.24%, 03/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 524764 |
| &nbsp;&nbsp;&nbsp;Series 2007-2, Class AF3, 5.92%, 03/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5094 |
| GSAMP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-H1, Class A1B, (1 mo. LIBOR US + 0.40%), 4.79%, 01/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5467 |
| &nbsp;&nbsp;&nbsp;Series 2007-HS1, Class M5, (1 mo. LIBOR US + 3.38%), 7.76%, 02/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3518545 |
| &nbsp;&nbsp;&nbsp;Series 2007-HS1, Class M7, (1 mo. LIBOR US + 3.38%), 7.76%, 02/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2679478 |
| Gulf Stream Meridian 1 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-IA, Class A1, (3 mo. LIBOR US + 1.37%), 5.45%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244837 |
| &nbsp;&nbsp;&nbsp;Series 2020-IA, Class B, (3 mo. LIBOR US + 2.00%), 6.08%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240959 |
| Gulf Stream Meridian 3 Ltd., Series 2021-IIIA, Class A1, (3 mo. LIBOR US + 1.32%), 5.40%, 04/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244211 |
| Gulf Stream Meridian 4 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class A1, (3 mo. LIBOR US + 1.20%), 5.28%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9007549 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class A2, (3 mo. LIBOR US + 1.85%), 5.93%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 962576 |
| Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 5.88%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 627846 |
| Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3 mo. CME Term SOFR + 1.36%), 5.22%, 07/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2335846 |
| Highbridge Loan Management Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 3A-2014, Class A1R, (3 mo. LIBOR US + 1.18%), 5.37%, 07/18/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342874 |
| &nbsp;&nbsp;&nbsp;Series 7A-2015, Class BR, (3 mo. LIBOR US + 1.18%), 5.79%, 03/15/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245416 |
| Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3605674 |
| Home Equity Asset Trust, Series 2006-3, Class M2, (1 mo. LIBOR US + 0.60%), 4.99%, 07/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247606 |
| Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1 mo. LIBOR US + 2.03%), 3.61%, 07/25/34<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16245 |
| Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4768787 |
| HPS Loan Management Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 10A-16, Class A1RR, (3 mo. LIBOR US + 1.14%), 5.38%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7097989 |
| &nbsp;&nbsp;&nbsp;Series 6A-2015, Class A1R, (3 mo. LIBOR US + 1.00%), 5.53%, 02/05/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736496 |
| ICG U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-3A, Class A1RR, (3 mo. LIBOR US + 1.03%), 5.39%, 04/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246374 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| ICG U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class A1R, (3 mo. LIBOR US + 1.14%), 5.37%, 10/19/28<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$767148 |
| Jamestown CLO XII Ltd., Series 2019-1A, Class A2, (3 mo. LIBOR US + 2.15%), 6.39%, 04/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242111 |
| Jamestown CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.34%), 5.42%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1705897 |
| JPMorgan Mortgage Acquisition Trust, Series 2006-CH1, Class M7, (1 mo. LIBOR US + 0.80%), 5.19%, 07/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2952975 |
| Kapitus Asset Securitization LLC, Series 2022-1A, Class A, 3.38%, 07/10/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3629163 |
| KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3 mo. LIBOR US + 1.25%), 5.61%, 07/28/42<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2952148 |
| KKR CLO 10 Ltd., Series 10, Class BR, (3 mo. LIBOR US + 1.70%), 6.47%, 09/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 626866 |
| KKR CLO 17 Ltd., Series 17, Class AR, (3 mo. LIBOR US + 1.08%), 5.16%, 04/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488224 |
| KKR CLO 23 Ltd., Series 23, Class E, (3 mo. LIBOR US + 6.00%), 10.24%, 10/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416460 |
| LCM 26 Ltd., Series 26A, Class A1, (3 mo. LIBOR US + 1.07%), 5.31%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1974755 |
| LCM XVIII LP, Series 18A, Class A1R, (3 mo. LIBOR US + 1.02%), 5.26%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246081 |
| LCM XX LP, Series 20A, Class BR, (3 mo. LIBOR US + 1.55%), 5.79%, 10/20/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 631608 |
| LCM XXI LP |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 21A, Class AR, (3 mo. LIBOR US + 0.88%), 5.12%, 04/20/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116711 |
| &nbsp;&nbsp;&nbsp;Series 21A, Class BR, (3 mo. LIBOR US + 1.40%), 5.64%, 04/20/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246959 |
| Legacy Mortgage Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-SL2, Class A, 3.38%, 02/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4065685 |
| &nbsp;&nbsp;&nbsp;Series 2019-SL2, Class B, 0.00%, 02/25/59<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62181 |
| &nbsp;&nbsp;&nbsp;Series 2019-SL2, Class M, 4.25%, 02/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466041 |
| Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500652 |
| Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1 mo. LIBOR US + 0.09%), 4.48%, 06/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55665 |
| Lending Funding Trust, Series 2020-2A, Class A, 2.32%, 04/21/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4071845 |
| LendingPoint Pass-Through Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-ST1, Class A, 2.50%, 03/15/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2789164 |
| &nbsp;&nbsp;&nbsp;Series 2022-ST2, Class A, 3.25%, 04/15/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3576242 |
| Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class A, 2.78%, 04/20/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2752382 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class B, 2.37%, 04/20/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3691819 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class C, 3.09%, 04/20/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1220549 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D, 4.46%, 04/20/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2560931 |
| &nbsp;&nbsp;&nbsp;Series 2022-1A, Class A, 5.12%, 07/20/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4434220 |
| LoanCore Issuer Ltd., Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 5.36%, 01/17/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12700383 |
| Loanpal Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2GF, Class A, 2.75%, 07/20/47<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 784775 |
| &nbsp;&nbsp;&nbsp;Series 2021-1GS, Class A, 2.29%, 01/20/48<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2086815 |
| &nbsp;&nbsp;&nbsp;Series 2021-2GS, Class A, 2.22%, 03/20/48<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2657263 |
| Logan CLO I Ltd., Series 2021-1A, Class A, (3 mo. LIBOR US + 1.16%), 5.40%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3911060 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Long Beach Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-2, Class 1A, (1 mo. LIBOR US + 0.36%), 4.75%, 03/25/46<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$547253 |
| &nbsp;&nbsp;&nbsp;Series 2006-5, Class 2A3, (1 mo. LIBOR US + 0.30%), 4.69%, 06/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1546339 |
| &nbsp;&nbsp;&nbsp;Series 2006-7, Class 2A3, (1 mo. LIBOR US + 0.32%), 4.71%, 08/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2436039 |
| &nbsp;&nbsp;&nbsp;Series 2006-7, Class 2A4, (1 mo. LIBOR US + 0.48%), 4.87%, 08/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 563851 |
| &nbsp;&nbsp;&nbsp;Series 2006-9, Class 2A3, (1 mo. LIBOR US + 0.32%), 4.71%, 10/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 634471 |
| &nbsp;&nbsp;&nbsp;Series 2006-WL3, Class 2A4, (1 mo. LIBOR US + 0.60%), 4.99%, 01/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3016150 |
| Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3 mo. LIBOR US + 1.38%), 5.45%, 01/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 793251 |
| Madison Park Funding XI Ltd., Series 2013-11A, Class AR2, (3 mo. LIBOR US + 0.90%), 5.23%, 07/23/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2088 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2060646 |
| Madison Park Funding XIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-13A, Class AR2, (3 mo. LIBOR US + 0.95%), 5.18%, 04/19/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 877360 |
| &nbsp;&nbsp;&nbsp;Series 2014-13A, Class BR2, (3 mo. LIBOR US + 1.50%), 5.73%, 04/19/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 587697 |
| Madison Park Funding XIX Ltd., Series 2015-19A, Class A1R2, (3 mo. LIBOR US + 0.92%), 5.25%, 01/22/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;303 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299788 |
| Madison Park Funding XLI Ltd., Series 12A, Class AR, (3 mo. LIBOR US + 0.83%), 5.16%, 04/22/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 825796 |
| Madison Park Funding XLIX Ltd., Series 2021-49A, Class E, (3 mo. LIBOR US + 6.25%), 10.48%, 10/19/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 670613 |
| Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3 mo. LIBOR US + 0.94%), 5.22%, 10/21/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3411836 |
| Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3 mo. LIBOR US + 0.97%), 5.33%, 07/27/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987919 |
| Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR, (3 mo. CME Term SOFR + 2.01%), 5.98%, 10/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478533 |
| Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 1.20%), 5.62%, 07/29/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2781013 |
| Madison Park Funding XXX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-30A, Class E, (3 mo. LIBOR US + 4.95%), 9.03%, 04/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 903093 |
| &nbsp;&nbsp;&nbsp;Series 2018-30X, Class E, (3 mo. LIBOR US + 4.95%), 9.03%, 04/15/29<sup>(c)(e)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 225773 |
| Madison Park Funding XXXI Ltd., Series 2018-31A, Class B, (3 mo. LIBOR US + 1.70%), 6.03%, 01/23/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242501 |
| Madison Park Funding XXXIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-33A, Class AR, (3 mo. CME Term SOFR + 1.29%), 5.15%, 10/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1755479 |
| &nbsp;&nbsp;&nbsp;Series 2019-33A, Class BR, (3 mo. CME Term SOFR + 1.80%), 5.66%, 10/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3332295 |
| Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, (3 mo. LIBOR US + 1.07%), 5.15%, 07/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2097893 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, (3 mo. LIBOR US + 1.12%), 5.20%, 07/17/34<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;$1216453 |
| Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3 mo. LIBOR US + 3.65%), 7.98%, 01/22/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683425 |
| Mariner CLO LLC, Series 2016-3A, Class AR2, (3 mo. LIBOR US + 0.99%), 5.32%, 07/23/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187854 |
| Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-AA, Class A, 2.96%, 07/20/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2678184 |
| &nbsp;&nbsp;&nbsp;Series 2019-AA, Class C, 4.01%, 07/20/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1907315 |
| &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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600118 |
| &nbsp;&nbsp;&nbsp;Series 2021-AA, Class B, 2.33%, 03/20/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325333 |
| &nbsp;&nbsp;&nbsp;Series 2021-AA, Class C, 2.96%, 03/20/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2311945 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class C, 2.66%, 11/20/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3595857 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class D, 3.42%, 11/20/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767171 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class E, 4.68%, 11/20/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2534884 |
| &nbsp;&nbsp;&nbsp;Series 2022-AA, Class A, 6.45%, 10/20/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4386755 |
| MASTR Asset-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-WF1, Class M8, (1 mo. LIBOR US + 1.86%), 6.25%, 06/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1082085 |
| &nbsp;&nbsp;&nbsp;Series 2006-AM2, Class A4, (1 mo. LIBOR US + 0.52%), 4.91%, 06/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;268 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240019 |
| &nbsp;&nbsp;&nbsp;Series 2006-WMC2, Class A4, (1 mo. LIBOR US + 0.30%), 4.69%, 04/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889926 |
| &nbsp;&nbsp;&nbsp;Series 2007-HE1, Class A4, (1 mo. LIBOR US + 0.28%), 4.67%, 05/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63393 |
| MASTR Specialized Loan Trust, Series 2006-3, Class A, (1 mo. LIBOR US + 0.26%), 4.65%, 06/25/46<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13759 |
| Mercury Financial Credit Card Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class A, 1.54%, 03/20/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3940248 |
| &nbsp;&nbsp;&nbsp;Series 2022-1A, Class A, 2.50%, 09/21/26<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10017720 |
| MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;968 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767980 |
| Merrill Lynch First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-2, Class A2C, (1 mo. LIBOR US + 0.48%), 4.87%, 05/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1351910 |
| &nbsp;&nbsp;&nbsp;Series 2007-H1, Class 1A2, (1 mo. LIBOR US + 3.50%), 7.89%, 10/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2468682 |
| Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1 mo. LIBOR US + 0.26%), 4.65%, 08/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1319328 |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-FL10, Class A, (1 mo. CME Term SOFR + 2.64%), 6.96%, 09/17/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2127232 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL9, Class A, (1 mo. CME Term SOFR + 2.15%), 6.47%, 06/19/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2800234 |
| MF1 Ltd., Series 2021-FL7, Class A, (1 mo. LIBOR US + 1.08%), 5.42%, 10/16/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494696 |
| MidOcean Credit CLO III, Series 2014-3A, Class A3A2, (3 mo. LIBOR US + 0.97%), 5.25%, 04/21/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1206525 |
| Mill City Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-1A, Class A, 4.34%, 03/20/43<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1119940 |
| &nbsp;&nbsp;&nbsp;Series 2019-2GS, Class A, 3.69%, 07/20/43<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1751137 |
| Morgan Stanley ABS Capital I, Inc. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-NC1, Class A2D, (1 mo. LIBOR US + 0.22%), 4.61%, 11/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2635110 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Morgan Stanley ABS Capital I, Inc. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-SEA1, Class 2A1, (1 mo. LIBOR US + 1.90%), 6.29%, 02/25/47<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$69833 |
| Mosaic Solar Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-2GS, Class A, 4.20%, 02/22/44<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1133 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1025172 |
| &nbsp;&nbsp;&nbsp;Series 2019-1A, Class A, 4.37%, 12/21/43<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1828 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1697349 |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class A, 2.88%, 09/20/40<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235732 |
| &nbsp;&nbsp;&nbsp;Series 2020-2A, Class B, 2.21%, 08/20/46<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1558 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1322143 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class B, 2.05%, 12/20/46<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315071 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class B, 2.09%, 04/22/47<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3858 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2999717 |
| &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;&nbsp;&nbsp;&nbsp;&nbsp;1087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1021744 |
| &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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 927415 |
| MP CLO VIII Ltd., Series 2015-2A, Class ARR, (3 mo. LIBOR US + 1.20%), 5.57%, 04/28/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 768910 |
| Myers Park CLO Ltd., Series 2018-1A, Class B1, (3 mo. LIBOR US + 1.60%), 5.84%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241504 |
| Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1 mo. LIBOR US + 0.41%), 4.80%, 04/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341372 |
| Navient Private Education Loan Trust, Series 2020-IA, Class B, 2.95%, 04/15/69<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1493563 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-DA, Class A2A, 4.00%, 12/15/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1038419 |
| &nbsp;&nbsp;&nbsp;Series 2019-D, Class A2A, 3.01%, 12/15/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3004670 |
| &nbsp;&nbsp;&nbsp;Series 2020-CA, Class A2B, (1 mo. LIBOR US + 1.60%), 5.92%, 11/15/68<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3547775 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class A, (Prime Rate + (1.99)%), 5.01%, 04/15/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1384642 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class B, 2.61%, 04/15/60<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 981758 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class C, 3.48%, 04/15/60<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4190029 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class D, 4.00%, 04/15/60<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4233759 |
| Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1500155 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A1, (1 mo. LIBOR US + 0.80%), 5.15%, 04/20/62<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1750836 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A2, (1 mo. LIBOR US + 1.03%), 5.38%, 04/20/62<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2506934 |
| &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;&nbsp;&nbsp;2454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2171482 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class B2, 2.85%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1303590 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class C, 3.75%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98904 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class D, 4.93%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600123 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class B, 2.68%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6712852 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class C, 3.57%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308041 |
| &nbsp;&nbsp;&nbsp;Series 2021-BA, Class D, 4.75%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6545602 |
| &nbsp;&nbsp;&nbsp;Series 2021-CA, Class B, 2.53%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4181108 |
| &nbsp;&nbsp;&nbsp;Series 2021-CA, Class C, 3.36%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2140043 |
| &nbsp;&nbsp;&nbsp;Series 2021-CA, Class D, 4.44%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4398385 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class B, 2.90%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3824531 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class C, 3.50%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2105195 |
| &nbsp;&nbsp;&nbsp;Series 2021-DA, Class D, 4.38%, 04/20/62<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 509865 |
| Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class AR2, (3 mo. LIBOR US + 1.03%), 5.40%, 01/28/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 798654 |
| Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class AR2, (3 mo. LIBOR US + 1.03%), 5.36%, 04/22/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1223916 |
| Neuberger Berman CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-20A, Class ARR, (3 mo. LIBOR US + 1.16%), 5.24%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 510947 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Neuberger Berman CLO XX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-20A, Class DRR, (3 mo. LIBOR US + 2.95%), 7.03%, 07/15/34<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$932309 |
| &nbsp;&nbsp;&nbsp;Series 2015-20A, Class ERR, (3 mo. LIBOR US + 6.50%), 10.58%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 651330 |
| Neuberger Berman CLO XXII Ltd., Series 2016-22A, Class BR, (3 mo. LIBOR US + 1.65%), 5.73%, 10/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242578 |
| Neuberger Berman Loan Advisers CLO 26 Ltd., Series 2017-26A, Class AR, (3 mo. LIBOR US + 0.92%), 5.11%, 10/18/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3982924 |
| Neuberger Berman Loan Advisers CLO 29 Ltd., Series 2018-29A, Class A2, (3 mo. LIBOR US + 1.40%), 5.63%, 10/19/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241787 |
| Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class BR, (3 mo. CME Term SOFR + 1.75%), 5.71%, 01/20/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960865 |
| Neuberger Berman Loan Advisers CLO 35 Ltd., Series 2019-35A, Class C, (3 mo. LIBOR US + 2.60%), 6.83%, 01/19/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240796 |
| Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3 mo. LIBOR US + 1.10%), 5.18%, 07/16/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2917928 |
| Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, (3 mo. LIBOR US + 1.13%), 5.14%, 10/14/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4870829 |
| Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021-46A, Class B, (3 mo. LIBOR US + 1.65%), 5.89%, 01/20/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237445 |
| New Residential Mortgage Loan Trust, Series 2022-SFR2, Class F, 4.00%, 09/04/39<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2804344 |
| Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1 mo. LIBOR US + 0.40%), 4.79%, 10/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171693 |
| NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1 mo. LIBOR US + 0.48%), 4.87%, 11/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1327984 |
| Oakwood Mortgage Investors, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 1999-C, Class A2, 7.48%, 08/15/27<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2019123 |
| &nbsp;&nbsp;&nbsp;Series 2001-D, Class A2, 5.26%, 01/15/19<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13693 |
| &nbsp;&nbsp;&nbsp;Series 2002-A, Class M1, 7.76%, 03/15/32<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1905865 |
| &nbsp;&nbsp;&nbsp;Series 2002-C, Class M1, 6.89%, 11/15/32<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2442362 |
| Ocean Trails CLO V, Series 2014-5A, Class BRR, (3 mo. LIBOR US + 1.95%), 5.89%, 10/13/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 470974 |
| OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-12A, Class BR2, (3 mo. CME Term SOFR + 1.81%), 5.74%, 04/18/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2886651 |
| &nbsp;&nbsp;&nbsp;Series 2017-13A, Class A1AR, (3 mo. LIBOR US + 0.96%), 5.04%, 07/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1233550 |
| &nbsp;&nbsp;&nbsp;Series 2017-13A, Class A2R, (3 mo. LIBOR US + 1.55%), 5.63%, 07/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241714 |
| &nbsp;&nbsp;&nbsp;Series 2019-16A, Class AR, (3 mo. LIBOR US + 1.00%), 4.91%, 04/10/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1460967 |
| &nbsp;&nbsp;&nbsp;Series 2020-18A, Class AR, (3 mo. LIBOR US + 1.09%), 5.33%, 07/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1076404 |
| &nbsp;&nbsp;&nbsp;Series 2021-22A, Class A, (3 mo. LIBOR US + 1.18%), 5.42%, 12/02/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1943896 |
| Octagon 56 Ltd., Series 2021-1A, Class B, (3 mo. LIBOR US + 1.65%), 5.73%, 10/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237971 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3 mo. LIBOR US + 0.96%), 5.04%, 04/16/31<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;$2958695 |
| Octagon Investment Partners 29 Ltd., Series 2016-1A, Class AR, (3 mo. LIBOR US + 1.18%), 5.51%, 01/24/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244086 |
| Octagon Investment Partners 33 Ltd., Series 2017-1A, Class A1, (3 mo. LIBOR US + 1.19%), 5.43%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1086650 |
| Octagon Investment Partners 36 Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 0.97%), 5.05%, 04/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246258 |
| Octagon Investment Partners 37 Ltd., Series 2018-2A, Class A2, (3 mo. LIBOR US + 1.58%), 5.94%, 07/25/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 625434 |
| Octagon Investment Partners 51 Ltd., Series 2021-1A, Class A, (3 mo. LIBOR US + 1.15%), 5.39%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1206084 |
| Octagon Investment Partners XV Ltd., Series 2013-1A, Class A2R, (3 mo. LIBOR US + 1.35%), 5.58%, 07/19/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340460 |
| Octagon Investment Partners XVII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class A1R2, (3 mo. LIBOR US + 1.00%), 5.36%, 01/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985373 |
| &nbsp;&nbsp;&nbsp;Series 2013-1A, Class A2R2, (3 mo. LIBOR US + 1.10%), 5.46%, 01/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 482692 |
| OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.15%), 5.43%, 04/21/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1464887 |
| OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3 mo. LIBOR US + 1.14%), 5.38%, 07/02/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244006 |
| OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3 mo. LIBOR US + 1.15%), 5.48%, 10/22/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966827 |
| OHA Credit Funding 5 Ltd., Series 2020-5A, Class A2A, (3 mo. LIBOR US + 1.45%), 5.64%, 04/18/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287868 |
| OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3 mo. LIBOR US + 1.14%), 5.38%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646802 |
| OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3 mo. CME Term SOFR + 1.30%), 5.26%, 02/24/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749727 |
| OHA Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-2A, Class AR, (3 mo. LIBOR US + 1.04%), 5.73%, 05/23/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 758019 |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class AR3, (3 mo. LIBOR US + 1.15%), 5.38%, 01/19/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662418 |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class A, 3.14%, 10/14/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4819760 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class A2, (SOFR (30-day) + 0.76%), 4.57%, 06/16/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1147524 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class B, 1.95%, 06/16/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3711513 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class C, 2.22%, 06/16/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3612520 |
| &nbsp;&nbsp;&nbsp;Series 2022-3A, Class A, 5.94%, 05/15/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9400114 |
| Oportun Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class A, 1.47%, 05/08/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1720649 |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class B, 1.96%, 05/08/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4318852 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class A, 2.18%, 10/08/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6421129 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class B, 2.67%, 10/08/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11583503 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class C, 3.61%, 10/08/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2694514 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Option One Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-4, Class M3, (1 mo. LIBOR US + 0.74%), 5.12%, 11/25/35<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$382093 |
| &nbsp;&nbsp;&nbsp;Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3653159 |
| &nbsp;&nbsp;&nbsp;Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2292674 |
| Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1 mo. LIBOR US + 1.20%), 5.52%, 10/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1266741 |
| OSD CLO Ltd., Series 2021-23A, Class E, (3 mo. LIBOR US + 6.00%), 10.08%, 04/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889604 |
| OZLM Funding IV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-4A, Class A1R, (3 mo. LIBOR US + 1.25%), 5.58%, 10/22/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 821950 |
| &nbsp;&nbsp;&nbsp;Series 2013-4A, Class A2R, (3 mo. LIBOR US + 1.70%), 6.03%, 10/22/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 486991 |
| OZLM VI Ltd., Series 2014-6A, Class A2AS, (3 mo. LIBOR US + 1.75%), 5.83%, 04/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2448928 |
| OZLM VIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-8A, Class A2R3, (3 mo. LIBOR US + 1.65%), 5.73%, 10/17/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1152636 |
| &nbsp;&nbsp;&nbsp;Series 2014-8A, Class BR3, (3 mo. LIBOR US + 2.10%), 6.18%, 10/17/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1672614 |
| OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3 mo. LIBOR US + 1.25%), 5.33%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1436992 |
| OZLM XX Ltd., Series 2018-20A, Class D, (3 mo. LIBOR US + 5.80%), 10.04%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 745109 |
| OZLM XXII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-22A, Class A1, (3 mo. LIBOR US + 1.07%), 5.15%, 01/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1077069 |
| &nbsp;&nbsp;&nbsp;Series 2018-22A, Class A2, (3 mo. LIBOR US + 1.50%), 5.58%, 01/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474516 |
| Pagaya AI Debt Selection Trust, Series 2021-2, Class NOTE, 3.00%, 01/25/29<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1506981 |
| Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-2A, Class A1A3, (3 mo. LIBOR US + 1.00%), 5.23%, 10/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3332979 |
| &nbsp;&nbsp;&nbsp;Series 2014-1A, Class A1R2, (3 mo. LIBOR US + 1.13%), 5.21%, 01/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 989926 |
| &nbsp;&nbsp;&nbsp;Series 2014-1A, Class CR2, (3 mo. LIBOR US + 2.65%), 6.73%, 01/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 372360 |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class A1A4, (3 mo. LIBOR US + 1.13%), 5.81%, 05/21/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 645249 |
| &nbsp;&nbsp;&nbsp;Series 2015-1A, Class A2R4, (3 mo. LIBOR US + 1.70%), 6.38%, 05/21/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 952560 |
| &nbsp;&nbsp;&nbsp;Series 2015-2A, Class CR2, (3 mo. LIBOR US + 2.75%), 6.99%, 07/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 921039 |
| &nbsp;&nbsp;&nbsp;Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 5.22%, 04/18/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491694 |
| &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D, (3 mo. LIBOR US + 5.60%), 9.68%, 07/16/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447884 |
| &nbsp;&nbsp;&nbsp;Series 2020-3A, Class A1AR, (3 mo. LIBOR US + 1.08%), 5.69%, 11/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 942181 |
| &nbsp;&nbsp;&nbsp;Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.15%), 5.23%, 01/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377676 |
| Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-1A, Class A2, (3 mo. LIBOR US + 1.35%), 6.03%, 02/20/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1845958 |
| &nbsp;&nbsp;&nbsp;Series 2020-1A, Class C, (3 mo. LIBOR US + 2.50%), 7.18%, 02/20/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1708346 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class A2, (3 mo. LIBOR US + 1.25%), 5.93%, 05/20/29<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3560 | &nbsp;&nbsp;&nbsp;&nbsp;$3428142 |
| &nbsp;&nbsp;&nbsp;Series 2021-3A, Class D, (3 mo. LIBOR US + 5.00%), 9.24%, 07/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224546 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class B, (3 mo. LIBOR US + 1.75%), 5.83%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235547 |
| &nbsp;&nbsp;&nbsp;Series 2021-4A, Class C, (3 mo. LIBOR US + 2.60%), 6.68%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 225750 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A2, (3 mo. CME Term SOFR + 1.90%), 5.76%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2287674 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class B, (3 mo. CME Term SOFR + 2.20%), 6.06%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1297495 |
| &nbsp;&nbsp;&nbsp;Series 2022-2A, Class C, (3 mo. CME Term SOFR + 3.10%), 6.96%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234075 |
| Parallel Ltd., Series 2015-1A, Class C1R, (3 mo. LIBOR US + 1.75%), 5.99%, 07/20/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982198 |
| Park Avenue Institutional Advisers CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1R, (3 mo. LIBOR US + 1.20%), 5.89%, 08/23/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342566 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class DR, (3 mo. LIBOR US + 6.81%), 11.46%, 02/14/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769776 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D, (3 mo. LIBOR US + 3.40%), 7.48%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1681375 |
| Pikes Peak CLO 1, Series 2018-1A, Class A, (3 mo. LIBOR US + 1.18%), 5.51%, 07/24/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 754722 |
| Pikes Peak CLO 11, Series 2022-11A, Class A1, (3 mo. CME Term SOFR + 1.95%), 4.13%, 07/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2928415 |
| Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1 mo. LIBOR US + 0.54%), 4.93%, 05/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3822417 |
| PRET LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-NPL6, Class A1, 2.49%, 07/25/51<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10987112 |
| &nbsp;&nbsp;&nbsp;Series 2021-RN4, Class A1, 2.49%, 10/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5487170 |
| Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class B, (1 mo. LIBOR US + 2.50%), 6.89%, 07/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2992688 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class C, (1 mo. LIBOR US + 3.75%), 8.14%, 07/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3002234 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class D, (1 mo. LIBOR US + 5.90%), 10.29%, 07/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2235490 |
| Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-SFR3, Class E, 3.37%, 09/17/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2801201 |
| &nbsp;&nbsp;&nbsp;Series 2019-SFR3, Class F, 3.87%, 09/17/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 939246 |
| &nbsp;&nbsp;&nbsp;Series 2019-SFR4, Class E, 3.44%, 10/17/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2813309 |
| &nbsp;&nbsp;&nbsp;Series 2019-SFR4, Class F, 3.68%, 10/17/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2366552 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR10, Class E2, 3.67%, 12/17/40<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 783360 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR10, Class F, 4.61%, 12/17/40<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3267974 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR5, Class F, 3.16%, 07/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1490325 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR6, Class F, 3.42%, 07/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2967597 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR8, Class F, 3.18%, 10/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3702758 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR9, Class F, 4.05%, 11/17/40<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1904820 |
| &nbsp;&nbsp;&nbsp;Series 2022-SFR1, Class F, 4.88%, 02/17/41<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3901886 |
| &nbsp;&nbsp;&nbsp;Series 2022-SFR5, Class E1, 6.62%, 06/17/39<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1980876 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Race Point VIII CLO Ltd., Series 2013-8A, Class AR2, (3 mo. LIBOR US + 1.04%), 5.72%, 02/20/30<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1077 | &nbsp;&nbsp;&nbsp;&nbsp;$1060716 |
| Rad CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-15A, Class A, (3 mo. LIBOR US + 1.09%), 5.33%, 01/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379246 |
| &nbsp;&nbsp;&nbsp;Series 2021-15A, Class B, (3 mo. LIBOR US + 1.65%), 5.89%, 01/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 789737 |
| &nbsp;&nbsp;&nbsp;Series 2021-15A, Class E, (3 mo. LIBOR US + 6.20%), 10.44%, 01/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3844664 |
| Rad CLO 2 Ltd., Series 2018-2A, Class AR, (3 mo. LIBOR US + 1.08%), 5.16%, 10/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1228903 |
| Rad CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.55%), 5.63%, 04/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313297 |
| &nbsp;&nbsp;&nbsp;Series 2019-3A, Class CR, (3 mo. LIBOR US + 1.85%), 5.93%, 04/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234502 |
| &nbsp;&nbsp;&nbsp;Series 2019-3A, Class DR, (3 mo. LIBOR US + 2.75%), 6.83%, 04/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230035 |
| Rad CLO 4 Ltd., Series 2019-4A, Class D, (3 mo. LIBOR US + 3.85%), 8.21%, 04/25/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455351 |
| Rad CLO 7 Ltd., Series 2020-7A, Class A1, (3 mo. LIBOR US + 1.20%), 5.28%, 04/17/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245805 |
| Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3 mo. LIBOR US + 1.90%), 5.98%, 01/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480238 |
| Regatta IX Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class C, (3 mo. LIBOR US + 2.45%), 6.53%, 04/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241772 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D, (3 mo. LIBOR US + 3.90%), 7.98%, 04/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235642 |
| Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3 mo. LIBOR US + 1.16%), 5.40%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2923639 |
| Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3 mo. LIBOR US + 1.60%), 6.35%, 06/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239151 |
| Regatta VIII Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class B, (3 mo. LIBOR US + 1.70%), 5.78%, 10/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1217804 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D, (3 mo. LIBOR US + 3.20%), 7.28%, 10/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232284 |
| Regatta XVI Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class B, (3 mo. LIBOR US + 2.05%), 6.13%, 01/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722186 |
| &nbsp;&nbsp;&nbsp;Series 2019-2A, Class D, (3 mo. LIBOR US + 3.90%), 7.98%, 01/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 473778 |
| Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3 mo. LIBOR US + 7.61%), 11.69%, 10/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456546 |
| Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3 mo. LIBOR US + 6.80%), 11.04%, 01/20/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1344661 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-1, Class A, 2.34%, 10/15/30<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 669201 |
| &nbsp;&nbsp;&nbsp;Series 2020-1, Class B, 3.23%, 10/15/30<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288359 |
| &nbsp;&nbsp;&nbsp;Series 2020-1, Class C, 3.80%, 10/15/30<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 720282 |
| &nbsp;&nbsp;&nbsp;Series 2021-2, Class B, 2.35%, 08/15/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881256 |
| &nbsp;&nbsp;&nbsp;Series 2021-2, Class C, 3.23%, 08/15/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649849 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class A, 3.88%, 10/17/33<sup>(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8714235 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A, 3.07%, 03/15/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2074402 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class B, 3.71%, 03/15/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4673514 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class C, 4.46%, 03/15/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 945193 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class D, 6.72%, 03/15/32<sup>(a)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2072 | &nbsp;&nbsp;&nbsp;&nbsp;$1763854 |
| &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;6193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6227406 |
| Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.14%, 11/25/35<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 926893 |
| Republic Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class A, 2.30%, 12/22/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5912898 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class B, 2.80%, 12/22/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7387146 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class C, 3.53%, 12/22/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1824287 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class D, 5.23%, 12/22/31<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2805739 |
| Riserva CLO Ltd., Series 2016-3A, Class ARR, (3 mo. LIBOR US + 1.06%), 5.25%, 01/18/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1067229 |
| Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class AR2, (3 mo. LIBOR US + 1.10%), 5.34%, 04/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1441216 |
| &nbsp;&nbsp;&nbsp;Series 2017-2A, Class BR, (3 mo. LIBOR US + 1.50%), 5.58%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1209919 |
| &nbsp;&nbsp;&nbsp;Series 2017-2A, Class CR, (3 mo. LIBOR US + 1.90%), 5.98%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 953621 |
| &nbsp;&nbsp;&nbsp;Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 6.93%, 10/15/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 923580 |
| &nbsp;&nbsp;&nbsp;Series 2017-3A, Class A, (3 mo. LIBOR US + 1.19%), 5.43%, 10/20/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2883066 |
| &nbsp;&nbsp;&nbsp;Series 2018-1A, Class A, (3 mo. LIBOR US + 1.10%), 5.78%, 05/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 738519 |
| &nbsp;&nbsp;&nbsp;Series 2020-1A, Class B, (3 mo. LIBOR US + 1.80%), 6.04%, 01/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1520902 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class A1, (3 mo. LIBOR US + 1.17%), 5.41%, 07/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3407903 |
| Romark CLO II Ltd., Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.18%), 5.53%, 07/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244732 |
| Romark WM-R Ltd., Series 2018-1A, Class A1, (3 mo. LIBOR US + 1.03%), 5.27%, 04/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1214137 |
| RR 19 Ltd., Series 2021-19A, Class A2, (3 mo. LIBOR US + 1.65%), 5.73%, 10/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 485618 |
| RR 3 Ltd., Series 2018-3A, Class A1R2, (3 mo. LIBOR US + 1.09%), 5.17%, 01/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4281633 |
| Service Experts Issuer LLC, Series 2021-1A, Class A, 2.67%, 02/02/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2674477 |
| SESAC Finance LLC, Series 2019-1, Class A2, 5.22%, 07/25/49<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2127429 |
| SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1 mo. LIBOR US + 0.32%), 4.71%, 07/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42671 |
| Shackleton CLO Ltd., Series 2013-3A, Class AR, (3 mo. LIBOR US + 1.12%), 5.20%, 07/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 975241 |
| Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3 mo. LIBOR US + 1.16%), 5.24%, 04/17/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4865316 |
| Signal Peak CLO 2 LLC, Series 2015-1A, Class AR2, (3 mo. LIBOR US + 0.98%), 5.22%, 04/20/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1396941 |
| Signal Peak CLO 5 Ltd., Series 2018-5A, Class A, (3 mo. LIBOR US + 1.11%), 5.47%, 04/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293951 |
| Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. LIBOR US + 1.27%), 5.51%, 04/20/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488480 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Silver Creek CLO Ltd., Series 2014-1A, Class AR, (3 mo. LIBOR US + 1.24%), 5.48%, 07/20/30<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1185 | &nbsp;&nbsp;&nbsp;&nbsp;$1170987 |
| Sixth Street CLO XVI Ltd., Series 2020-16A, Class A1A, (3 mo. LIBOR US + 1.32%), 5.56%, 10/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 724062 |
| Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3 mo. LIBOR US + 6.20%), 10.44%, 01/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 435420 |
| SLM Private Credit Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-A, Class A4, (3 mo. LIBOR US + 0.31%), 5.08%, 12/15/38<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1329244 |
| &nbsp;&nbsp;&nbsp;Series 2005-B, Class A4, (3 mo. LIBOR US + 0.33%), 5.10%, 06/15/39<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 972044 |
| &nbsp;&nbsp;&nbsp;Series 2006-BW, Class A5, (3 mo. LIBOR US + 0.20%), 4.97%, 12/15/39<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1756538 |
| SLM Private Education Loan Trust, Series 2010-C, Class A5, (1 mo. LIBOR US + 4.75%), 9.07%, 10/15/41<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3484326 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-C, Class B, 3.50%, 09/15/43<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2223674 |
| &nbsp;&nbsp;&nbsp;Series 2016-B, Class A2A, 2.43%, 02/17/32<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1024750 |
| &nbsp;&nbsp;&nbsp;Series 2017-A, Class A2B, (1 mo. LIBOR US + 0.90%), 5.22%, 09/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1511129 |
| &nbsp;&nbsp;&nbsp;Series 2017-B, Class A2A, 2.82%, 10/15/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 802149 |
| &nbsp;&nbsp;&nbsp;Series 2017-B, Class A2B, (1 mo. LIBOR US + 0.75%), 5.07%, 10/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1365440 |
| &nbsp;&nbsp;&nbsp;Series 2018-A, Class A2B, (1 mo. LIBOR US + 0.80%), 5.12%, 02/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2531305 |
| &nbsp;&nbsp;&nbsp;Series 2019-B, Class A2A, 2.84%, 06/15/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2744073 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class C, 2.99%, 01/15/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2747599 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class D1, 3.86%, 01/15/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1055328 |
| &nbsp;&nbsp;&nbsp;Series 2021-A, Class D2, 3.86%, 01/15/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710356 |
| &nbsp;&nbsp;&nbsp;Series 2021-B, Class A, 1.31%, 07/17/51<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2735276 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class A2, (1 mo. LIBOR US + 0.80%), 5.12%, 01/15/53<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1661788 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class APT1, 1.39%, 01/15/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1342506 |
| &nbsp;&nbsp;&nbsp;Series 2021-C, Class B, 2.30%, 01/15/53<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 718763 |
| SoFi Professional Loan Program LLC, Series 2019-B, Class A2FX, 3.09%, 08/17/48<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437732 |
| SoFi RR Funding IV Trust, Series 2021-1, Class A, 2.98%, 12/31/25<sup>(a)(b)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158101 |
| Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.07%), 5.40%, 01/26/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247130 |
| Sound Point CLO XV Ltd., Series 2017-1A, Class ARR, (3 mo. LIBOR US + 0.90%), 5.23%, 01/23/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3084685 |
| Sound Point CLO XXIII Ltd., Series 2019-2A, Class AR, (3 mo. LIBOR US + 1.17%), 5.25%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2160056 |
| Sound Point CLO XXVIII Ltd., Series 2020-3A, Class A1, (3 mo. LIBOR US + 1.28%), 5.64%, 01/25/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 980044 |
| Soundview Home Loan Trust, Series 2004-WMC1, Class M2, (1 mo. LIBOR US + 0.80%), 5.18%, 01/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89581 |
| SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 09/25/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1558 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1404757 |
| Steele Creek CLO Ltd., Series 2017-1A, Class A, (3 mo. LIBOR US + 1.25%), 5.33%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245644 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Stratus CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class E, (3 mo. LIBOR US + 5.00%), 9.24%, 12/29/29<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;$1099769 |
| &nbsp;&nbsp;&nbsp;Series 2021-1A, Class SUB, 0.00%, 12/29/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 390580 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class E, (3 mo. LIBOR US + 5.75%), 9.99%, 12/28/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1391511 |
| Structured Asset Investment Loan Trust, Series 2004-10, Class A11, (1 mo. LIBOR US + 1.50%), 5.89%, 11/25/34<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160521 |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL1, Class A3, (1 mo. LIBOR US + 0.60%), 4.99%, 01/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1248648 |
| Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1608726 |
| Symphony CLO XIV Ltd., Series 2014-14A, Class B1RR, (3 mo. LIBOR US + 1.70%), 5.71%, 07/14/26<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248716 |
| Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3 mo. LIBOR US + 0.96%), 5.04%, 04/16/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492836 |
| Symphony CLO XVI Ltd., Series 2015-16A, Class AR, (3 mo. LIBOR US + 1.15%), 5.23%, 10/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294600 |
| Symphony CLO XVII Ltd., Series 2016-17A, Class AR, (3 mo. LIBOR US + 0.88%), 4.96%, 04/15/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446407 |
| Symphony CLO XXII Ltd., Series 2020-22A, Class B, (3 mo. LIBOR US + 1.70%), 5.89%, 04/18/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239614 |
| Symphony CLO XXIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-23A, Class BR, (3 mo. LIBOR US + 1.60%), 5.68%, 01/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1112697 |
| &nbsp;&nbsp;&nbsp;Series 2020-23A, Class CR, (3 mo. LIBOR US + 2.00%), 6.08%, 01/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1422807 |
| &nbsp;&nbsp;&nbsp;Series 2020-23A, Class ER, (3 mo. LIBOR US + 6.15%), 10.23%, 01/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1140668 |
| Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3 mo. LIBOR US + 1.08%), 5.32%, 04/20/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 671519 |
| Symphony Static CLO I Ltd., Series 2021-1A, Class C, (3 mo. LIBOR US + 1.85%), 6.21%, 10/25/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 468618 |
| TCI-Flatiron CLO Ltd., Series 2017-1A, Class AR, (3 mo. LIBOR US + 0.96%), 5.61%, 11/18/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982316 |
| TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3 mo. LIBOR US + 1.55%), 5.63%, 07/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 962554 |
| TCW CLO AMR Ltd., Series 2019-1A, Class ASNR, (3 mo. LIBOR US + 1.22%), 5.86%, 08/16/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243362 |
| TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 7.37%, 04/26/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481299 |
| TICP CLO III-2 Ltd., Series 2018-3R, Class B, (3 mo. LIBOR US + 1.35%), 5.59%, 04/20/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492294 |
| TICP CLO IX Ltd., Series 2017-9A, Class B, (3 mo. LIBOR US + 1.60%), 5.84%, 01/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244207 |
| TICP CLO V Ltd., Series 2016-5A, Class DR, (3 mo. LIBOR US + 3.15%), 7.23%, 07/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232507 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| TICP CLO VI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-6A, Class AR2, (3 mo. LIBOR US + 1.12%), 5.20%, 01/15/34<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4250 | &nbsp;&nbsp;&nbsp;&nbsp;$4161693 |
| &nbsp;&nbsp;&nbsp;Series 2016-6A, Class BR2, (3 mo. LIBOR US + 1.50%), 5.58%, 01/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 305464 |
| TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 11.13%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536250 |
| TICP CLO XI Ltd., Series 2018-11A, Class B, (3 mo. LIBOR US + 1.73%), 5.97%, 10/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438763 |
| TICP CLO XII Ltd., Series 2018-12A, Class AR, (3 mo. LIBOR US + 1.17%), 5.25%, 07/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244784 |
| TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3 mo. LIBOR US + 6.70%), 10.94%, 10/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1148258 |
| TICP CLO XV Ltd., Series 2020-15A, Class A, (3 mo. LIBOR US + 1.28%), 5.52%, 04/20/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 739486 |
| Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1 mo. LIBOR US + 1.00%), 5.39%, 05/25/58<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1278202 |
| Trestles CLO Ltd., Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.99%), 5.35%, 04/25/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635946 |
| Trestles CLO V Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-5A, Class A1, (3 mo. LIBOR US + 1.17%), 5.41%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7001277 |
| &nbsp;&nbsp;&nbsp;Series 2021-5A, Class E, (3 mo. LIBOR US + 6.35%), 10.59%, 10/20/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 863261 |
| Tricon American Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-SFR1, Class E, 4.56%, 05/17/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1870754 |
| &nbsp;&nbsp;&nbsp;Series 2019-SFR1, Class E, 3.40%, 03/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1787214 |
| &nbsp;&nbsp;&nbsp;Series 2020-SFR1, Class F, 4.88%, 07/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6529522 |
| Tricon Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR1, Class F, 3.69%, 07/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2748481 |
| &nbsp;&nbsp;&nbsp;Series 2021-SFR1, Class G, 4.13%, 07/17/38<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1741142 |
| Trimaran Cavu Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-1A, Class A2, (3 mo. LIBOR US + 1.90%), 6.14%, 07/20/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237089 |
| &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 7.61%, 10/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 271946 |
| Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3 mo. LIBOR US + 1.40%), 5.59%, 10/18/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241997 |
| Upstart Pass-Through Trust, Series 2021-ST9, Class A, 1.70%, 11/20/29<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3602994 |
| Venture 39 CLO Ltd., Series 2020-39A, Class A1, (3 mo. LIBOR US + 1.28%), 5.36%, 04/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329633 |
| VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12389853 |
| Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-2A, Class A1R, (3 mo. LIBOR US + 1.23%), 5.29%, 04/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 984314 |
| &nbsp;&nbsp;&nbsp;Series 2013-3A, Class A1RR, (3 mo. LIBOR US + 1.15%), 5.34%, 10/18/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493806 |
| &nbsp;&nbsp;&nbsp;Series 2015-3A, Class A1R, (3 mo. LIBOR US + 1.19%), 5.43%, 10/20/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491750 |
| &nbsp;&nbsp;&nbsp;Series 2017-1A, Class A1R, (3 mo. LIBOR US + 0.95%), 5.03%, 04/17/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233690 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-3A, Class A1R, (3 mo. LIBOR US + 1.04%), 5.28%, 04/20/34<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$968332 |
| &nbsp;&nbsp;&nbsp;Series 2017-4A, Class A1, (3 mo. LIBOR US + 1.13%), 5.21%, 10/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1234480 |
| &nbsp;&nbsp;&nbsp;Series 2018-1A, Class A2, (3 mo. LIBOR US + 1.30%), 5.53%, 04/19/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244200 |
| &nbsp;&nbsp;&nbsp;Series 2018-2A, Class A1, (3 mo. LIBOR US + 1.00%), 5.08%, 07/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245667 |
| &nbsp;&nbsp;&nbsp;Series 2018-3A, Class A1A, (3 mo. LIBOR US + 1.15%), 5.23%, 10/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246671 |
| Washington Mutual Asset-Backed Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-HE3, Class 1A, (1 mo. LIBOR US + 0.31%), 4.70%, 08/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6812871 |
| &nbsp;&nbsp;&nbsp;Series 2006-HE4, Class 2A2, (1 mo. LIBOR US + 0.36%), 4.75%, 09/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64504 |
| &nbsp;&nbsp;&nbsp;Series 2006-HE5, Class 1A, (1 mo. LIBOR US + 0.16%), 3.94%, 10/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965378 |
| &nbsp;&nbsp;&nbsp;Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.24%), 4.63%, 05/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91372 |
| Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3 mo. LIBOR US + 1.15%), 5.23%, 01/17/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1495693 |
| Whitebox CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2A, Class A1R, (3 mo. LIBOR US + 1.22%), 5.55%, 10/24/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308761 |
| &nbsp;&nbsp;&nbsp;Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 7.68%, 10/24/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226655 |
| &nbsp;&nbsp;&nbsp;Series 2020-2A, Class ER, (3 mo. LIBOR US + 7.10%), 11.43%, 10/24/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448078 |
| Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. LIBOR US + 1.22%), 5.30%, 10/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3889562 |
| Yale Mortgage Loan Trust, Series 2007-1, Class A, (1 mo. LIBOR US + 0.40%), 4.79%, 06/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145467 |
| York CLO 1 Ltd., Series 2014-1A, Class CRR, (3 mo. LIBOR US + 2.10%), 6.43%, 10/22/29<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241100 |
| **Total Asset-Backed Securities — 52.2%<br>(Cost: $1,372,124,646)<br>** | **Total Asset-Backed Securities — 52.2%<br>(Cost: $1,372,124,646)<br>** | **Total Asset-Backed Securities — 52.2%<br>(Cost: $1,372,124,646)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;1261146616 |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** | **Banks — 0.0%** |
| Washington Mutual Escrow Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp;0.00% <sup>(d)(f)(g)(h)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;0.00% <sup>(d)(f)(g)(h)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** |
| Ambac Assurance Corp., 5.10% <sup>(a)(h)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80840 |
| **Total Corporate Bonds — 0.0%<br>(Cost: $75,214)<br>** | **Total Corporate Bonds — 0.0%<br>(Cost: $75,214)<br>** | **Total Corporate Bonds — 0.0%<br>(Cost: $75,214)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80840 |
| **Floating Rate Loan Interests<sup>(d)</sup>** | **Floating Rate Loan Interests<sup>(d)</sup>** | **Floating Rate Loan Interests<sup>(d)</sup>** | **Floating Rate Loan Interests<sup>(d)</sup>** |
| **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** |
| Project Pearl Pasco Holdings LLC, Advance, (1 mo. LIBOR US + 2.25%, 0.00% Floor), 6.52%, 09/15/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2900430 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** | **Real Estate Management & Development — 0.2%** |
| MUPR 3 Assets LLC, Facility, (1 mo. SOFR US + 2.75%, 0.00% Floor), 6.55%, 03/25/24<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4049 | &nbsp;&nbsp;&nbsp;&nbsp;$4039033 |
| **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** |
| Caliber Home Loans, Inc., Advances, (1 mo. SOFR US + 3.00%, 0.00% Floor), 6.91%, 07/24/25<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3980000 |
| **Total Floating Rate Loan Interests — 0.5%<br>(Cost: $10,971,709)<br>** | **Total Floating Rate Loan Interests — 0.5%<br>(Cost: $10,971,709)<br>** | **Total Floating Rate Loan Interests — 0.5%<br>(Cost: $10,971,709)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10919463 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 14.3%** | **Collateralized Mortgage Obligations — 14.3%** | **Collateralized Mortgage Obligations — 14.3%** | **Collateralized Mortgage Obligations — 14.3%** |
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 3.30%, 05/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3148060 |
| Agate Bay Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-1, Class B5, 3.67%, 01/25/45<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462517 |
| &nbsp;&nbsp;&nbsp;Series 2015-3, Class B5, 3.54%, 04/25/45<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 535319 |
| &nbsp;&nbsp;&nbsp;Series 2015-4, Class B5, 3.52%, 06/25/45<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349000 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-G, Class A, 1.88%, 06/25/61<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9391 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8569500 |
| &nbsp;&nbsp;&nbsp;Series 2021-G, Class B, 3.75%, 06/25/61<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1088609 |
| &nbsp;&nbsp;&nbsp;Series 2021-G, Class C, 0.00%, 06/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2315641 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class A1, 3.50%, 10/25/61<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8396194 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class A2, 3.00%, 10/25/61<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 391454 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class A3, 3.00%, 10/25/61<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204401 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class B, 3.00%, 10/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1912 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1261167 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class C, 3.00%, 10/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1223501 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class M1, 3.00%, 10/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;279 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217290 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class M2, 3.00%, 10/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 932792 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class M3, 3.00%, 10/25/61<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57052 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A1, 3.50%, 03/27/62<sup>(a)(b)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11765 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10904947 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A2, 3.00%, 03/27/62<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 305663 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class A3, 3.00%, 03/27/62<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259822 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class B, 3.00%, 03/27/62<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1270048 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class C, 3.00%, 03/27/62<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1080236 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class M1, 3.00%, 03/27/62<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191075 |
| &nbsp;&nbsp;&nbsp;Series 2022-B, Class M2, 3.00%, 03/27/62<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860403 |
| American Home Mortgage Assets Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-4, Class 1A12, (1 mo. LIBOR US + 0.21%), 4.60%, 10/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47367 |
| &nbsp;&nbsp;&nbsp;Series 2006-6, Class A1A, (1 mo. LIBOR US + 0.19%), 4.58%, 12/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4952 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3995374 |
| &nbsp;&nbsp;&nbsp;Series 2007-1, Class A1, (12 mo. Federal Reserve Cumulative Average US + 0.70%), 2.75%, 02/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12933 |
| Angel Oak Mortgage Trust, Series 2019-5, Class B1, 3.96%, 10/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326971 |
| APS Resecuritization Trust, Series 2016-3, Class 3A, (1 mo. LIBOR US + 2.85%), 7.24%, 09/27/46<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100164 |
| Banc of America Alternative Loan Trust, Series 2006-4, Class 3CB1, (1 mo. LIBOR US + 0.80%), 5.19%, 05/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439431 |
| Banc of America Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-R2, Class 1C, 0.00%, 11/26/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80031 |
| &nbsp;&nbsp;&nbsp;Series 2016-R2, Class 1A1, 4.70%, 05/01/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324958 |
| Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701976 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-NPL1, Class A, 2.00%, 11/25/51<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9358 | &nbsp;&nbsp;&nbsp;&nbsp;$8754306 |
| &nbsp;&nbsp;&nbsp;Series 2021-NPL1, Class B, 4.63%, 11/25/51<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 979148 |
| &nbsp;&nbsp;&nbsp;Series 2021-NPL1, Class C, 0.00%, 11/25/51<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2162053 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class A1, 4.55%, 07/25/52<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3659870 |
| &nbsp;&nbsp;&nbsp;Series 2022-RPL1, Class A, 4.25%, 02/25/28<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7503496 |
| &nbsp;&nbsp;&nbsp;Series 2022-RPL1, Class B, 4.25%, 02/25/28<sup>(a)(b)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1092960 |
| &nbsp;&nbsp;&nbsp;Series 2022-RPL1, Class C, 0.00%, 02/25/28<sup>(a)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2221 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1132839 |
| &nbsp;&nbsp;&nbsp;Series 2022-RPL1, Class SA, 0.00%, 02/25/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34879 |
| BCAP LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2011-RR4, Class 3A6, 3.60%, 07/26/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1200375 |
| &nbsp;&nbsp;&nbsp;Series 2011-RR5, Class 11A5, (1 mo. LIBOR US + 0.15%), 3.84%, 05/28/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300324 |
| Bear Stearns Asset Backed Securities I Trust, Series 2006-AC1, Class 1A2, 6.25%, 02/25/36<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101131 |
| Bear Stearns Mortgage Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-SL1, Class A1, (1 mo. LIBOR US + 0.28%), 4.67%, 08/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375707 |
| &nbsp;&nbsp;&nbsp;Series 2007-AR2, Class A1, (1 mo. LIBOR US + 0.17%), 4.56%, 03/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175293 |
| &nbsp;&nbsp;&nbsp;Series 2007-AR4, Class 2A1, (1 mo. LIBOR US + 0.21%), 4.60%, 06/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15598 |
| Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1, 6.00%, 12/25/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4095884 |
| CHNGE Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A1, 3.01%, 01/25/67<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2739 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2428414 |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class A1, 3.76%, 03/25/67<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8284870 |
| &nbsp;&nbsp;&nbsp;Series 2022-4, Class A1, 6.00%, 10/25/57<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694178 |
| CIM Trust, Series 2019-J2, Class B4, 3.77%, 10/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635176 |
| Citicorp Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-9, Class 1A1, 6.25%, 12/25/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1623569 |
| &nbsp;&nbsp;&nbsp;Series 2008-2, Class 1A1, 6.50%, 06/25/38<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220121 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-C, Class B2, 4.25%, 02/25/54<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282221 |
| &nbsp;&nbsp;&nbsp;Series 2019-RP1, Class A1, 3.50%, 01/25/66<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1582444 |
| &nbsp;&nbsp;&nbsp;Series 2022-A, Class A1, 6.17%, 09/25/62<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7009858 |
| CitiMortgage Alternative Loan Trust, Series 2007-A3, Class 1A5, 6.00%, 03/25/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1512428 |
| COLT Mortgage Loan Trust, Series 2020-2, Class M1, 5.25%, 03/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661355 |
| Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-22T1, Class A1, (1 mo. LIBOR US + 0.35%), 4.74%, 06/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 961571 |
| &nbsp;&nbsp;&nbsp;Series 2005-51, Class 3A3A, (1 mo. LIBOR US + 0.64%), 4.99%, 11/20/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346724 |
| &nbsp;&nbsp;&nbsp;Series 2005-76, Class 2A1, (12 mo. Federal Reserve Cumulative Average US + 1.00%), 3.05%, 02/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365483 |
| &nbsp;&nbsp;&nbsp;Series 2006-11CB, Class 3A1, 6.50%, 05/25/36<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533316 |
| &nbsp;&nbsp;&nbsp;Series 2006-J7, Class 1A2, 6.25%, 11/25/36<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1388182 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-OC10, Class 2A3, (1 mo. LIBOR US + 0.46%), 4.85%, 11/25/36<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$396433 |
| &nbsp;&nbsp;&nbsp;Series 2006-OC7, Class 2A3, (1 mo. LIBOR US + 0.50%), 4.89%, 07/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2710132 |
| &nbsp;&nbsp;&nbsp;Series 2007-3T1, Class 1A1, 6.00%, 04/25/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 569599 |
| &nbsp;&nbsp;&nbsp;Series 2007-9T1, Class 1A1, 6.00%, 05/25/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88422 |
| &nbsp;&nbsp;&nbsp;Series 2007-OA2, Class 1A1, (12 mo. Federal Reserve Cumulative Average US + 0.84%), 2.89%, 03/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149966 |
| Countrywide Home Loan Mortgage Pass-Through Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-J2, Class 3A9, (1 mo. LIBOR US + 1.40%), 5.79%, 08/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1809300 |
| &nbsp;&nbsp;&nbsp;Series 2007-15, Class 2A2, 6.50%, 09/25/37<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268547 |
| &nbsp;&nbsp;&nbsp;Series 2007-HYB1, Class 3A1, 3.54%, 03/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1179994 |
| Credit Suisse Mortgage Capital Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2009-12R, Class 3A1, 6.50%, 10/27/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15415 |
| &nbsp;&nbsp;&nbsp;Series 2020-SPT1, Class B2, 3.39%, 04/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5734889 |
| &nbsp;&nbsp;&nbsp;Series 2021-RPL9, Class A1, 2.44%, 02/25/61<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4039761 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-5, Class 1A11, 7.00%, 08/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1047307 |
| &nbsp;&nbsp;&nbsp;Series 2014-9R, Class 9A1, (1 mo. LIBOR US + 0.12%), 4.14%, 08/27/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69193 |
| &nbsp;&nbsp;&nbsp;Series 2014-SAF1, Class B5, 3.84%, 03/25/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1139327 |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM1, Class M1, 2.13%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2293192 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class A1, 2.27%, 11/25/66<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4525081 |
| Deephaven Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class B2, 3.96%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108419 |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class M1, 2.09%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1266381 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class B1, 3.27%, 08/25/66<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2064766 |
| Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14176 |
| GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-NQM2, Class B1, 4.85%, 04/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2098831 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM4, Class A1, 5.27%, 08/25/67<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3781331 |
| GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, (12 mo. Federal Reserve Cumulative Average US + 2.00%), 4.05%, 03/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14861 |
| GS Mortgage-Backed Securities Corp. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-PJ2, Class A4, 4.00%, 11/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 296809 |
| &nbsp;&nbsp;&nbsp;Series 2020-PJ2, Class B4, 3.57%, 07/25/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 805197 |
| GSMPS Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2004-4, Class 1AF, (1 mo. LIBOR US + 0.40%), 4.79%, 06/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2844105 |
| &nbsp;&nbsp;&nbsp;Series 2005-RP2, Class 1AF, (1 mo. LIBOR US + 0.35%), 4.74%, 03/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52689 |
| &nbsp;&nbsp;&nbsp;Series 2005-RP3, Class 2A1, 3.62%, 09/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3004696 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| GSMPS Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-RP1, Class 1AF1, (1 mo. LIBOR US + 0.35%), 4.74%, 01/25/36<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$38934 |
| &nbsp;&nbsp;&nbsp;Series 2006-RP2, Class 2A1, 3.49%, 04/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2013393 |
| GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 3.00%, 04/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1251226 |
| Homeward Opportunities Fund I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2, Class B1, 5.45%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3213913 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3658738 |
| IndyMac Index Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-AR27, Class 2A2, (1 mo. LIBOR US + 0.40%), 4.79%, 10/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186238 |
| &nbsp;&nbsp;&nbsp;Series 2007-AR19, Class 3A1, 3.37%, 09/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418162 |
| &nbsp;&nbsp;&nbsp;Series 2007-FLX5, Class 2A2, (1 mo. LIBOR US + 0.24%), 4.63%, 08/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2414791 |
| JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3581822 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-A4, Class B1, 3.70%, 07/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312446 |
| &nbsp;&nbsp;&nbsp;Series 2020-5, Class B3, 3.58%, 12/25/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2870303 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV5, Class A2A, 2.50%, 12/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14056156 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class A3A, 2.50%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14077112 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class A4A, 2.50%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4166176 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class B1, 3.27%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3094556 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class B2, 3.27%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702261 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class B3, 3.27%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943279 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class B4, 3.27%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;666 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422531 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class B5, 3.27%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161070 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class B6, 3.21%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307787 |
| Legacy Mortgage Asset Trust, Series 2020-SL1, Class A, 2.73%, 01/25/60<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161963 |
| Lehman XS Trust, Series 2007-20N, Class A1, (1 mo. LIBOR US + 2.30%), 6.69%, 12/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25287 |
| Loan Revolving Advance Investment Trust, Series 2021-2, Class A1X, (1 mo. LIBOR US + 2.75%), 7.04%, 06/30/23<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2357658 |
| LSTAR Securities Investment Ltd., Series 2019-3, Class A1, (1 mo. LIBOR US + 3.50%), 7.87%, 04/01/24<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2012277 |
| MASTR Resecuritization Trust, Series 2008-1, Class A1, 6.00%, 09/27/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 805459 |
| MCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-VFN1, Class Cert, 3.00%, 08/25/28<sup>(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 685066 |
| &nbsp;&nbsp;&nbsp;Series 2021-VFN1, Class Note, 2.50%, 09/25/31<sup>(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1823953 |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-INV1, Class M1, 2.29%, 01/25/56<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 513806 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM3, Class A1, 5.57%, 09/25/67<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3221244 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| MFRA Trust, Series 2022-CHM1, Class A1, 3.88%, 09/25/56<sup>(a)(b)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7089 | &nbsp;&nbsp;&nbsp;&nbsp;$6633358 |
| Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3, 5.03%, 06/25/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175508 |
| Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, (1 mo. LIBOR US + 0.34%), 4.46%, 04/16/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202242 |
| New Residential Mortgage Loan Trust, Series 2019-2A, Class A1, 4.25%, 12/25/57<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1346310 |
| Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-AP1, Class 2A4, 6.05%, 02/25/35<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 325565 |
| &nbsp;&nbsp;&nbsp;Series 2007-2, Class A4, (1 mo. LIBOR US + 0.42%), 4.81%, 06/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 546872 |
| NYMT Loan Trust, Series 2020-SP2, Class A1, 2.94%, 10/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5991894 |
| OBX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234260 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM7, Class A1, 5.11%, 08/25/62<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2546 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2497368 |
| Preston Ridge Partners Mortgage LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-4, Class A1, 1.87%, 04/25/26<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3232672 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class A1, 3.72%, 02/25/27<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4018889 |
| PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-AFC2, Class A1, 2.07%, 11/25/56<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1031724 |
| &nbsp;&nbsp;&nbsp;Series 2022-AFC1, Class A1A, 4.10%, 04/25/57<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502027 |
| &nbsp;&nbsp;&nbsp;Series 2022-AFC2, Class A1, 5.34%, 08/25/57<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7763391 |
| RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-QA10, Class A21, 4.14%, 09/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2248232 |
| &nbsp;&nbsp;&nbsp;Series 2006-QO1, Class 3A1, (1 mo. LIBOR US + 0.54%), 4.93%, 02/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1064370 |
| &nbsp;&nbsp;&nbsp;Series 2006-QO10, Class A1, (1 mo. LIBOR US + 0.32%), 4.71%, 01/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1525820 |
| RCKT Mortgage Trust, Series 2020-1, Class B4, 3.47%, 02/25/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 747360 |
| RCO VI Mortgage LLC, Series 2022-1, Class A1, 3.00%, 01/25/27<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15077203 |
| Reperforming Loan REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-R2, Class 1AF1, (1 mo. LIBOR US + 0.34%), 4.73%, 06/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318350 |
| &nbsp;&nbsp;&nbsp;Series 2005-R3, Class AF, (1 mo. LIBOR US + 0.40%), 4.79%, 09/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437602 |
| Residential Mortgage Loan Trust, Series 2019-3, Class B2, 5.66%, 09/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2385996 |
| RFMSI Series Trust, Series 2005-SA4, Class 2A1, 4.14%, 09/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1312550 |
| RFMSI Series Trust, Series 2006-SA2, Class 2A1, 4.85%, 08/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329862 |
| RMF Buyout Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-HB1, Class M3, 3.69%, 11/25/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2480340 |
| &nbsp;&nbsp;&nbsp;Series 2021-HB1, Class M6, 6.00%, 11/25/31<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 752842 |
| SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 792875 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Starwood Mortgage Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-3, Class B1, 4.75%, 04/25/65<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2820 | &nbsp;&nbsp;&nbsp;&nbsp;$2083171 |
| &nbsp;&nbsp;&nbsp;Series 2020-INV1, Class B1, 3.26%, 11/25/55<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216276 |
| &nbsp;&nbsp;&nbsp;Series 2020-INV1, Class M1, 2.50%, 11/25/55<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2262274 |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class B1, 3.52%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437347 |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1 mo. LIBOR US + 0.42%), 4.81%, 05/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18689 |
| Structured Asset Securities Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-RF3, Class 1A, (1 mo. LIBOR US + 0.35%), 4.74%, 06/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 734118 |
| &nbsp;&nbsp;&nbsp;Series 2005-RF5, Class 2A, 3.54%, 07/25/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1920312 |
| Structured Asset Securities Corp. Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-RF3, Class 1A2, 6.00%, 10/25/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2604097 |
| &nbsp;&nbsp;&nbsp;Series 2006-RF4, Class 2A1, 6.00%, 10/25/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723978 |
| Thornburg Mortgage Securities Trust, Series 2006-3, Class A1, 2.72%, 06/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698546 |
| Toorak Mortgage Corp., Series 2021-INV2, Class B1, 4.10%, 11/25/56<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2485791 |
| TVC Mortgage Trust, Series 2020-RTL1, Class A1, 3.47%, 09/25/24<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78784 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-4, Class B1, 3.86%, 11/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 622361 |
| &nbsp;&nbsp;&nbsp;Series 2020-4, Class B1, 5.05%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2006854 |
| &nbsp;&nbsp;&nbsp;Series 2020-5, Class M1, 2.60%, 05/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209374 |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class M1, 1.97%, 01/25/66<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1773638 |
| &nbsp;&nbsp;&nbsp;Series 2021-R1, Class M1, 2.34%, 10/25/63<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2566670 |
| &nbsp;&nbsp;&nbsp;Series 2021-R2, Class B1, 3.25%, 02/25/64<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191679 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class B1, 4.01%, 01/25/67<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 954610 |
| Visio Trust, Series 2019-2, Class B1, 3.91%, 11/25/54<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69918 |
| Vista Point Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2, Class A3, 2.50%, 04/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111398 |
| &nbsp;&nbsp;&nbsp;Series 2020-2, Class M1, 3.40%, 04/25/65<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135731 |
| Washington Mutual Mortgage Pass-Through Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2005-9, Class 5A6, (1 mo. LIBOR US + 0.55%), 4.94%, 11/25/35<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;396 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 271071 |
| &nbsp;&nbsp;&nbsp;Series 2005-9, Class 5A9, 5.50%, 11/25/35<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119456 |
| &nbsp;&nbsp;&nbsp;Series 2006-4, Class 1A1, 6.00%, 04/25/36<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136469 |
| &nbsp;&nbsp;&nbsp;Series 2006-4, Class 3A1, 6.50%, 05/25/36<sup>(b)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86869 |
| &nbsp;&nbsp;&nbsp;Series 2006-AR1, Class A1A, (1 mo. LIBOR US + 0.50%), 4.89%, 02/25/36<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1020563 |
| &nbsp;&nbsp;&nbsp;Series 2006-AR5, Class A1A, (12 mo. Federal Reserve Cumulative Average US + 0.99%), 3.04%, 06/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139288 |
| &nbsp;&nbsp;&nbsp;Series 2007-HY1, Class A2A, (1 mo. LIBOR US + 0.32%), 4.71%, 02/25/37<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;541 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441688 |
| &nbsp;&nbsp;&nbsp;Series 2007-OA1, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.71%), 2.76%, 12/25/46<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2639 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2141214 |
| &nbsp;&nbsp;&nbsp;Series 2007-OA4, Class 2A, (Cost of Funds for the 11th District of San Francisco + 0.80%), 2.85%, 05/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1819344 |
| &nbsp;&nbsp;&nbsp;Series 2007-OA5, Class 1A, (12 mo. Federal Reserve Cumulative Average US + 0.75%), 2.80%, 06/25/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393251 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 4.48%, 10/25/36<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$893101 |
| Western Alliance CLN, Series 2021-CL1, Class M, 5.63%, 12/28/24<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8534361 |
| Western Mortgage Reference Notes |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 7.08%, 07/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9801833 |
| &nbsp;&nbsp;&nbsp;Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 7.63%, 07/25/59<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9860167 |
| WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.98%, 11/20/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 809498 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;345403366 |
| **Commercial Mortgage-Backed Securities — 24.5%** | **Commercial Mortgage-Backed Securities — 24.5%** | **Commercial Mortgage-Backed Securities — 24.5%** | **Commercial Mortgage-Backed Securities — 24.5%** |
| 245 Park Avenue Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-245P, Class A, 3.51%, 06/05/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4444467 |
| &nbsp;&nbsp;&nbsp;Series 2017-245P, Class C, 3.66%, 06/05/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2472991 |
| &nbsp;&nbsp;&nbsp;Series 2017-245P, Class E, 3.66%, 06/05/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 827472 |
| 280 Park Avenue Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-280P, Class A, (1 mo. LIBOR US + 0.88%), 5.12%, 09/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4873947 |
| &nbsp;&nbsp;&nbsp;Series 2017-280P, Class E, (1 mo. LIBOR US + 2.12%), 6.36%, 09/15/34<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1399549 |
| Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7699 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7327787 |
| Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5, 2.58%, 10/15/54<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2749677 |
| AREIT LLC, Series 2022-CRE7, Class A, (1 mo. CME Term SOFR + 2.24%), 6.57%, 06/17/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3051544 |
| Ashford Hospitality Trust, Series 2018-ASHF, Class D, (1 mo. LIBOR US + 2.10%), 6.42%, 04/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1037257 |
| Austin Fairmont Hotel Trust, Series 2019-FAIR, Class A, (1 mo. LIBOR US + 1.05%), 5.37%, 09/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1955916 |
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-200P, Class F, 3.60%, 04/14/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1051571 |
| &nbsp;&nbsp;&nbsp;Series 2017-SCH, Class AL, (1 mo. LIBOR US + 0.90%), 5.22%, 11/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2254355 |
| &nbsp;&nbsp;&nbsp;Series 2017-SCH, Class DL, (1 mo. LIBOR US + 2.00%), 6.32%, 11/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924928 |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-BN22, Class A4, 2.98%, 11/15/62<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2615179 |
| &nbsp;&nbsp;&nbsp;Series 2020-BN28, Class A4, 1.84%, 03/15/63<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3324237 |
| &nbsp;&nbsp;&nbsp;Series 2021-BN35, Class A5, 2.29%, 06/15/64<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 598334 |
| &nbsp;&nbsp;&nbsp;Series 2021-BN37, Class A5, 2.62%, 11/15/64<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 880078 |
| Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2006-1A, Class A1, (1 mo. LIBOR US + 0.41%), 4.79%, 04/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5994596 |
| &nbsp;&nbsp;&nbsp;Series 2006-1A, Class A2, (1 mo. LIBOR US + 0.54%), 4.93%, 04/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13502 |
| &nbsp;&nbsp;&nbsp;Series 2006-4A, Class A2, (1 mo. LIBOR US + 0.41%), 4.79%, 12/25/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1304352 |
| &nbsp;&nbsp;&nbsp;Series 2006-SP2, Class A, (1 mo. LIBOR US + 0.42%), 4.81%, 01/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1348446 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-1, Class A2, (1 mo. LIBOR US + 0.41%), 4.79%, 03/25/37<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7057 | &nbsp;&nbsp;&nbsp;&nbsp;$6393134 |
| &nbsp;&nbsp;&nbsp;Series 2007-2A, Class A1, (1 mo. LIBOR US + 0.27%), 4.66%, 07/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29049 |
| &nbsp;&nbsp;&nbsp;Series 2007-4A, Class A1, (1 mo. LIBOR US + 0.45%), 4.84%, 09/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5480135 |
| &nbsp;&nbsp;&nbsp;Series 2007-6A, Class A4A, (1 mo. LIBOR US + 1.50%), 5.89%, 12/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3425334 |
| BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-DELC, Class F, (1 mo. LIBOR US + 3.63%), 7.94%, 08/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1859465 |
| &nbsp;&nbsp;&nbsp;Series 2018-CHRS, Class E, 4.27%, 08/05/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643401 |
| &nbsp;&nbsp;&nbsp;Series 2018-TALL, Class A, (1 mo. LIBOR US + 0.72%), 5.04%, 03/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4618595 |
| &nbsp;&nbsp;&nbsp;Series 2022-C17, Class A5, 4.44%, 09/15/55<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484494 |
| &nbsp;&nbsp;&nbsp;Series 2022-C18, Class A5, 5.71%, 12/15/55<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1558978 |
| BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 327509 |
| BDS LLC, Series 2022-FL12, Class A, (1 mo. CME Term SOFR + 2.14%), 6.46%, 08/19/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1830741 |
| Beast Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class A, (1 mo. LIBOR US + 0.75%), 5.07%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943598 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class B, (1 mo. LIBOR US + 1.10%), 5.42%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259962 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class C, (1 mo. LIBOR US + 1.35%), 5.67%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311349 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class D, (1 mo. LIBOR US + 1.60%), 5.92%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295756 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class E, (1 mo. LIBOR US + 2.10%), 6.42%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252099 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class F, (1 mo. LIBOR US + 2.90%), 7.22%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240328 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class G, (1 mo. LIBOR US + 3.80%), 8.12%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268724 |
| &nbsp;&nbsp;&nbsp;Series 2021-SSCP, Class H, (1 mo. LIBOR US + 4.90%), 9.22%, 04/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198460 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-B15, Class A5, 2.93%, 12/15/72<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4146900 |
| &nbsp;&nbsp;&nbsp;Series 2020-B16, Class A5, 2.73%, 02/15/53<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 602398 |
| &nbsp;&nbsp;&nbsp;Series 2021-B24, Class A5, 2.58%, 03/15/54<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2490508 |
| BFLD Trust, Series 2020-EYP, Class E, (1 mo. LIBOR US + 3.70%), 8.02%, 10/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1101433 |
| BHMS |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-ATLS, Class A, (1 mo. LIBOR US + 1.25%), 5.57%, 07/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2736149 |
| &nbsp;&nbsp;&nbsp;Series 2018-ATLS, Class C, (1 mo. LIBOR US + 1.90%), 6.22%, 07/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2438318 |
| BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A, (1 mo. CME Term SOFR + 1.77%), 6.11%, 05/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1508461 |
| BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-TY, Class E, (1 mo. LIBOR US + 3.60%), 7.92%, 09/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2836021 |
| &nbsp;&nbsp;&nbsp;Series 2022-SSP, Class A, (1 mo. CME Term SOFR + 3.00%), 7.34%, 05/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761327 |
| BWAY Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-1515, Class A2, 3.45%, 03/10/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1615881 |
| &nbsp;&nbsp;&nbsp;Series 2013-1515, Class C, 3.45%, 03/10/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223018 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| 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)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3477 | &nbsp;&nbsp;&nbsp;&nbsp;$3433670 |
| &nbsp;&nbsp;&nbsp;Series 2019-XL, Class D, (1 mo. CME Term SOFR + 1.56%), 5.90%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2468936 |
| &nbsp;&nbsp;&nbsp;Series 2019-XL, Class G, (1 mo. CME Term SOFR + 2.41%), 6.75%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4068093 |
| &nbsp;&nbsp;&nbsp;Series 2019-XL, Class J, (1 mo. CME Term SOFR + 2.76%), 7.10%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6212 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5904935 |
| &nbsp;&nbsp;&nbsp;Series 2020-VIV2, Class C, 3.54%, 03/09/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1722588 |
| &nbsp;&nbsp;&nbsp;Series 2020-VIV3, Class B, 3.54%, 03/09/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2877902 |
| &nbsp;&nbsp;&nbsp;Series 2020-VIV4, Class A, 2.84%, 03/09/44<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285312 |
| &nbsp;&nbsp;&nbsp;Series 2020-VIVA, Class D, 3.55%, 03/11/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2246932 |
| &nbsp;&nbsp;&nbsp;Series 2020-VKNG, Class F, (1 mo. CME Term SOFR + 2.86%), 7.20%, 10/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1299489 |
| &nbsp;&nbsp;&nbsp;Series 2021-21M, Class E, (1 mo. LIBOR US + 2.17%), 6.49%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2448167 |
| &nbsp;&nbsp;&nbsp;Series 2021-CIP, Class A, (1 mo. LIBOR US + 0.92%), 5.24%, 12/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314554 |
| &nbsp;&nbsp;&nbsp;Series 2021-CIP, Class E, (1 mo. LIBOR US + 2.82%), 7.14%, 12/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3710340 |
| &nbsp;&nbsp;&nbsp;Series 2021-MC, Class E, (1 mo. LIBOR US + 2.10%), 6.42%, 04/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1653542 |
| &nbsp;&nbsp;&nbsp;Series 2021-NWM, Class A, (1 mo. LIBOR US + 0.91%), 5.23%, 02/15/33<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997281 |
| &nbsp;&nbsp;&nbsp;Series 2021-NWM, Class B, (1 mo. LIBOR US + 2.15%), 6.47%, 02/15/33<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 584694 |
| &nbsp;&nbsp;&nbsp;Series 2021-NWM, Class C, (1 mo. LIBOR US + 4.25%), 8.57%, 02/15/33<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 385867 |
| &nbsp;&nbsp;&nbsp;Series 2021-SOAR, Class G, (1 mo. LIBOR US + 2.80%), 7.12%, 06/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4576599 |
| &nbsp;&nbsp;&nbsp;Series 2021-VINO, Class A, (1 mo. LIBOR US + 0.65%), 4.97%, 05/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4765242 |
| &nbsp;&nbsp;&nbsp;Series 2021-VINO, Class F, (1 mo. LIBOR US + 2.80%), 7.12%, 05/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5413677 |
| &nbsp;&nbsp;&nbsp;Series 2021-VIV5, Class A, 2.84%, 03/09/44<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1214456 |
| &nbsp;&nbsp;&nbsp;Series 2021-XL2, Class F, (1 mo. LIBOR US + 2.24%), 6.56%, 10/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4380149 |
| &nbsp;&nbsp;&nbsp;Series 2022-CSMO, Class C, (1 mo. CME Term SOFR + 3.89%), 8.22%, 06/15/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1067826 |
| &nbsp;&nbsp;&nbsp;Series 2022-LP2, Class F, (1 mo. CME Term SOFR + 3.26%), 7.59%, 02/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1559 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1429069 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-CALM, Class E, (1 mo. LIBOR US + 2.00%), 6.32%, 11/15/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1987192 |
| &nbsp;&nbsp;&nbsp;Series 2019-OC11, Class A, 3.20%, 12/09/41<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3143012 |
| &nbsp;&nbsp;&nbsp;Series 2021-ARIA, Class C, (1 mo. LIBOR US + 1.65%), 5.96%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139749 |
| &nbsp;&nbsp;&nbsp;Series 2021-ARIA, Class D, (1 mo. LIBOR US + 1.90%), 6.21%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1155033 |
| &nbsp;&nbsp;&nbsp;Series 2021-ARIA, Class G, (1 mo. LIBOR US + 3.14%), 7.46%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2671378 |
| &nbsp;&nbsp;&nbsp;Series 2021-LBA, Class AJV, (1 mo. LIBOR US + 0.80%), 5.12%, 02/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3360923 |
| &nbsp;&nbsp;&nbsp;Series 2021-LBA, Class AV, (1 mo. LIBOR US + 0.80%), 5.12%, 02/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 713816 |
| &nbsp;&nbsp;&nbsp;Series 2021-SDMF, Class A, (1 mo. LIBOR US + 0.59%), 4.91%, 09/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 523846 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-SDMF, Class E, (1 mo. LIBOR US + 1.59%), 5.91%, 09/15/34<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3980 | &nbsp;&nbsp;&nbsp;&nbsp;$3705494 |
| &nbsp;&nbsp;&nbsp;Series 2021-VIEW, Class E, (1 mo. LIBOR US + 3.60%), 7.92%, 06/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3716 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3371795 |
| &nbsp;&nbsp;&nbsp;Series 2022-GPA, Class A, (1 mo. CME Term SOFR + 2.17%), 6.50%, 10/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12163349 |
| &nbsp;&nbsp;&nbsp;Series 2022-GPA, Class D, (1 mo. CME Term SOFR + 4.06%), 8.40%, 10/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1185058 |
| &nbsp;&nbsp;&nbsp;Series 2022-IND, Class E, (1 mo. CME Term SOFR + 3.99%), 8.31%, 04/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4173339 |
| &nbsp;&nbsp;&nbsp;Series 2022-LBA6, Class A, (1 mo. CME Term SOFR + 1.00%), 5.34%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1449253 |
| &nbsp;&nbsp;&nbsp;Series 2022-LBA6, Class D, (1 mo. CME Term SOFR + 2.00%), 6.34%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1988383 |
| &nbsp;&nbsp;&nbsp;Series 2022-VAMF, Class A, (1 mo. CME Term SOFR + 0.85%), 5.19%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;961 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 917651 |
| BXP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-GM, Class B, 3.43%, 06/13/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226660 |
| &nbsp;&nbsp;&nbsp;Series 2021-601L, Class D, 2.78%, 01/15/44<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702800 |
| CAMB Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-LIFE, Class D, (1 mo. LIBOR US + 1.75%), 6.07%, 12/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 964831 |
| &nbsp;&nbsp;&nbsp;Series 2019-LIFE, Class E, (1 mo. LIBOR US + 2.15%), 6.47%, 12/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2172118 |
| CD Mortgage Trust, Series 2016-CD1, Class A3, 2.46%, 08/10/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3966737 |
| CFCRE Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-C4, Class C, 4.84%, 05/10/58<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116074 |
| &nbsp;&nbsp;&nbsp;Series 2018-TAN, Class A, 4.24%, 02/15/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 990932 |
| &nbsp;&nbsp;&nbsp;Series 2018-TAN, Class B, 4.69%, 02/15/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1064237 |
| &nbsp;&nbsp;&nbsp;Series 2018-TAN, Class C, 5.30%, 02/15/33<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1011040 |
| CFK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-FAX, Class D, 4.64%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2108821 |
| &nbsp;&nbsp;&nbsp;Series 2019-FAX, Class E, 4.64%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2087890 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-375P, Class C, 3.52%, 05/10/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92090 |
| &nbsp;&nbsp;&nbsp;Series 2016-P3, Class A4, 3.33%, 04/15/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2453291 |
| &nbsp;&nbsp;&nbsp;Series 2017-P7, Class A4, 3.71%, 04/14/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5622144 |
| &nbsp;&nbsp;&nbsp;Series 2019-PRM, Class E, 4.73%, 05/10/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2979519 |
| &nbsp;&nbsp;&nbsp;Series 2019-SMRT, Class A, 4.15%, 01/10/36<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1950040 |
| &nbsp;&nbsp;&nbsp;Series 2019-SMRT, Class D, 4.75%, 01/10/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2895920 |
| Cold Storage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-ICE5, Class A, (1 mo. LIBOR US + 0.90%), 5.22%, 11/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8010891 |
| &nbsp;&nbsp;&nbsp;Series 2020-ICE5, Class E, (1 mo. LIBOR US + 2.77%), 7.08%, 11/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1884540 |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-GAM, Class A2, 3.37%, 02/10/28<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 789325 |
| &nbsp;&nbsp;&nbsp;Series 2013-GAM, Class B, 3.42%, 02/10/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1488070 |
| &nbsp;&nbsp;&nbsp;Series 2015-CR23, Class A4, 3.50%, 05/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1900277 |
| &nbsp;&nbsp;&nbsp;Series 2015-CR26, Class A4, 3.63%, 10/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3355672 |
| &nbsp;&nbsp;&nbsp;Series 2015-PC1, Class B, 4.29%, 07/10/50<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2919997 |
| &nbsp;&nbsp;&nbsp;Series 2016-667M, Class D, 3.18%, 10/10/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379392 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Credit Suisse Mortgage Capital Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-ICE4, Class A, (1 mo. LIBOR US + 0.98%), 5.30%, 05/15/36<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10184 | &nbsp;&nbsp;&nbsp;&nbsp;$10071637 |
| &nbsp;&nbsp;&nbsp;Series 2019-ICE4, Class B, (1 mo. LIBOR US + 1.23%), 5.55%, 05/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2961731 |
| &nbsp;&nbsp;&nbsp;Series 2019-ICE4, Class E, (1 mo. LIBOR US + 2.15%), 6.47%, 05/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6123296 |
| &nbsp;&nbsp;&nbsp;Series 2019-ICE4, Class F, (1 mo. LIBOR US + 2.65%), 6.97%, 05/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8897 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8501961 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-PFHP, Class A, (1 mo. LIBOR US + 0.95%), 5.27%, 12/15/30<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230240 |
| &nbsp;&nbsp;&nbsp;Series 2020-FACT, Class E, (1 mo. LIBOR US + 4.86%), 9.18%, 10/15/37<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1733400 |
| &nbsp;&nbsp;&nbsp;Series 2021-980M, Class D, 3.54%, 07/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2679006 |
| &nbsp;&nbsp;&nbsp;Series 2021-980M, Class E, 3.54%, 07/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1588050 |
| &nbsp;&nbsp;&nbsp;Series 2021-BHAR, Class E, (1 mo. LIBOR US + 3.50%), 7.82%, 11/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 593662 |
| &nbsp;&nbsp;&nbsp;Series 2022-NWPT, Class A, (1 mo. CME Term SOFR + 3.14%), 7.48%, 09/09/24<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3588379 |
| CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-C14, Class A4, 4.42%, 11/15/51<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3984446 |
| &nbsp;&nbsp;&nbsp;Series 2019-C16, Class A3, 3.33%, 06/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1767222 |
| &nbsp;&nbsp;&nbsp;Series 2019-C16, Class C, 4.24%, 06/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1278072 |
| DBGS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-5BP, Class A, (1 mo. LIBOR US + 0.80%), 5.11%, 06/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4773812 |
| &nbsp;&nbsp;&nbsp;Series 2018-BIOD, Class A, (1 mo. LIBOR US + 0.80%), 5.04%, 05/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4490609 |
| &nbsp;&nbsp;&nbsp;Series 2018-BIOD, Class D, (1 mo. LIBOR US + 1.30%), 5.54%, 05/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3077506 |
| &nbsp;&nbsp;&nbsp;Series 2018-BIOD, Class F, (1 mo. LIBOR US + 2.00%), 6.24%, 05/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2875691 |
| Deutsche Bank UBS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-BRBK, Class A, 3.45%, 10/10/34<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1233314 |
| &nbsp;&nbsp;&nbsp;Series 2017-BRBK, Class D, 3.53%, 10/10/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 884047 |
| &nbsp;&nbsp;&nbsp;Series 2017-BRBK, Class F, 3.53%, 10/10/34<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1094 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920343 |
| ELP Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-ELP, Class G, (1 mo. LIBOR US + 3.12%), 7.43%, 11/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6016230 |
| &nbsp;&nbsp;&nbsp;Series 2021-ELP, Class J, (1 mo. LIBOR US + 3.61%), 7.93%, 11/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1157117 |
| Extended Stay America Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-ESH, Class D, (1 mo. LIBOR US + 2.25%), 6.57%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4666273 |
| &nbsp;&nbsp;&nbsp;Series 2021-ESH, Class E, (1 mo. LIBOR US + 2.85%), 7.17%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3244540 |
| &nbsp;&nbsp;&nbsp;Series 2021-ESH, Class F, (1 mo. LIBOR US + 3.70%), 8.02%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2584783 |
| FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-K74, Class B, 4.09%, 02/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1975036 |
| &nbsp;&nbsp;&nbsp;Series 2018-W5FX, Class CFX, 3.66%, 04/25/28<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3375194 |
| &nbsp;&nbsp;&nbsp;Series 2020-K105, Class B, 3.53%, 03/25/53<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2470605 |
| FS Rialto Issuer Ltd., Series 2022-FL7, Class A, (1 mo. CME Term SOFR + 2.90%), 6.81%, 10/19/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2955187 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4100 | &nbsp;&nbsp;&nbsp;&nbsp;$3860141 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-GC32, Class C, 4.41%, 07/10/48<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 787320 |
| &nbsp;&nbsp;&nbsp;Series 2017-GS6, Class A3, 3.43%, 05/10/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1848041 |
| &nbsp;&nbsp;&nbsp;Series 2019-GSA1, Class A4, 3.05%, 11/10/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2249930 |
| &nbsp;&nbsp;&nbsp;Series 2019-GSA1, Class C, 3.81%, 11/10/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3823261 |
| &nbsp;&nbsp;&nbsp;Series 2021-DM, Class A, (1 mo. LIBOR US + 0.89%), 5.20%, 11/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2338839 |
| &nbsp;&nbsp;&nbsp;Series 2021-DM, Class F, (1 mo. LIBOR US + 3.44%), 7.75%, 11/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286730 |
| &nbsp;&nbsp;&nbsp;Series 2022-AGSS, Class A, (1 mo. CME Term SOFR + 2.69%), 7.03%, 11/15/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3488119 |
| &nbsp;&nbsp;&nbsp;Series 2022-ECI, Class A, (1 mo. CME Term SOFR + 2.19%), 6.53%, 08/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3133788 |
| &nbsp;&nbsp;&nbsp;Series 2022-ECI, Class D, (1 mo. CME Term SOFR + 4.19%), 8.53%, 08/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1258621 |
| &nbsp;&nbsp;&nbsp;Series 2022-SHIP, Class A, (1 mo. CME Term SOFR + 0.73%), 5.07%, 08/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3784278 |
| Harvest Commercial Capital Loan Trust, Series 2020-1, Class M4, 5.96%, 04/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 591429 |
| HIT Trust, Series 2022-HI32, Class A, (1 mo. CME Term SOFR + 2.39%), 6.73%, 07/15/24<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698787 |
| HONO Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-LULU, Class E, (1 mo. LIBOR US + 3.35%), 7.67%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1968 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1780941 |
| &nbsp;&nbsp;&nbsp;Series 2021-LULU, Class F, (1 mo. LIBOR US + 4.40%), 8.72%, 10/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1468356 |
| Houston Galleria Mall Trust, Series 2015-HGLR, Class D, 3.98%, 03/05/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 506354 |
| Hudson Yards Mortgage Trust, Series 2019-55HY, Class F, 2.94%, 12/10/41<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;712 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478507 |
| ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1 mo. CME Term SOFR + 2.25%), 6.58%, 10/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6057108 |
| INTOWN Mortgage Trust, Series 2022-STAY, Class A, (1 mo. CME Term SOFR + 2.49%), 6.83%, 08/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3460098 |
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.12%, 12/15/48<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1008266 |
| JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class A4, 3.06%, 11/13/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1968 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1693167 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-JP1, Class C, 4.73%, 01/15/49<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281399 |
| &nbsp;&nbsp;&nbsp;Series 2016-JP2, Class A4, 2.82%, 08/15/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3335282 |
| &nbsp;&nbsp;&nbsp;Series 2018-PHH, Class A, (1 mo. LIBOR US + 1.21%), 5.53%, 06/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2651573 |
| &nbsp;&nbsp;&nbsp;Series 2020-609M, Class D, (1 mo. LIBOR US + 2.77%), 7.09%, 10/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595802 |
| &nbsp;&nbsp;&nbsp;Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 5.12%, 04/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269554 |
| &nbsp;&nbsp;&nbsp;Series 2021-MHC, Class E, (1 mo. LIBOR US + 2.45%), 6.77%, 04/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2394748 |
| &nbsp;&nbsp;&nbsp;Series 2022-CGSS, Class A, (1 mo. CME Term SOFR + 2.47%), 6.80%, 12/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4610162 |
| &nbsp;&nbsp;&nbsp;Series 2022-NLP, Class F, (1 mo. CME Term SOFR + 3.54%), 7.88%, 04/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2761602 |
| &nbsp;&nbsp;&nbsp;Series 2022-NXSS, Class A, (1 mo. CME Term SOFR + 2.18%), 6.52%, 08/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5590899 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-OPO, Class D, 3.45%, 01/05/39<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2481 | &nbsp;&nbsp;&nbsp;&nbsp;$1783397 |
| KNDL Mortgage Trust, Series 2019-KNSQ, Class E, (1 mo. LIBOR US + 1.80%), 6.12%, 05/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841519 |
| Lehman Brothers Small Balance Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2007-1A, Class 1A, (1 mo. LIBOR US + 0.25%), 4.64%, 03/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35887 |
| &nbsp;&nbsp;&nbsp;Series 2007-2A, Class M1, (1 mo. LIBOR US + 0.40%), 4.79%, 06/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 613524 |
| &nbsp;&nbsp;&nbsp;Series 2007-3A, Class M2, (1 mo. LIBOR US + 2.00%), 6.39%, 10/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2633337 |
| Life Mortgage Trust, Series 2021-BMR, Class A, (1 mo. LIBOR US + 0.70%), 5.02%, 03/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1884611 |
| LUXE Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-TRIP, Class A, (1 mo. LIBOR US + 1.05%), 5.37%, 10/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135673 |
| &nbsp;&nbsp;&nbsp;Series 2021-TRIP, Class E, (1 mo. LIBOR US + 2.75%), 7.07%, 10/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 598992 |
| Med Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-MDLN, Class F, (1 mo. LIBOR US + 4.00%), 8.32%, 11/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2023488 |
| &nbsp;&nbsp;&nbsp;Series 2021-MDLN, Class G, (1 mo. LIBOR US + 5.25%), 9.57%, 11/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16158260 |
| MF1, Series 2021-W10, Class G, (1 mo. CME Term SOFR + 4.22%), 8.56%, 12/15/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 505973 |
| MHC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.80%), 5.12%, 04/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1891142 |
| &nbsp;&nbsp;&nbsp;Series 2021-MHC, Class F, (1 mo. LIBOR US + 2.60%), 6.92%, 04/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 424610 |
| &nbsp;&nbsp;&nbsp;Series 2021-MHC2, Class A, (1 mo. LIBOR US + 0.85%), 5.17%, 05/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4849445 |
| MHP |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-STOR, Class G, (1 mo. LIBOR US + 2.75%), 7.07%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1992592 |
| &nbsp;&nbsp;&nbsp;Series 2021-STOR, Class J, (1 mo. LIBOR US + 3.95%), 8.27%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1803953 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-C23, Class D, 4.14%, 07/15/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 196900 |
| &nbsp;&nbsp;&nbsp;Series 2015-C25, Class A5, 3.64%, 10/15/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1379507 |
| &nbsp;&nbsp;&nbsp;Series 2015-C26, Class C, 4.37%, 10/15/48<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895864 |
| &nbsp;&nbsp;&nbsp;Series 2016-C32, Class A4, 3.72%, 12/15/49<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 992067 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-MS1, Class A4, 3.78%, 05/15/48<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1912502 |
| &nbsp;&nbsp;&nbsp;Series 2017-H1, Class B, 4.08%, 06/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2109214 |
| &nbsp;&nbsp;&nbsp;Series 2017-H1, Class C, 4.28%, 06/15/50<sup>(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283360 |
| &nbsp;&nbsp;&nbsp;Series 2017-HR2, Class D, 2.73%, 12/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108898 |
| &nbsp;&nbsp;&nbsp;Series 2018-MP, Class E, 4.28%, 07/11/40<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1538816 |
| &nbsp;&nbsp;&nbsp;Series 2018-SUN, Class D, (1 mo. LIBOR US + 1.65%), 5.97%, 07/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 964800 |
| &nbsp;&nbsp;&nbsp;Series 2018-SUN, Class F, (1 mo. LIBOR US + 2.55%), 6.87%, 07/15/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21005 |
| &nbsp;&nbsp;&nbsp;Series 2019-H7, Class AS, 3.52%, 07/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1627441 |
| &nbsp;&nbsp;&nbsp;Series 2019-H7, Class C, 4.13%, 07/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3869459 |
| &nbsp;&nbsp;&nbsp;Series 2019-H7, Class D, 3.00%, 07/15/52<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011292 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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)** |
| MSCG Trust, Series 2018-SELF, Class E, (1 mo. LIBOR US + 2.15%), 6.47%, 10/15/37<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4365 | &nbsp;&nbsp;&nbsp;&nbsp;$4066313 |
| MTN Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-LPFL, Class A, (1 mo. CME Term SOFR + 1.40%), 5.73%, 03/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3625391 |
| &nbsp;&nbsp;&nbsp;Series 2022-LPFL, Class F, (1 mo. CME Term SOFR + 5.29%), 9.62%, 03/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2260243 |
| Natixis Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-75B, Class A, 3.86%, 04/10/37<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1747651 |
| &nbsp;&nbsp;&nbsp;Series 2018-RIVA, Class E, (1 mo. CME Term SOFR + 2.79%), 7.12%, 02/15/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326123 |
| Olympic Tower Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-OT, Class A, 3.57%, 05/10/39<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2534174 |
| &nbsp;&nbsp;&nbsp;Series 2017-OT, Class D, 3.95%, 05/10/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 814848 |
| &nbsp;&nbsp;&nbsp;Series 2017-OT, Class E, 3.95%, 05/10/39<sup>(a)(c)(d)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341671 |
| PKHL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-MF, Class F, (1 mo. LIBOR US + 3.35%), 7.67%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1824 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1635538 |
| &nbsp;&nbsp;&nbsp;Series 2021-MF, Class G, (1 mo. LIBOR US + 4.35%), 8.67%, 07/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1759960 |
| Ready Capital Mortgage Financing LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-FL10, Class A, (1 mo. CME Term SOFR + 2.55%), 6.88%, 10/25/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5687646 |
| &nbsp;&nbsp;&nbsp;Series 2022-FL9, Class A, (1 mo. CME Term SOFR + 2.47%), 6.79%, 06/25/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1329745 |
| RIAL Issuer Ltd., Series 2022-FL8, Class A, (1 mo. CME Term SOFR + 2.25%), 6.58%, 01/19/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7985527 |
| SG Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-C5, Class B, 3.93%, 10/10/48<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1714041 |
| &nbsp;&nbsp;&nbsp;Series 2019-PREZ, Class E, 3.48%, 09/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1450626 |
| SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 07/15/41<sup>(a)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2792039 |
| SMRT, Series 2022-MINI, Class E, (1 mo. CME Term SOFR + 2.70%), 7.04%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 772723 |
| SREIT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-MFP, Class F, (1 mo. LIBOR US + 2.62%), 6.94%, 11/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2759597 |
| &nbsp;&nbsp;&nbsp;Series 2021-MFP2, Class A, (1 mo. LIBOR US + 0.82%), 5.14%, 11/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714086 |
| &nbsp;&nbsp;&nbsp;Series 2021-MFP2, Class F, (1 mo. LIBOR US + 2.62%), 6.94%, 11/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2080873 |
| STWD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-FLWR, Class B, (1 mo. LIBOR US + 0.93%), 5.24%, 07/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6666346 |
| &nbsp;&nbsp;&nbsp;Series 2021-FLWR, Class E, (1 mo. LIBOR US + 1.92%), 6.24%, 07/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1629008 |
| Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1 mo. CME Term SOFR + 2.19%), 6.52%, 05/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4340324 |
| TTAN, Series 2021-MHC, Class A, (1 mo. LIBOR US + 0.85%), 5.17%, 03/15/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1911723 |
| Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-2, Class M6, 7.05%, 10/26/48<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889719 |
| &nbsp;&nbsp;&nbsp;Series 2019-1, Class M2, 4.01%, 03/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163921 |
| &nbsp;&nbsp;&nbsp;Series 2019-2, Class M2, 3.39%, 07/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1417742 |
| &nbsp;&nbsp;&nbsp;Series 2019-2, Class M3, 3.48%, 07/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 628155 |
| &nbsp;&nbsp;&nbsp;Series 2019-2, Class M4, 3.99%, 07/25/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1498445 |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class M4, 2.85%, 05/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2221 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1618252 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class M4, 3.48%, 10/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2104022 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A 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)** |
| Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-4, Class A, 2.52%, 12/26/51<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8341 | &nbsp;&nbsp;&nbsp;&nbsp;$7093349 |
| &nbsp;&nbsp;&nbsp;Series 2021-4, Class M4, 4.48%, 12/26/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971054 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class M4, 5.20%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4527935 |
| &nbsp;&nbsp;&nbsp;Series 2022-4, Class M2, 6.97%, 08/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1013662 |
| &nbsp;&nbsp;&nbsp;Series 2022-4, Class M3, 7.54%, 08/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986467 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-C39, Class B, 4.03%, 09/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1756930 |
| &nbsp;&nbsp;&nbsp;Series 2017-C39, Class C, 4.12%, 09/15/50<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2463692 |
| &nbsp;&nbsp;&nbsp;Series 2017-C41, Class B, 4.19%, 11/15/50<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1749036 |
| &nbsp;&nbsp;&nbsp;Series 2017-C42, Class B, 4.00%, 12/15/50<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429002 |
| &nbsp;&nbsp;&nbsp;Series 2017-HSDB, Class A, (1 mo. LIBOR US + 0.85%), 5.37%, 12/13/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1164845 |
| &nbsp;&nbsp;&nbsp;Series 2018-1745, Class A, 3.75%, 06/15/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2695291 |
| &nbsp;&nbsp;&nbsp;Series 2018-C46, Class A4, 4.15%, 08/15/51<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3532548 |
| &nbsp;&nbsp;&nbsp;Series 2019-C49, Class A5, 4.02%, 03/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2608042 |
| &nbsp;&nbsp;&nbsp;Series 2019-C49, Class C, 4.87%, 03/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1250925 |
| &nbsp;&nbsp;&nbsp;Series 2019-C50, Class B, 4.19%, 05/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2604030 |
| &nbsp;&nbsp;&nbsp;Series 2019-C53, Class A3, 2.79%, 10/15/52<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860967 |
| &nbsp;&nbsp;&nbsp;Series 2020-C56, Class A5, 2.45%, 06/15/53<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358798 |
| &nbsp;&nbsp;&nbsp;Series 2020-SDAL, Class D, (1 mo. LIBOR US + 2.09%), 6.41%, 02/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 937763 |
| &nbsp;&nbsp;&nbsp;Series 2020-SDAL, Class E, (1 mo. LIBOR US + 2.74%), 7.06%, 02/15/37<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1484174 |
| &nbsp;&nbsp;&nbsp;Series 2021-C59, Class A4, 2.34%, 04/15/54<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4063560 |
| &nbsp;&nbsp;&nbsp;Series 2021-C59, Class A5, 2.63%, 04/15/54<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4105007 |
| &nbsp;&nbsp;&nbsp;Series 2021-FCMT, Class A, (1 mo. LIBOR US + 1.20%), 5.52%, 05/15/31<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4379543 |
| WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class A, (1 mo. CME Term SOFR + 2.79%), 7.13%, 11/15/27<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3814587 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;591463307 |
| **Interest Only Collateralized Mortgage Obligations — 0.2%** | **Interest Only Collateralized Mortgage Obligations — 0.2%** | **Interest Only Collateralized Mortgage Obligations — 0.2%** | **Interest Only Collateralized Mortgage Obligations — 0.2%** |
| Ajax Mortgage Loan Trust, Series 2021-E, Class XS, 0.00%, 12/25/60<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9347 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383978 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class A2X, 0.50%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 909124 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class A3X, 0.50%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 508364 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class A4X, 0.50%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356317 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class A5X, 0.50%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98995 |
| &nbsp;&nbsp;&nbsp;Series 2021-INV7, Class AX1, 0.27%, 02/25/52<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920436 |
| Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 4.29%, 02/25/38<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2736846 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5914060 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.8%** | **Interest Only Commercial Mortgage-Backed Securities — 0.8%** | **Interest Only Commercial Mortgage-Backed Securities — 0.8%** | **Interest Only Commercial Mortgage-Backed Securities — 0.8%** |
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-SCH, Class XFCP, 0.00%, 11/15/19<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;Series 2017-SCH, Class XLCP, 0.00%, 11/15/19<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-BN22, Class XA, 0.60%, 11/15/62<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1238808 |
| &nbsp;&nbsp;&nbsp;Series 2019-BN22, Class XB, 0.15%, 11/15/62<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 844513 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-BN28, Class XB, 0.97%, 03/15/63<sup>(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29820 | &nbsp;&nbsp;&nbsp;&nbsp;$1784054 |
| Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XD, 1.24%, 02/15/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437144 |
| BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109325 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-B12, Class XA, 1.03%, 08/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37306 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1549112 |
| &nbsp;&nbsp;&nbsp;Series 2019-B9, Class XA, 1.03%, 03/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743963 |
| &nbsp;&nbsp;&nbsp;Series 2020-B17, Class XB, 0.53%, 03/15/53<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 503886 |
| &nbsp;&nbsp;&nbsp;Series 2020-B19, Class XA, 1.77%, 09/15/53<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23891 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1824827 |
| &nbsp;&nbsp;&nbsp;Series 2021-B23, Class XA, 1.27%, 02/15/54<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1237733 |
| BX Trust, Series 2022-GPA, Class XCP, 1.03%, 10/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416340 |
| CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 864270 |
| Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class X, 0.51%, 01/10/36<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342512 |
| Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.64%, 08/15/57<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1163526 |
| CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-C16, Class XA, 1.55%, 06/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9712 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 695765 |
| &nbsp;&nbsp;&nbsp;Series 2019-C17, Class XA, 1.35%, 09/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239710 |
| Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 392587 |
| GS Mortgage Securities Corp. II, Series 2005-ROCK, Class X1, 0.21%, 05/03/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 815087 |
| JPMDB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-C4, Class XC, 0.75%, 12/15/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 196863 |
| &nbsp;&nbsp;&nbsp;Series 2017-C5, Class XB, 0.27%, 03/15/50<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383190 |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386946 |
| LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.79%, 03/10/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185285 |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.18%, 12/15/47<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4816 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-H1, Class XD, 2.15%, 06/15/50<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 652973 |
| &nbsp;&nbsp;&nbsp;Series 2019-L2, Class XA, 1.00%, 03/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 525675 |
| Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 423903 |
| One Market Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-1MKT, Class XCP, 0.00%, 02/10/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3146 |
| &nbsp;&nbsp;&nbsp;Series 2017-1MKT, Class XNCP, 0.09%, 02/10/32<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58073 |
| UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.47%, 10/15/52<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633075 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2015-LC20, Class XB, 0.48%, 04/15/50<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69623 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

#### BATS: Series A Portfolio

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br> (000)* | *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-BNK1, Class XD, 1.25%, 08/15/49<sup>(a)(c)</sup><br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$36657 |
| WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, 1.00%, 08/15/47<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90574 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18854466 |
| **Total Non-Agency Mortgage-Backed Securities — 39.8%<br>(Cost: $1,070,027,773)<br>** | **Total Non-Agency Mortgage-Backed Securities — 39.8%<br>(Cost: $1,070,027,773)<br>** | **Total Non-Agency Mortgage-Backed Securities — 39.8%<br>(Cost: $1,070,027,773)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;961635199 |
| **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 — 0.5%** | **Collateralized Mortgage Obligations — 0.5%** | **Collateralized Mortgage Obligations — 0.5%** | **Collateralized Mortgage Obligations — 0.5%** |
| Fannie Mae, Series 2017-C07, Class 1B1, (1 mo. LIBOR US + 4.00%), 8.39%, 05/25/30<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2049742 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-DNA1, Class B1, (SOFR (30-day) + 2.65%), 6.58%, 01/25/51<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5080263 |
| &nbsp;&nbsp;&nbsp;Series 2021-DNA2, Class B1, (SOFR (30-day) + 3.40%), 7.33%, 08/25/33<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3000318 |
| &nbsp;&nbsp;&nbsp;Series 2021-DNA5, Class B2, (SOFR (30-day) + 5.50%), 9.43%, 01/25/34<sup>(a)(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2257247 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12387570 |
| **Commercial Mortgage-Backed Securities — 0.3%** | **Commercial Mortgage-Backed Securities — 0.3%** | **Commercial Mortgage-Backed Securities — 0.3%** | **Commercial Mortgage-Backed Securities — 0.3%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;Series K148, Class A2, 3.50%, 07/25/32<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2316817 |
| &nbsp;&nbsp;&nbsp;Series K-151, Class A2, 3.80%, 10/25/32<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3741 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3531031 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5847848 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;Series K116, Class X1, 1.43%, 07/25/30<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1924428 |
| &nbsp;&nbsp;&nbsp;Series KL05, Class X1P, 0.89%, 06/25/29<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 628284 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-36, Class IO, 0.69%, 08/16/57<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93593 |
| &nbsp;&nbsp;&nbsp;Series 2017-24, Class IO, 0.75%, 12/16/56<sup>(c)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418879 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3065184 |
| **Mortgage-Backed Securities — 0.9%** | **Mortgage-Backed Securities — 0.9%** | **Mortgage-Backed Securities — 0.9%** | **Mortgage-Backed Securities — 0.9%** |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/53<sup>(i)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3724700 |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/53<sup>(i)</sup><br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18740840 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22465540 |
| **Total U.S. Government Sponsored Agency Securities — 1.8%<br>(Cost: $47,279,765)<br>** | **Total U.S. Government Sponsored Agency Securities — 1.8%<br>(Cost: $47,279,765)<br>** | **Total U.S. Government Sponsored Agency Securities — 1.8%<br>(Cost: $47,279,765)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43766142 |
| **Total Long-Term Investments — 94.3%<br>(Cost: $2,500,479,107)<br>** | **Total Long-Term Investments — 94.3%<br>(Cost: $2,500,479,107)<br>** | **Total Long-Term Investments — 94.3%<br>(Cost: $2,500,479,107)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;2277548260 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 6.7%** | **Money Market Funds — 6.7%** | **Money Market Funds — 6.7%** |
| Dreyfus Treasury Securities Cash Management, Institutional Class, 3.90%<sup>(j)</sup><br>| 161165621 | &nbsp;&nbsp;$161165621 |
| **Total Short-Term Securities — 6.7%<br>(Cost: $161,165,621)<br>** | **Total Short-Term Securities — 6.7%<br>(Cost: $161,165,621)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161165621 |
| **Total Investments Before TBA Sale Commitments — 101.0%<br>(Cost: $2,661,644,728)<br>** | **Total Investments Before TBA Sale Commitments — 101.0%<br>(Cost: $2,661,644,728)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;2438713881 |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par<br> (000)* |  |
| **TBA Sale Commitments<sup>(i)</sup>** | **TBA Sale Commitments<sup>(i)</sup>** | **TBA Sale Commitments<sup>(i)</sup>** | **TBA Sale Commitments<sup>(i)</sup>** |
| **Mortgage-Backed Securities — (1.9)%** | **Mortgage-Backed Securities — (1.9)%** | **Mortgage-Backed Securities — (1.9)%** | **Mortgage-Backed Securities — (1.9)%** |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 01/01/53<br>| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9158) | &nbsp;&nbsp;&nbsp;&nbsp; (7453335) |
| &nbsp;&nbsp;&nbsp;2.50%, 01/01/53<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(44277) | &nbsp;&nbsp;&nbsp;&nbsp; (37498111) |
| **Total TBA Sale Commitments — (1.9)%<br>(Proceeds: $(45128981))<br>** | **Total TBA Sale Commitments — (1.9)%<br>(Proceeds: $(45128981))<br>** | **Total TBA Sale Commitments — (1.9)%<br>(Proceeds: $(45128981))<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(44951446) |
| **Total Investments Net of TBA Sale Commitments — 99.1%<br>(Cost: $2,616,515,747)<br>** | **Total Investments Net of TBA Sale Commitments — 99.1%<br>(Cost: $2,616,515,747)<br>** | **Total Investments Net of TBA Sale Commitments — 99.1%<br>(Cost: $2,616,515,747)<br>** | &nbsp;&nbsp;&nbsp;&nbsp;2393762435 |
| **Other Assets Less Liabilities — 0.9%<br>** | **Other Assets Less Liabilities — 0.9%<br>** | **Other Assets Less Liabilities — 0.9%<br>** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21032111 |
| **Net Assets — 100.0%<br>** | **Net Assets — 100.0%<br>** | **Net Assets — 100.0%<br>** | $2414794546 |

---

<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> 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>(c)</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>(d)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

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

<sup>(f)</sup> Issuer filed for bankruptcy and/or is in default.

<sup>(g)</sup> Non-income producing security.

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

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

<sup>(j)</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.

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

BATS: Series A Portfolio

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

#### OTC Credit Default Swaps — Buy Protection

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp;*Financing<br> Rate<br> Paid<br> by the<br> Fund* | &nbsp;&nbsp;&nbsp;*Payment<br> Frequency* | &nbsp;&nbsp;*Counterparty* | &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)* |
| CMBX.NA.9.BBB-<br>| &nbsp;&nbsp;3.00% | &nbsp;&nbsp;&nbsp;Monthly | &nbsp;&nbsp;Citigroup Global Markets, Inc. | &nbsp;&nbsp;09/17/58 | &nbsp;&nbsp;USD | 140 | &nbsp;&nbsp;$26322 | &nbsp;&nbsp;$4477 | &nbsp;&nbsp;$21845 |
| CMBX.NA.9.BBB-<br>| &nbsp;&nbsp;3.00 | &nbsp;&nbsp;&nbsp;Monthly | &nbsp;&nbsp;Morgan Stanley & Co. International PLC | &nbsp;&nbsp;09/17/58 | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;53 | &nbsp;&nbsp;&nbsp;&nbsp; 9965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3884 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6081 |
| CMBX.NA.9.BBB-<br>| &nbsp;&nbsp;3.00 | &nbsp;&nbsp;&nbsp;Monthly | &nbsp;&nbsp;Morgan Stanley & Co. International PLC | &nbsp;&nbsp;09/17/58 | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp; 5076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3663 |
| CMBX.NA.6.AAA<br>| &nbsp;&nbsp;0.50 | &nbsp;&nbsp;&nbsp;Monthly | &nbsp;&nbsp;Deutsche Bank AG | &nbsp;&nbsp;05/11/63 | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| CMBX.NA.6.AAA<br>| &nbsp;&nbsp;0.50 | &nbsp;&nbsp;&nbsp;Monthly | &nbsp;&nbsp;Deutsche Bank AG | &nbsp;&nbsp;05/11/63 | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| CMBX.NA.6.BBB-<br>| &nbsp;&nbsp;3.00 | &nbsp;&nbsp;&nbsp;Monthly | &nbsp;&nbsp;J.P. Morgan Securities LLC | &nbsp;&nbsp;05/11/63 | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp; 6200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4746 |
|  |  |  |  |  |  |  | &nbsp;&nbsp;$47563 | &nbsp;&nbsp;$11227 | &nbsp;&nbsp;$36336 |

---

#### OTC Credit Default Swaps — Sell Protection

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br> Rate<br> Received<br> by<br> the Fund* | &nbsp;&nbsp;*Payment<br> Frequency* | *Counterparty* | *Termination<br> Date* | *Credit<br> Rating<sup>(a)</sup>* | *Notional<br> Amount<br> (000)<sup>(b)</sup>* | *Notional<br> Amount<br> (000)<sup>(b)</sup>* | *Value* | *Upfront<br> Premium<br> Paid<br> (Received)* | *Unrealized<br> Appreciation<br> (Depreciation)* |
| CMBX.NA.9.A<br>| &nbsp;&nbsp;&nbsp;&nbsp;2.00% | &nbsp;&nbsp;Monthly | Goldman Sachs International | 09/17/58 | Not Rated | USD | 5000 | $(261874) | &nbsp;&nbsp;$(92134) | &nbsp;&nbsp;$(169740) |
| CMBX.NA.9.A<br>| &nbsp;&nbsp;&nbsp;&nbsp;2.00 | &nbsp;&nbsp;Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | Not Rated | USD | 1457 | &nbsp;&nbsp;&nbsp; (76310) | &nbsp;&nbsp;&nbsp;&nbsp; (3434) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (72876) |
| CMBX.NA.9.BBB-<br>| &nbsp;&nbsp;&nbsp;&nbsp;3.00 | &nbsp;&nbsp;Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | USD | &nbsp;&nbsp;&nbsp;&nbsp;220 | &nbsp;&nbsp;&nbsp; (41363) | &nbsp;&nbsp;&nbsp; (24858) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (16505) |
| CMBX.NA.10.BBB-<br>| &nbsp;&nbsp;&nbsp;&nbsp;3.00 | &nbsp;&nbsp;Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 1000 | &nbsp;&nbsp;&nbsp; (172670) | &nbsp;&nbsp;&nbsp; (79118) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (93552) |
| CMBX.NA.10.BBB-<br>| &nbsp;&nbsp;&nbsp;&nbsp;3.00 | &nbsp;&nbsp;Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | &nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp; (86335) | &nbsp;&nbsp;&nbsp; (47718) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (38617) |
| CMBX.NA.6.BBB-<br>| &nbsp;&nbsp;&nbsp;&nbsp;3.00 | &nbsp;&nbsp;Monthly | Credit Suisse International | 05/11/63 | BBB | USD | &nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp; (6200) | &nbsp;&nbsp;&nbsp;&nbsp; (1815) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4385) |
| CMBX.NA.15.BBB-<br>| &nbsp;&nbsp;&nbsp;&nbsp;3.00 | &nbsp;&nbsp;Monthly | Citigroup Global Markets, Inc. | 11/15/64 | Not Rated | USD | 1493 | &nbsp;&nbsp;&nbsp; (281298) | &nbsp;&nbsp;&nbsp; (291155) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9857 |
|  |  |  |  |  |  |  |  | $(926050) | $(540232) | &nbsp;&nbsp;$(385818) |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

#### 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 A Portfolio

#### Fair Value Hierarchy as of Period End (continued)
**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;&nbsp;&nbsp;$— | &nbsp;&nbsp;$1244333664 | &nbsp;&nbsp;$16812952 | &nbsp;&nbsp;$1261146616 |
| &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;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Floating Rate Loan Interests<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 10919463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10919463 |
| &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;&nbsp;&nbsp;&nbsp; 931764327 | &nbsp;&nbsp; 29870872 | &nbsp;&nbsp;&nbsp;&nbsp; 961635199 |
| &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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43766142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43766142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Money Market Funds<br>| &nbsp;&nbsp; 161165621 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 161165621 |
| 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; — | &nbsp;&nbsp;&nbsp;&nbsp; (44951446) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (44951446) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unfunded Floating Rate Loan Interests<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7146) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7146) |
|  | &nbsp;&nbsp;$161165621 | &nbsp;&nbsp;$2174993527 | &nbsp;&nbsp;$57596141 | &nbsp;&nbsp;$2393755289 |
| Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Credit Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$46193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$46193 |
| &nbsp;&nbsp;&nbsp;Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Credit Contracts<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (395675) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (395675) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(349482) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(349482) |

---

<sup>(a)</sup> Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;*Asset-Backed<br> Securities* | &nbsp;&nbsp;&nbsp;&nbsp;*Corporate<br> Bonds* | &nbsp;&nbsp;&nbsp;&nbsp;*Floating-Rate<br> Loan Interest* | &nbsp;&nbsp;&nbsp;&nbsp;*Non-Agency<br> Mortgage-Backed<br> Securities* | &nbsp;&nbsp;&nbsp;&nbsp;*Total* |
| **Assets** |  |  |  |  |  |
| Opening Balance, as of March 31, 2022<br>| &nbsp;&nbsp;$29617397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$—<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;$3990000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$14187936 | &nbsp;&nbsp;&nbsp;&nbsp;$47795333 |
| Transfers into Level 3<sup>(b)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5527953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13976588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6765629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26270170 |
| Transfers out of Level 3<sup>(c)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;(17686924) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(23520) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17710444) |
| Accrued discounts/premiums<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129347 |
| Net realized gain (loss)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(876869) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(664906) |
| Net change in unrealized appreciation (depreciation)<sup>(d)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1325116) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17537) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2606525) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3949178) |
| Purchases<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2790695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5056661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20045402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27892758 |
| Sales<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2336681) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(12092343) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7730769) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(22159793) |
| Closing Balance, as of December 31, 2022<br>| &nbsp;&nbsp;$16812952 | &nbsp;&nbsp;&nbsp;&nbsp;$—<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;$10919463 | &nbsp;&nbsp;&nbsp;&nbsp;$29870872 | &nbsp;&nbsp;&nbsp;&nbsp;$57603287 |
| Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022<sup>(d)</sup><br>| &nbsp;&nbsp;$(1288269) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$(17537) | &nbsp;&nbsp;&nbsp;&nbsp;$(2794326) | &nbsp;&nbsp;&nbsp;&nbsp;$(4100132) |

---

---

| | |
|:---|:---|
|  | &nbsp;&nbsp;*Unfunded<br> Floating-Rate<br> Loan Interest* |
| **Liabilities** |  |
| Opening Balance, as of March 31, 2022<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— |
| Transfers into Level 3<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Transfers out of Level 3<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Accrued discounts/premiums<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Net realized gain (loss)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Net change in unrealized appreciation (depreciation)<sup>(d)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7146) |
| Purchases<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Sales<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— |
| Closing Balance, as of December 31, 2022<br>| &nbsp;&nbsp;&nbsp;&nbsp;$(7146) |
| Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022<sup>(d)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;$(7146) |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2022

BATS: Series A Portfolio

<sup>(a)</sup> Rounds to less than $1.

<sup>(b)</sup> As of March 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the fair value hierarchy.

<sup>(c)</sup> As of March 31, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

<sup>(d)</sup> Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2022 is generally due to investments no longer held or categorized as Level 3 at period end.

The Fund's financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.

---

| | |
|:---|:---|
| **Currency Abbreviation** | **Currency Abbreviation** |
| USD | &nbsp;&nbsp;United States Dollar |

---

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| ABS | &nbsp;&nbsp;Asset-Backed Security |
| CLN | &nbsp;&nbsp;Credit-Linked-Note |
| CLO | &nbsp;&nbsp;Collateralized Loan Obligation |
| DAC | &nbsp;&nbsp;Designated Activity Co. |
| IO | &nbsp;&nbsp;Interest Only |
| LIBOR | &nbsp;&nbsp;London Interbank Offered Rate |
| LP | &nbsp;&nbsp;Limited Partnership |
| OTC | &nbsp;&nbsp;Over-the-Counter |
| REMIC | &nbsp;&nbsp;Real Estate Mortgage Investment Conduit |
| 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 A Portfolio

- **b. EDGAR series identifier (if any):** S000047014

- **c. LEI of Series:** 5493001N6IPQ853IL862

**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:** $2501647540.93

**Total Liabilities:** $85844249.73

**Net Assets:** $2415803291.20

**Stand-by Commitments:** $22873170.62

**Cash Not Reported:** $1115314.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 208497.63000000 | **1-Year:** 26553.64000000 | **5-Year:** 154503.90000000 | **10-Year:** -3604.52000000 | **30-Year:** 37433.62000000

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

- **3-Month:** 162581.63000000 | **1-Year:** 16686.33000000 | **5-Year:** 123567.19000000 | **10-Year:** 35408.00000000 | **30-Year:** 64294.49000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000146955 | -0.89%               | 1.00%                | 0.61%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3910532.91             | $-27616087.25                              |
| Month 2  | $-658657.81              | $13769762.25                               |
| Month 3  | $-5223680.12             | $9051643.34                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2007-OA4 Trust                    | CUSIP: 93364CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2149937 | PA      | $1819344.12   | 0.08%             | 2047-05-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XXXIX Ltd                                                             | CUSIP: 03766HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $4821610.00   | 0.20%             | 2035-04-21      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-E                                                  | CUSIP: 00969TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $345532.57    | 0.01%             | 2059-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                 | Gulf Stream Meridian 1 Ltd                                                       | CUSIP: 402563AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244836.95    | 0.01%             | 2033-04-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | Carlyle US CLO 2021-10 LTD                                                       | CUSIP: 14316YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4360000 | PA      | $4207702.58   | 0.17%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2015-2 Ltd                                                     | CUSIP: 69689CBC9<br>LEI: 549300PACXK2KP6J2T91 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $921039.10    | 0.04%             | 2030-07-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                          | Elmwood CLO IV Ltd                                                               | CUSIP: 29002GAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492003.75    | 0.02%             | 2033-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding XIV CLO Ltd                                                        | CUSIP: 15034AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $966866.50    | 0.04%             | 2033-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7351000 | PA      | $6529522.07   | 0.27%             | 2038-07-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060937 | PA      | $997280.51    | 0.04%             | 2033-02-15      | Floating      | 5.23%                 | No            |                  3 | On Loan: No      |
| GoldenTree Loan Opportunities               | Goldentree Loan Opportunities XI Ltd                                             | CUSIP: 38137HBU1<br>LEI: 549300ZH5R2TCUAYC824 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $494032.95    | 0.02%             | 2031-01-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                      | CUSIP: 61765TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1455000 | PA      | $1379507.47   | 0.06%             | 2048-10-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO Ltd                                                  | CUSIP: 08182DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1460000 | PA      | $1399256.55   | 0.06%             | 2034-07-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lending Funding Trust 2020-2                                                     | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4680000 | PA      | $4071844.76   | 0.17%             | 2031-04-21      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-G                                                  | CUSIP: 00969VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1536318 | PA      | $1472053.10   | 0.06%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5590000 | PA      | $4398384.73   | 0.18%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                             | Venture 39 CLO Ltd                                                               | CUSIP: 92332TAB8<br>LEI: 549300VI1BOFEK7C6D74 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $329632.69    | 0.01%             | 2033-04-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 7 Ltd                  | Gulf Stream Meridian 7 Ltd                                                       | CUSIP: 40257DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2420000 | PA      | $2335845.95   | 0.10%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2311945.37   | 0.10%             | 2036-03-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAH9<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1233550.50   | 0.05%             | 2030-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital Clo 1 Ltd                                                       | CUSIP: 25255DAA8<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |   1030000 | PA      | $990502.80    | 0.04%             | 2036-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156254 | PA      | $139288.03    | 0.01%             | 2046-06-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan Ltd.                   | Mill City Solar Loan 2019-1 Ltd                                                  | CUSIP: 59982WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1196439 | PA      | $1119939.55   | 0.05%             | 2043-03-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                              | Romark CLO II Ltd                                                                | CUSIP: 77587EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244731.73    | 0.01%             | 2031-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV5                                             | CUSIP: 46653XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17511205 | PA      | $14056156.44  | 0.58%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | CDS CMBX.NA.15.BBB-                                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-281298.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2019-SFR3 Trust                                             | CUSIP: 74332WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $939245.90    | 0.04%             | 2036-09-17      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2018-TAN                                         | CUSIP: 12528DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990931.60    | 0.04%             | 2033-02-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-SDMF                                                               | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547000 | PA      | $523846.42    | 0.02%             | 2034-09-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1988382.57   | 0.08%             | 2039-01-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                   | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3379000 | PA      | $2480340.08   | 0.10%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6217990 | PA      | $4166175.79   | 0.17%             | 2052-02-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194961 | PA      | $163921.39    | 0.01%             | 2049-03-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2014-1 Ltd                                                     | CUSIP: 69688XAY7<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $372359.88    | 0.02%             | 2031-01-17      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-ATL                           | BX Trust 2019-CALM                                                               | CUSIP: 05608FAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1987191.57   | 0.08%             | 2032-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    913481 | PA      | $805458.79    | 0.03%             | 2037-09-27      | Variable      | 6.00%                 | 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        |   2453935 | PA      | $2171481.66   | 0.09%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup COmmercial Mortgage Trust 2019-SMRT                                    | CUSIP: 29429MAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  80300000 | PA      | $342511.62    | 0.01%             | 2036-01-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                  | AMSR 2021-SFR2 Trust                                                             | CUSIP: 00179VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3756200 | PA      | $3143734.69   | 0.13%             | 2038-08-17      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd                        | TCI-Flatiron Clo 2017-1 Ltd                                                      | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $982316.20    | 0.04%             | 2030-11-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2019-A                                            | CUSIP: 56847MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2060000 | PA      | $1907315.27   | 0.08%             | 2032-07-20      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 3-R Ltd                                                    | CUSIP: 03330AAC6<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1218085.75   | 0.05%             | 2031-01-28      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                   | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2108821.00   | 0.09%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Burnham Park CLO Ltd.                       | Burnham Park Clo Ltd                                                             | CUSIP: 12232KAN0<br>LEI: 549300BOEG5O4MSO7220 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $222570.13    | 0.01%             | 2029-10-20      | Floating      | 7.09%                 | 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        |    807053 | PA      | $792875.39    | 0.03%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2220947 | PA      | $1618251.85   | 0.07%             | 2051-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                          | Elmwood CLO I Ltd                                                                | CUSIP: 290015AJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247470.55    | 0.01%             | 2033-10-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc              | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2407159 | PA      | $2019123.39   | 0.08%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | Carlyle Global Market Strategies CLO 2014-1 Ltd                                  | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3753588 | PA      | $3700987.50   | 0.15%             | 2031-04-17      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc              | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28194 | PA      | $13692.66     | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Merit                                       | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146000 | PA      | $1992592.33   | 0.08%             | 2038-07-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800000 | PA      | $3824531.52   | 0.16%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2022-A                                                  | CUSIP: 054977AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $555369.50    | 0.02%             | 2035-02-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2960000 | PA      | $2759597.34   | 0.11%             | 2038-11-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-2                | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615804 | PA      | $546872.47    | 0.02%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1201000 | PA      | $1147524.39   | 0.05%             | 2036-06-16      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 58 Clo Ltd                                                                | CUSIP: 26245RAE0<br>LEI: 549300YIDGL7GPSLZ840 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240985.43    | 0.01%             | 2031-07-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-1745                                  | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3155000 | PA      | $2695290.94   | 0.11%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                              | Galaxy XXII CLO Ltd                                                              | CUSIP: 36320TAV5<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $971500.30    | 0.04%             | 2034-04-16      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9347410 | PA      | $383977.59    | 0.02%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra              | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13410820 | PA      | $12389853.06  | 0.51%             | 2051-12-26      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Concord Music Royalties LLC                 | Concord Music Royalties LLC                                                      | CUSIP: 20633KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4576000 | PA      | $4468221.47   | 0.18%             | 2073-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Burnham Park CLO Ltd.                       | Burnham Park Clo Ltd                                                             | CUSIP: 12232KAJ9<br>LEI: 549300BOEG5O4MSO7220 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485072.00    | 0.02%             | 2029-10-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315107 | PA      | $296809.04    | 0.01%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXIII Ltd                                                       | CUSIP: 09629LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245107.98    | 0.01%             | 2031-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2019-4                                                | CUSIP: 92537KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $622360.64    | 0.03%             | 2059-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2018-2 Ltd                                                     | CUSIP: 69688LAA5<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $447883.95    | 0.02%             | 2031-07-16      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                         | CBAM 2018-6 Ltd                                                                  | CUSIP: 12481XAS9<br>LEI: 254900FSYLEH1VUJJF28 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $960534.70    | 0.04%             | 2031-01-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC      | CDS CMBX.NA.9.A                                                                  | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-76309.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C59                                   | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4990000 | PA      | $4105006.53   | 0.17%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                         | LCM XVIII LP                                                                     | CUSIP: 50188GAT0<br>LEI: 549300PYL1KC7BYM8G75 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246081.33    | 0.01%             | 2031-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XXII Ltd                                                                    | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |   1098606 | PA      | $1077069.10   | 0.04%             | 2031-01-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act              | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742857AA3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |   2280000 | PA      | $2235490.07   | 0.09%             | 2051-07-25      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXIII Ltd                                                  | CUSIP: 55819JAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3460000 | PA      | $3332295.21   | 0.14%             | 2032-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | GRACIE POINT INTERNATIONAL FUNDING 2022-2                                        | CUSIP: 38411JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5101000 | PA      | $5101749.34   | 0.21%             | 2024-07-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| ALM Loan Funding                            | ALM 2020 Ltd                                                                     | CUSIP: 00166FAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242967.63    | 0.01%             | 2029-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2013-375P                                    | CUSIP: 17320QAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92090.04     | 0.00%             | 2035-05-10      | Variable      | 3.52%                 | 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        |   1000000 | PA      | $989925.80    | 0.04%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1965114.80   | 0.08%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding               | Bear Stearns Mortgage Funding Trust 2006-SL1                                     | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388711 | PA      | $375707.22    | 0.02%             | 2036-08-25      | Floating      | 4.67%                 | 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        |   4470000 | PA      | $4340324.41   | 0.18%             | 2037-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |   1232856 | PA      | $1211765.35   | 0.05%             | 2030-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XXXVII                                                                | CUSIP: 03769HAA5<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1735040.05   | 0.07%             | 2034-10-22      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278700 | PA      | $217289.60    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 42 Senior Loan Fund                                                       | CUSIP: 26244YAQ9<br>LEI: 549300GTVIVSKVBYOB52 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236293.05    | 0.01%             | 2030-07-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-GAM                                                                    | CUSIP: 12624UAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1488070.20   | 0.06%             | 2028-02-10      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XIV Ltd                                                     | CUSIP: 64129JBE9<br>LEI: 549300Z5ZNFT7IECFZ07 | Long             | ABS-CBDO         | CORP              | KY        |    809381 | PA      | $798654.04    | 0.03%             | 2030-01-28      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2020-EYP                                                              | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353000 | PA      | $1101432.79   | 0.05%             | 2035-10-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                          | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298065 | PA      | $272523.78    | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                        | DBUBS 2017-BRBK Mortgage Trust                                                   | CUSIP: 23305JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $884046.83    | 0.04%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO VII Ltd                                                                 | CUSIP: 87248UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $536250.42    | 0.02%             | 2033-04-15      | Floating      | 11.13%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-A                                                  | CUSIP: 00969EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47190 | PA      | $46548.74     | 0.00%             | 2058-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2022-1                                    | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5721098 | PA      | $4527935.32   | 0.19%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XIII Ltd                                                    | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    887118 | PA      | $877360.34    | 0.04%             | 2030-04-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act              | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |   3055000 | PA      | $3002233.73   | 0.12%             | 2051-07-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| AGL CLO 3 Ltd.                              | AGL CLO 3 LTD                                                                    | CUSIP: 00119MAJ8<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1116275.88   | 0.05%             | 2033-01-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed              | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust         | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213004 | PA      | $65189.73     | 0.00%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                  | Morgan Stanley ABS Capital I Inc Trust 2007-SEA1                                 | CUSIP: 61757MAC2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |     74846 | PA      | $69832.57     | 0.00%             | 2047-02-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XI Ltd                                                      | CUSIP: 55818KAV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2088157 | PA      | $2060645.82   | 0.09%             | 2029-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                          | Race Point VIII CLO Ltd                                                          | CUSIP: 74982LAY6<br>LEI: 5493008ABAJEYBWITR69 | Long             | ABS-CBDO         | CORP              | KY        |   1076776 | PA      | $1060715.97   | 0.04%             | 2030-02-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469291 | PA      | $321419.47    | 0.01%             | 2037-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Regatta VIII Funding Ltd                    | Regatta VIII Funding Ltd                                                         | CUSIP: 75888KAG9<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $232284.03    | 0.01%             | 2030-10-17      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7872774 | PA      | $356317.03    | 0.01%             | 2052-02-25      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1297495.22   | 0.05%             | 2030-10-15      | Floating      | 6.06%                 | 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        |   5000000 | PA      | $4873947.00   | 0.20%             | 2034-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XXII Ltd                                                    | CUSIP: 64131BAH6<br>LEI: 549300FFV1EYI8ON7P41 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242578.23    | 0.01%             | 2030-10-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $1824286.59   | 0.08%             | 2031-12-22      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Issuance Trust 2021-B                                                    | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1970000 | PA      | $1720648.83   | 0.07%             | 2031-05-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 46 Ltd                                        | CUSIP: 64134QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $237445.35    | 0.01%             | 2036-01-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 3-R Ltd                                                    | CUSIP: 03330AAE2<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $465340.60    | 0.02%             | 2031-01-28      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3406911 | PA      | $3244539.86   | 0.13%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust              | PKHL Commercial Mortgage Trust 2021-MF                                           | CUSIP: 69356GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824000 | PA      | $1635537.75   | 0.07%             | 2038-07-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                           | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4444466.50   | 0.18%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                             | Atrium XIII                                                                      | CUSIP: 04966HAE6<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1215401.25   | 0.05%             | 2030-11-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                        | DBUBS 2017-BRBK Mortgage Trust                                                   | CUSIP: 23305JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1312000 | PA      | $1233313.59   | 0.05%             | 2034-10-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                       | Sixth Street CLO XVII Ltd                                                        | CUSIP: 83012GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $435419.80    | 0.02%             | 2034-01-20      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC2 Trust                                                            | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245183 | PA      | $1031724.45   | 0.04%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO XIV Ltd                                                                 | CUSIP: 87250DAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1148258.25   | 0.05%             | 2032-10-20      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338266 | PA      | $318350.18    | 0.01%             | 2035-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                          | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $2748481.13   | 0.11%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust 2020-1                  | RCKT Mortgage Trust 2020-1                                                       | CUSIP: 749389BK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946931 | PA      | $747360.09    | 0.03%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    386000 | PA      | $308040.55    | 0.01%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-51                                                   | CUSIP: 12668ACZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430728 | PA      | $346724.39    | 0.01%             | 2035-11-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-MC                                             | CUSIP: 05608GAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1793000 | PA      | $1653541.72   | 0.07%             | 2034-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXIII Ltd                                                   | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $987919.50    | 0.04%             | 2031-07-27      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 2013-1 Ltd                                                 | CUSIP: 033292AQ6<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $326291.59    | 0.01%             | 2030-10-13      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1303590.24   | 0.05%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2022-FL7 Issuer LLC                                                    | CUSIP: 30329XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2976000 | PA      | $2955186.75   | 0.12%             | 2039-10-19      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings Clo Ltd 2015-II                                                          | CUSIP: 06759FAB2<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $988232.30    | 0.04%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                         | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2849950 | PA      | $2736148.65   | 0.11%             | 2035-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares XLI Clo Ltd                                                                 | CUSIP: 04016DAU9<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2386413.50   | 0.10%             | 2034-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets               | American Home Mortgage Assets Trust 2006-4                                       | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88522 | PA      | $47366.83     | 0.00%             | 2046-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                    | Regatta XVI Funding Ltd                                                          | CUSIP: 75888TAE5<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $722186.33    | 0.03%             | 2033-01-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-C                                                  | CUSIP: 00969HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $229039.25    | 0.01%             | 2060-09-27      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $287867.52    | 0.01%             | 2033-04-18      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust              | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2476000 | PA      | $2161173.38   | 0.09%             | 2051-06-25      | Fixed         | 1.97%                 | 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        |   3769085 | PA      | $3658738.21   | 0.15%             | 2067-07-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAS1<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240685.43    | 0.01%             | 2032-05-29      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | STWD Trust 2021-FLWR                                                             | CUSIP: 78485GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1738000 | PA      | $1629008.46   | 0.07%             | 2036-07-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                        | CHNGE Mortgage Trust 2022-4                                                      | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702900 | PA      | $694178.10    | 0.03%             | 2057-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3146421 | PA      | $2716848.46   | 0.11%             | 2046-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XVI Ltd                                                             | CUSIP: 87165VAF6<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $294600.15    | 0.01%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-P3                                      | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2635000 | PA      | $2453290.93   | 0.10%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                       | KKR Clo 17 Ltd                                                                   | CUSIP: 48251FAG6<br>LEI: 549300I0HBY0ZQ3YIB77 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $488223.55    | 0.02%             | 2034-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                              | CUSIP: 054966AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $924927.78    | 0.04%             | 2032-11-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Deer Creek CLO, Ltd.                        | Deer Creek Clo Ltd 2017-1                                                        | CUSIP: 24380LAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $989100.10    | 0.04%             | 2030-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXVI Ltd                                                    | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |   2800000 | PA      | $2781012.64   | 0.12%             | 2030-07-29      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Series 2014-9R                                                              | CUSIP: 12648UBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93079 | PA      | $69192.92     | 0.00%             | 2036-08-27      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point Clo XV Ltd                                                           | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |   3117562 | PA      | $3084685.07   | 0.13%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3121000 | PA      | $2604030.38   | 0.11%             | 2052-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO V 2016-1 Ltd                                                            | CUSIP: 87248KAQ7<br>LEI: 254900FRG2I3OIEKD552 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $232507.03    | 0.01%             | 2031-07-17      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                          | Visio 2019-2 Trust                                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $69917.93     | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2022-Fl4 Issuer LLC                                                    | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12331000 | PA      | $12012079.65  | 0.50%             | 2039-01-19      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Loan Trust 2022-NQM1                                           | CUSIP: 06744DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3820615 | PA      | $3659869.60   | 0.15%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2007-FLX5                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2834823 | PA      | $2414790.56   | 0.10%             | 2037-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M              | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                  | CUSIP: 59025TAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2810993 | PA      | $2521223.35   | 0.10%             | 2037-10-25      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1633900 | PA      | $1436074.58   | 0.06%             | 2060-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                            | Greywolf CLO III Ltd                                                             | CUSIP: 39809CAN4<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $489284.65    | 0.02%             | 2033-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                      | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 110000000 | PA      | $3146.00      | 0.00%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XVII Ltd                                                            | CUSIP: 87165UAN1<br>LEI: 549300X84MR2MGY6OR68 | Long             | ABS-CBDO         | CORP              | KY        |    449644 | PA      | $446406.67    | 0.02%             | 2028-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                     | Regatta VI Funding Ltd                                                           | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2923639.20   | 0.12%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT              | Golub Capital Partners CLO 55B LTD                                               | CUSIP: 38178LAA7<br>LEI: 254900ZZ9HHZTOQ1XK24 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $320552.33    | 0.01%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Regatta IX Funding Ltd                      | Regatta IX Funding Ltd                                                           | CUSIP: 75887VAG6<br>LEI: 254900JVS76S6N8G1I74 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $235641.85    | 0.01%             | 2030-04-17      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2020-1 Ltd                                            | CUSIP: 69701EAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1845957.54   | 0.08%             | 2028-02-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Asset-Backed Certificates Trust 2005-16                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539838 | PA      | $1327106.51   | 0.05%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                          | CUSIP: 35564KBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5650000 | PA      | $5080263.61   | 0.21%             | 2051-01-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust              | FirstKey Homes 2020-SFR1 Trust                                                   | CUSIP: 33767MAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3304712.56   | 0.14%             | 2037-08-17      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9752 | PA      | $4573.78      | 0.00%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU              | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FBA6<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   6995615 | PA      | $90573.63     | 0.00%             | 2047-08-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp              | AMMC CLO XIII Ltd                                                                | CUSIP: 00176DAQ2<br>LEI: 549300R4YQWFRASHVE93 | Long             | ABS-CBDO         | CORP              | KY        |    838096 | PA      | $829386.80    | 0.03%             | 2029-07-24      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3408867.20   | 0.14%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset               | First Franklin Mortgage Loan Trust 2006-FF17                                     | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1668140 | PA      | $1509667.72   | 0.06%             | 2036-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                      | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5640186 | PA      | $5274860.12   | 0.22%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                    | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    442176 | PA      | $145467.40    | 0.01%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset              | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                  | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16979 | PA      | $16245.22     | 0.00%             | 2034-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2018-1 Ltd                                                     | CUSIP: 69703PAA7<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491694.10    | 0.02%             | 2031-04-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Rialto Real Estate Fund LP                  | RIAL 2022-FL8 Issuer Ltd                                                         | CUSIP: 76243NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   8184000 | PA      | $7985527.36   | 0.33%             | 2037-01-19      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                      | GSAA Home Equity Trust 2006-4                                                    | CUSIP: 362334FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735554 | PA      | $524764.45    | 0.02%             | 2036-03-25      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4403000 | PA      | $3595856.57   | 0.15%             | 2036-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2020-1 Ltd                                            | CUSIP: 69701EAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1708345.63   | 0.07%             | 2028-02-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares XXXIIR CLO Ltd                                                              | CUSIP: 04017EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $736820.78    | 0.03%             | 2030-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B12 Mortgage Trust                                                | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37306076 | PA      | $1549112.43   | 0.06%             | 2052-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding IX CLO Ltd                                                         | CUSIP: 15033EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1380016.96   | 0.06%             | 2031-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Trimaran Advisors CAVU 2019-1               | Trimaran Cavu 2019-1 Ltd                                                         | CUSIP: 89624CAC6<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $237089.35    | 0.01%             | 2032-07-20      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-2                                            | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32881 | PA      | $29049.40     | 0.00%             | 2037-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO II-S Ltd                                                             | CUSIP: 01751EAJ7<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $686330.18    | 0.03%             | 2028-10-21      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2013-2 Ltd                                                              | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $984314.10    | 0.04%             | 2031-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    901852 | PA      | $307787.13    | 0.01%             | 2052-02-26      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                              | Pikes Peak Clo 11                                                                | CUSIP: 72132KAA3<br>LEI: 5493008O059R6VFBVX94 | Long             | ABS-CBDO         | CORP              | JE        |   3000000 | PA      | $2928415.20   | 0.12%             | 2034-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO III-2 Ltd                                                               | CUSIP: 87249FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492293.75    | 0.02%             | 2028-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4618594.50   | 0.19%             | 2037-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9014559 | PA      | $633075.33    | 0.03%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 2 Ltd                                                               | CUSIP: 98625TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $238672.98    | 0.01%             | 2031-01-22      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3957804 | PA      | $239710.32    | 0.01%             | 2052-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO II-S Ltd                                                             | CUSIP: 01751EAG3<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $290632.38    | 0.01%             | 2028-10-21      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8400000 | PA      | $5734889.16   | 0.24%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBA2<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $740250.38    | 0.03%             | 2031-01-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| 510 Loan Acquisition Trust                  | 510 Loan Acquisition Trust 2020-1                                                | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    601109 | PA      | $557082.27    | 0.02%             | 2060-09-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | GRACIE POINT INTERNATIONAL FUNDING 2022-2                                        | CUSIP: 38411JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2032000 | PA      | $2032297.48   | 0.08%             | 2024-07-01      | Floating      | 7.08%                 | 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        |   1504901 | PA      | $1384641.63   | 0.06%             | 2060-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | GoldentTree Loan Management US CLO 1 Ltd                                         | CUSIP: 38138KAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5530000 | PA      | $5351608.84   | 0.22%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2015-C33                              | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1008265.82   | 0.04%             | 2048-12-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus              | LendingPoint Pass-Through Trust Series 2022-ST1                                  | CUSIP: 52607NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2958207 | PA      | $2789164.20   | 0.12%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust              | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4    | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $382093.16    | 0.02%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 5 Ltd                                                            | CUSIP: 56844YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293951.28    | 0.01%             | 2031-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-H                                                  | CUSIP: 00969XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $137145.15    | 0.01%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $3702758.40   | 0.15%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                              | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17682049 | PA      | $16158259.53  | 0.67%             | 2038-11-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2319179 | PA      | $2315641.36   | 0.10%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2017-C5                               | CUSIP: 46590TAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $383190.00    | 0.02%             | 2050-03-15      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324000 | PA      | $295756.21    | 0.01%             | 2036-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                     | Loanpal Solar Loan 2020-2 Ltd                                                    | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    947029 | PA      | $784775.09    | 0.03%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se              | Wells Fargo Mortgage Backed Securities 2006-AR15 Trust                           | CUSIP: 94985AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980931 | PA      | $893101.46    | 0.04%             | 2036-10-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337000 | PA      | $311348.54    | 0.01%             | 2036-04-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO1 Trust                                                       | CUSIP: 761118RM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2002464 | PA      | $1079838.03   | 0.04%             | 2046-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79700 | PA      | $57052.28     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39025 | PA      | $15415.30     | 0.00%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2006-WL3                                          | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3388542 | PA      | $3016149.84   | 0.12%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO II Ltd                                               | CUSIP: 08179XBA2<br>LEI: 549300PVYNJC7QL0GC48 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1653064.90   | 0.07%             | 2029-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-FCMT                                  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4660000 | PA      | $4379543.03   | 0.18%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                            | Flatiron CLO 19 Ltd                                                              | CUSIP: 33883JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491468.35    | 0.02%             | 2034-11-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                             | Atrium IX                                                                        | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |   1815565 | PA      | $1791797.22   | 0.07%             | 2030-05-28      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 5-R Ltd                                                    | CUSIP: 03329YAA1<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $908299.30    | 0.04%             | 2030-01-15      | Floating      | 9.48%                 | 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        |   1087487 | PA      | $1021743.86   | 0.04%             | 2053-01-21      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 7 Ltd                                                               | CUSIP: 98625DAA8<br>LEI: 25490036G9JNQQPHIX69 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244680.70    | 0.01%             | 2033-01-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-3                                                  | CUSIP: 00841YCG1<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |    832000 | PA      | $535319.37    | 0.02%             | 2045-04-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2016-B                                          | CUSIP: 78449GAB5<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |   1072316 | PA      | $1024749.58   | 0.04%             | 2032-02-17      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5808988 | PA      | $2436039.08   | 0.10%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                           | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2472990.90   | 0.10%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo              | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1684210 | PA      | $1706562.34   | 0.07%             | 2040-12-28      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4364145 | PA      | $4065685.03   | 0.17%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                            | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2792039.25   | 0.12%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17400000 | PA      | $386946.42    | 0.02%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                   | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2087889.70   | 0.09%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XVII Ltd                                                    | CUSIP: 64129UBS3<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |   1239640 | PA      | $1223915.71   | 0.05%             | 2029-04-22      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization              | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2164585 | PA      | $481308.60    | 0.02%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru              | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133611 | PA      | $111397.75    | 0.00%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1770000 | PA      | $1416512.95   | 0.06%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                         | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1968000 | PA      | $1780941.21   | 0.07%             | 2036-10-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Symphony Static CLO Ltd                     | Symphony Static CLO I Ltd                                                        | CUSIP: 87190TAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $468618.15    | 0.02%             | 2029-10-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2017-B                                          | CUSIP: 83189DAB6<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    842540 | PA      | $802149.10    | 0.03%             | 2035-10-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fillmore Park CLO, Ltd.                     | Fillmore Park CLO Ltd 2018-1A                                                    | CUSIP: 31722PAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239573.43    | 0.01%             | 2030-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Sofi RR Funding Trust                       | SoFi RR Funding IV Trust Series 2021-1                                           | CUSIP: 83405GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161327 | PA      | $158100.56    | 0.01%             | 2025-12-31      | Variable      | 2.98%                 | No            |                  3 | On Loan: No      |
| HONO Mortgage Trust                         | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629000 | PA      | $1468356.33   | 0.06%             | 2036-10-15      | Floating      | 8.72%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo              | Merrill Lynch Mortgage Investors Trust Series 2006-OPT1                          | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1748219 | PA      | $1319328.14   | 0.05%             | 2037-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXIII Ltd                                                  | CUSIP: 55819JAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1790000 | PA      | $1755478.78   | 0.07%             | 2032-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO XI Ltd                                                               | CUSIP: 01750HAG7<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239422.15    | 0.01%             | 2033-01-19      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                    | Brex Commercial Charge Card Master Trust                                         | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1358000 | PA      | $1343266.51   | 0.06%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XIX Ltd                                                             | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $492836.45    | 0.02%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2021-3 Ltd                                            | CUSIP: 69702CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $224546.48    | 0.01%             | 2029-07-20      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust              | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565000 | PA      | $1399549.00   | 0.06%             | 2034-09-15      | Floating      | 6.36%                 | No            |                  3 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680200 | PA      | $509864.72    | 0.02%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059700 | PA      | $979148.39    | 0.04%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BPCRE Holder LLC                            | BPCRE 2022-FL2 Ltd                                                               | CUSIP: 05602FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   2763000 | PA      | $2719897.20   | 0.11%             | 2037-01-16      | Floating      | 6.72%                 | No            |                  3 | On Loan: No      |
| LCM Ltd Partnership                         | LCM XXI LP                                                                       | CUSIP: 50189CAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246958.73    | 0.01%             | 2028-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4233759.50   | 0.18%             | 2060-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4630000 | PA      | $3691818.93   | 0.15%             | 2032-04-20      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 2013-1 Ltd                                                 | CUSIP: 033292AU7<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $481831.55    | 0.02%             | 2030-10-13      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                   | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62647750 | PA      | $864269.56    | 0.04%             | 2039-01-15      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-E                                                  | CUSIP: 00969KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8428 | PA      | $8170.80      | 0.00%             | 2058-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-D                                                  | CUSIP: 00968EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7212 | PA      | $4979.62      | 0.00%             | 2058-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511136 | PA      | $393251.06    | 0.02%             | 2047-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $379245.91    | 0.02%             | 2034-01-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur              | Banc of America Mortgage 2007-4 Trust                                            | CUSIP: 059513CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    882576 | PA      | $701976.04    | 0.03%             | 2037-12-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 3-R Ltd                                                    | CUSIP: 03330AAA0<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |   1226038 | PA      | $1211860.09   | 0.05%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE23 Mortgage Trust                                                  | CUSIP: 12593ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1900276.80   | 0.08%             | 2048-05-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                          | Cold Storage Trust 2020-ICE5                                                     | CUSIP: 193051AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1965981 | PA      | $1884540.29   | 0.08%             | 2037-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-LBA                                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    751000 | PA      | $713815.96    | 0.03%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2021-INV1 Trust                                                              | CUSIP: 552747AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $513806.09    | 0.02%             | 2056-01-25      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                         | DBGS 2018-5BP Mortgage Trust                                                     | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4773812.50   | 0.20%             | 2033-06-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $710356.00    | 0.03%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                         | 522 Funding CLO 2018-3A Ltd                                                      | CUSIP: 33835NAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $467533.35    | 0.02%             | 2031-10-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                          | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2099000 | PA      | $1741142.33   | 0.07%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust              | LUXE Trust 2021-TRIP                                                             | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141901 | PA      | $135672.67    | 0.01%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2021-V Ltd                                                          | CUSIP: 12565EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1659613.61   | 0.07%             | 2034-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                             | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25787 | PA      | $25287.08     | 0.00%             | 2037-12-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2013-2 Ltd                                                     | CUSIP: 69688AAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3332978.52   | 0.14%             | 2031-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2014-1                            | CUSIP: 61763YAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197643 | PA      | $175507.88    | 0.01%             | 2044-06-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAE8<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $238842.85    | 0.01%             | 2034-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                        | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |    680000 | PA      | $662418.46    | 0.03%             | 2037-01-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                   | NovaStar Mortgage Funding Trust Series 2006-5                                    | CUSIP: 66988YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3933859 | PA      | $1327983.70   | 0.05%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15032FAC0<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240239.13    | 0.01%             | 2031-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2021-B                                                  | CUSIP: 08862BAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $110981.64    | 0.00%             | 2034-10-17      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                     | BDS 2021-FL10 Ltd                                                                | CUSIP: 05493FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3030000 | PA      | $2919498.02   | 0.12%             | 2036-06-16      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                      | Conseco Finance Corp                                                             | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    927836 | PA      | $830071.74    | 0.03%             | 2030-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |    236297 | PA      | $233689.64    | 0.01%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2005-QA10 Trust                                                      | CUSIP: 761118GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5253890 | PA      | $2248232.11   | 0.09%             | 2035-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                            | TRESTLES CLO V LTD                                                               | CUSIP: 89532UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7230000 | PA      | $7001276.78   | 0.29%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-E                                                  | CUSIP: 00969TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1144329 | PA      | $1135750.66   | 0.05%             | 2059-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    267792 | PA      | $240019.24    | 0.01%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities               | GoldenTree Loan Opportunities IX Ltd                                             | CUSIP: 38123HAN4<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |    848280 | PA      | $841057.82    | 0.03%             | 2029-10-29      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                | MERIT Securities Corp                                                            | CUSIP: 589962CW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968100 | PA      | $767979.89    | 0.03%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                 | Gulf Stream Meridian 4 Ltd                                                       | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9250000 | PA      | $9007549.18   | 0.37%             | 2034-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2235500 | PA      | $1140105.00   | 0.05%             | 2028-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Natixis Commercial Mortgage Se              | Natixis Commercial Mortgage Securities Trust 2017-75B                            | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1747650.79   | 0.07%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2688000 | PA      | $2262273.75   | 0.09%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1209918.88   | 0.05%             | 2029-10-15      | Floating      | 5.58%                 | 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        |    930000 | PA      | $927414.97    | 0.04%             | 2053-06-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2014-C                                             | CUSIP: 17323GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317000 | PA      | $282221.42    | 0.01%             | 2054-02-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2587000 | PA      | $2249930.20   | 0.09%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322000 | PA      | $283360.00    | 0.01%             | 2050-06-15      | Variable      | 4.28%                 | No            |                  3 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-H                                                  | CUSIP: 00969XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338347 | PA      | $317318.15    | 0.01%             | 2059-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                   | BPR Trust 2021-TY                                                                | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3138000 | PA      | $2836020.53   | 0.12%             | 2038-09-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXIII Ltd                                                       | CUSIP: 09629LAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $724264.65    | 0.03%             | 2031-10-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-F                                                  | CUSIP: 00969JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153145 | PA      | $99902.70     | 0.00%             | 2058-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV              | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $985373.10    | 0.04%             | 2031-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, Ltd.                  | Sixth Street CLO XVI Ltd                                                         | CUSIP: 83012DAA1<br>LEI: 549300YD05LZSDNMVF16 | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $724061.60    | 0.03%             | 2032-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Long Point Park CLO Ltd                     | Long Point Park CLO Ltd                                                          | CUSIP: 542798AE3<br>LEI: 549300639DPKTBUSCC77 | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $793250.53    | 0.03%             | 2030-01-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | GoldentTree Loan Management US CLO 1 Ltd                                         | CUSIP: 38138RAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $934637.20    | 0.04%             | 2034-10-20      | Floating      | 11.99%                | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings CLO Ltd 2019-III                                                         | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   1170000 | PA      | $1150355.82   | 0.05%             | 2031-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $789737.24    | 0.03%             | 2034-01-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                     | BDS 2021-FL9 Ltd                                                                 | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1870000 | PA      | $1788931.39   | 0.07%             | 2038-11-16      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $2560930.75   | 0.11%             | 2032-04-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust              | BOCA Commercial Mortgage Trust 2022-BOCA                                         | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539523 | PA      | $1508461.12   | 0.06%             | 2039-05-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2940378.60   | 0.12%             | 2033-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17599000 | PA      | $503885.77    | 0.02%             | 2053-03-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1911600 | PA      | $1261167.40   | 0.05%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card               | Mercury Financial Credit Card Master Trust                                       | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4130000 | PA      | $3940247.56   | 0.16%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1068000 | PA      | $841932.92    | 0.03%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo              | Banc of America Alternative Loan Trust 2006-4                                    | CUSIP: 05950AAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555058 | PA      | $439430.73    | 0.02%             | 2046-05-25      | Floating      | 5.19%                 | 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        |    281413 | PA      | $237520.60    | 0.01%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5370432 | PA      | $4181108.48   | 0.17%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2670000 | PA      | $2139016.03   | 0.09%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671145 | PA      | $547252.86    | 0.02%             | 2046-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                              | Galaxy XXVII CLO Ltd                                                             | CUSIP: 36320UAC4<br>LEI: 549300GJYHKO4BDEN716 | Long             | ABS-CBDO         | CORP              | KY        |   2330000 | PA      | $2297514.44   | 0.10%             | 2031-05-16      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2021-B                                                  | CUSIP: 08862BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5380000 | PA      | $4234488.79   | 0.18%             | 2034-10-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3714000 | PA      | $3111033.96   | 0.13%             | 2033-11-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2019-RP1                                           | CUSIP: 17327RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676747 | PA      | $1582443.60   | 0.07%             | 2066-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2015-I Ltd                                                          | CUSIP: 12548MBF1<br>LEI: 5493001TP5YQV9X08Z14 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246748.15    | 0.01%             | 2031-01-22      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF3             | CUSIP: 863592AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4322690 | PA      | $2604096.58   | 0.11%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8570000 | PA      | $196863.18    | 0.01%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2109213.84   | 0.09%             | 2050-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital Clo 16 Ltd                                                     | CUSIP: 03330WAJ3<br>LEI: 5493008M7D1YIDOH2C69 | Long             | ABS-CBDO         | CORP              | KY        |    380000 | PA      | $369384.32    | 0.02%             | 2035-01-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Voya CLO 2017-4, Ltd.                       | Voya Clo 2017-4 Ltd                                                              | CUSIP: 92916QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1234480.00   | 0.05%             | 2030-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,               | Citicorp Mortgage Securities Trust Series 2008-2                                 | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288944 | PA      | $220121.17    | 0.01%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2019-J2                                                                | CUSIP: 12558TBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896234 | PA      | $635176.24    | 0.03%             | 2049-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXVIII Ltd                                                       | CUSIP: 83615CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980043.80    | 0.04%             | 2032-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc              | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2518812 | PA      | $2442362.02   | 0.10%             | 2032-11-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAN1<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $953620.90    | 0.04%             | 2029-10-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                  | Upstart Pass-Through Trust Series 2021-ST9                                       | CUSIP: 91683MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3797534 | PA      | $3602993.78   | 0.15%             | 2029-11-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VINO                                           | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4950000 | PA      | $4765242.24   | 0.20%             | 2038-05-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-NQM1                                                                   | CUSIP: 126407AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3299166 | PA      | $2293191.89   | 0.09%             | 2065-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1250925.45   | 0.05%             | 2052-03-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                            | Flatiron CLO 19 Ltd                                                              | CUSIP: 33883JAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $843130.53    | 0.03%             | 2034-11-16      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Regatta XVII Funding Ltd                    | Regatta XVII Funding Ltd                                                         | CUSIP: 75888DAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $456545.80    | 0.02%             | 2033-10-15      | Floating      | 11.69%                | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $108419.25    | 0.00%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings CLO Ltd 2018-III                                                         | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    584787 | PA      | $579767.42    | 0.02%             | 2029-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 65 CLO Ltd                                                                | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $481931.40    | 0.02%             | 2030-07-18      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-4                                            | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6029068 | PA      | $5480134.56   | 0.23%             | 2037-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 8 Ltd                                                            | CUSIP: 56845NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $488479.85    | 0.02%             | 2033-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $864752.50    | 0.04%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2007-WFHE2                                         | CUSIP: 17312BAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4606260.00   | 0.19%             | 2037-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 37 Senior Loan Fund                                                       | CUSIP: 26249MAN7<br>LEI: 254900I0IPNA482LDS44 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1233583.13   | 0.05%             | 2031-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-A                                                  | CUSIP: 00969WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2357047 | PA      | $1449767.97   | 0.06%             | 2059-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 53 CLO Ltd                                                                | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1975407.60   | 0.08%             | 2031-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2014-III Ltd                                                        | CUSIP: 12549QBA2<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3453619.05   | 0.14%             | 2031-10-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding VI CLO Ltd                                                         | CUSIP: 15032DAR2<br>LEI: 549300PQ60B57EBTK013 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $487568.40    | 0.02%             | 2034-04-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2350000 | PA      | $2287674.48   | 0.09%             | 2030-10-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                   | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47127 | PA      | $38933.52     | 0.00%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-NQM7 Trust                                                              | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545758 | PA      | $2497368.29   | 0.10%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379U6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12130323 | PA      | $418879.46    | 0.02%             | 2056-12-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2006-SP2                                          | CUSIP: 07325KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484852 | PA      | $1348446.48   | 0.06%             | 2037-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1007970 | PA      | $689386.49    | 0.03%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO III Ltd                        | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAA4<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3889561.60   | 0.16%             | 2034-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance               | Citibank Credit Card Issuance Trust                                              | CUSIP: 17305EGL3<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7999040.00   | 0.33%             | 2025-01-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9102414 | PA      | $8396193.51   | 0.35%             | 2061-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates 2019-ICE4                            | CUSIP: 12653VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8897000 | PA      | $8501960.74   | 0.35%             | 2036-05-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-CHRS Mortgage Trust                                                   | CUSIP: 05491VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $643401.30    | 0.03%             | 2038-08-05      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22138834 | PA      | $18740839.79  | 0.78%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 2 LLC                                                            | CUSIP: 56844XBG3<br>LEI: 549300SC4HK60KIV1S28 | Long             | ABS-CBDO         | CORP              | US        |   1416824 | PA      | $1396941.47   | 0.06%             | 2029-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2022-NQM3 Trust                                                              | CUSIP: 55286EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3284183 | PA      | $3221243.82   | 0.13%             | 2067-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2022-NQM4 Trust                                                             | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3870313 | PA      | $3781331.44   | 0.16%             | 2067-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAC6<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $482262.60    | 0.02%             | 2036-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                   | Ashford Hospitality Trust 2018-ASHF                                              | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128000 | PA      | $1037256.69   | 0.04%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                          | Myers Park CLO Ltd                                                               | CUSIP: 62848FAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241503.63    | 0.01%             | 2030-10-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2018-C14 Commercial Mortgage Trust                                         | CUSIP: 12596GAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4219000 | PA      | $3984446.38   | 0.16%             | 2051-11-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14, LTD.                            | AGL CLO 14 Ltd                                                                   | CUSIP: 00851WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15870000 | PA      | $15412699.60  | 0.64%             | 2034-12-02      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153255 | PA      | $171693.03    | 0.01%             | 2036-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                    | FBR Securitization Trust                                                         | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2626703 | PA      | $2537816.91   | 0.11%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2013-II Ltd                                                         | CUSIP: 12549BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1580000 | PA      | $1558975.26   | 0.06%             | 2030-10-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8454000 | PA      | $7387145.78   | 0.31%             | 2031-12-22      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B16 Mortgage Trust                                                | CUSIP: 08161NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701000 | PA      | $602397.69    | 0.02%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO IV Ltd                                                               | CUSIP: 01749TAQ3<br>LEI: 635400THLJMIHHPCEN50 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $342055.84    | 0.01%             | 2030-01-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan              | GMACM Home Equity Loan Trust 2006-HE1                                            | CUSIP: 361856ER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1585 | PA      | $3334.32      | 0.00%             | 2036-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-DM                                        | CUSIP: 36265AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313000 | PA      | $286729.78    | 0.01%             | 2036-11-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK FA                            | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $0.03         | 0.00%             | 2049-12-31      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| 522 Funding CLO LTD                         | 522 Funding CLO 2019-5 Ltd                                                       | CUSIP: 33829WAC3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $413567.12    | 0.02%             | 2035-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica              | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2947410 | PA      | $2332722.77   | 0.10%             | 2037-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Fannie Mae Connecticut Avenue Securities                                         | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2049741.80   | 0.08%             | 2030-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2022-SFR1 Trust                                             | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $3901886.50   | 0.16%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-D                                                  | CUSIP: 00970CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826775 | PA      | $693883.85    | 0.03%             | 2060-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3170108 | PA      | $2936353.56   | 0.12%             | 2061-01-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                              | Romark WM-R Ltd                                                                  | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1237022 | PA      | $1214137.40   | 0.05%             | 2031-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE               | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032205 | PA      | $685066.20    | 0.03%             | 2028-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Octagon Investment Partners 33              | Octagon Investment Partners 33 Ltd                                               | CUSIP: 675711AA3<br>LEI: 549300IDWDG12HO3TO90 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1086650.29   | 0.04%             | 2031-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2018-2 Ltd                                                              | CUSIP: 92917JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245667.50    | 0.01%             | 2031-07-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2019-SFR4 Trust                                             | CUSIP: 74331AAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2366552.00   | 0.10%             | 2036-10-17      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2020-SDAL                                  | CUSIP: 95002GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $937763.20    | 0.04%             | 2037-02-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2021-2                                                   | CUSIP: 61946RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3857970 | PA      | $2999717.07   | 0.12%             | 2047-04-22      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 3 Ltd                                                                    | CUSIP: 48661WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    325000 | PA      | $313297.27    | 0.01%             | 2032-04-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                           | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    546000 | PA      | $527752.90    | 0.02%             | 2036-11-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                     | Loanpal Solar Loan 2021-2 Ltd                                                    | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3633742 | PA      | $2657263.07   | 0.11%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-76                                                   | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412106 | PA      | $365482.70    | 0.02%             | 2036-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RAN8<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2886651.00   | 0.12%             | 2033-04-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1373570 | PA      | $1179994.50   | 0.05%             | 2037-03-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC                  | Sunrun Xanadu Issuer 2019-1 LLC                                                  | CUSIP: 86773PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1818756 | PA      | $1608725.80   | 0.07%             | 2054-06-30      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3268732.40   | 0.14%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6768176.80   | 0.28%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6600000 | PA      | $5912897.76   | 0.24%             | 2031-12-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                         | Cbam 2018-7 Ltd                                                                  | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $475855.00    | 0.02%             | 2031-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2006-OC10                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470824 | PA      | $396433.12    | 0.02%             | 2036-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H8U90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2514000 | PA      | $2316816.42   | 0.10%             | 2032-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2018-1 Ltd                                                    | CUSIP: 77342JAA1<br>LEI: 549300KPFGDIQ0PMP224 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $738519.00    | 0.03%             | 2031-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru              | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $135731.35    | 0.01%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK28                                                                  | CUSIP: 06540YAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29819566 | PA      | $1784053.94   | 0.07%             | 2063-03-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $268723.95    | 0.01%             | 2036-04-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-R2                                               | CUSIP: 92538DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $191679.06    | 0.01%             | 2064-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4691958 | PA      | $4380148.63   | 0.18%             | 2038-10-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Hipgnosis Music Assets LP                   | Hipgnosis Music Assets 2022-1 LP                                                 | CUSIP: 43351RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3919000 | PA      | $3605674.38   | 0.15%             | 2062-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110000 | PA      | $981757.82    | 0.04%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    689000 | PA      | $671519.45    | 0.03%             | 2033-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-667M Mortgage Trust                                                    | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $379391.55    | 0.02%             | 2036-10-10      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2020-1                                        | CUSIP: 75907QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $288358.94    | 0.01%             | 2030-10-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                        | DBUBS 2017-BRBK Mortgage Trust                                                   | CUSIP: 23305JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1094000 | PA      | $920343.32    | 0.04%             | 2034-10-10      | Variable      | 3.53%                 | No            |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-PRM                                     | CUSIP: 29429JAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2979519.00   | 0.12%             | 2036-05-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                     | Home Equity Asset Trust 2006-3                                                   | CUSIP: 437084UT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $247605.74    | 0.01%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-LBA6                                                               | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1449252.90   | 0.06%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                         | Eaton Vance CLO 2018-1 Ltd                                                       | CUSIP: 27831BAC7<br>LEI: 549300R0C8KS2AMEHL81 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240450.75    | 0.01%             | 2030-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2105194.59   | 0.09%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2018-IV Ltd                                                         | CUSIP: 17181TAC5<br>LEI: 254900PA63PFHC11GD90 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242854.60    | 0.01%             | 2031-10-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                            | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAL1<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $635945.90    | 0.03%             | 2032-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd              | Highbridge Loan Management 3-2014                                                | CUSIP: 40436XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    345724 | PA      | $342874.27    | 0.01%             | 2029-07-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19614527 | PA      | $17297670.63  | 0.72%             | 2061-06-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2756767 | PA      | $2584782.90   | 0.11%             | 2038-07-15      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers Clo 42 Ltd                                        | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2917928.40   | 0.12%             | 2035-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XLIX Ltd                                                    | CUSIP: 55821QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $670613.48    | 0.03%             | 2034-10-19      | Floating      | 10.48%                | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Issuance Trust 2021-B                                                    | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4318852.00   | 0.18%             | 2031-05-08      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717258 | PA      | $628155.22    | 0.03%             | 2049-07-25      | Variable      | 3.48%                 | 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    | 0.01%             | 2034-10-19      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                             | Atrium XIII                                                                      | CUSIP: 04966HAA4<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496128.85    | 0.02%             | 2030-11-21      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-LBA                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3536000 | PA      | $3360923.09   | 0.14%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 2 Ltd                                                                    | CUSIP: 48661TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1228903.00   | 0.05%             | 2031-10-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918465 | PA      | $823995.51    | 0.03%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust              | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4526638 | PA      | $3653159.27   | 0.15%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                         | CUSIP: 38379RHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3298890 | PA      | $93593.46     | 0.00%             | 2057-08-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                     | BDS 2022-FL11 LLC                                                                | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6888000 | PA      | $6691787.05   | 0.28%             | 2039-03-19      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi              | Park Avenue Institutional Advisers CLO Ltd 2017-1                                | CUSIP: 70018FAE9<br>LEI: 549300ZWX1MRCB6KO574 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $769776.03    | 0.03%             | 2034-02-14      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244200.08    | 0.01%             | 2031-04-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XIV Ltd                                                             | CUSIP: 87159QBX5<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248716.30    | 0.01%             | 2026-07-14      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2021-A                                            | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1325333.18   | 0.05%             | 2036-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp                                                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    791157 | PA      | $734118.32    | 0.03%             | 2035-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2022-FL5 Issuer LLC                                                    | CUSIP: 30327MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4241000 | PA      | $4167579.38   | 0.17%             | 2037-06-19      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | STWD Trust 2021-FLWR                                                             | CUSIP: 78485GAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6666346.40   | 0.28%             | 2036-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2022-1                                                    | CUSIP: 52608JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4589000 | PA      | $4434219.91   | 0.18%             | 2032-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 6 Ltd                                                               | CUSIP: 37148JAJ2<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $3986437.95   | 0.17%             | 2035-01-22      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1254430 | PA      | $943278.98    | 0.04%             | 2052-02-26      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2007-AR19                                       | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646543 | PA      | $418161.80    | 0.02%             | 2037-09-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                 | Stratus CLO 2021-1 Ltd                                                           | CUSIP: 863171AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $390580.00    | 0.02%             | 2029-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2815807 | PA      | $1388181.73   | 0.06%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7340000 | PA      | $6421128.89   | 0.27%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                       | TRK 2021-INV2 Trust                                                              | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3755000 | PA      | $2485790.85   | 0.10%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-H                                                  | CUSIP: 00969XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420267 | PA      | $414732.49    | 0.02%             | 2059-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management | Dreyfus Treasury Securities Cash Management                                      | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        | 164507256 | NS      | $164507255.51 | 6.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9391117 | PA      | $8569499.64   | 0.35%             | 2061-06-25      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C41                                   | CUSIP: 95001ABH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1749036.00   | 0.07%             | 2050-11-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2017-D                                                  | CUSIP: 00968BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143615 | PA      | $88481.22     | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| LCM Ltd Partnership                         | LCM 26 Ltd                                                                       | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1974755.00   | 0.08%             | 2031-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2006-QO10 Trust                                                      | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1833040 | PA      | $1525819.54   | 0.06%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-1                                                | CUSIP: 92537QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $1773638.40   | 0.07%             | 2066-01-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4578835 | PA      | $-3728635.27  | -0.15%            | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8380000 | PA      | $6545602.08   | 0.27%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | Goldentree Loan Management US Clo 3 Ltd                                          | CUSIP: 38138BAE0<br>LEI: 549300TB55YBQBSW5Z77 | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $828562.49    | 0.03%             | 2030-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                       | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PEN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9873547 | PA      | $9801833.00   | 0.41%             | 2059-07-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                         | DBGS 2018-BIOD Mortgage Trust                                                    | CUSIP: 23306GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4568813 | PA      | $4490608.61   | 0.19%             | 2035-05-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC      | CDS CMBX.NA.9.BBB                                                                | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $5076.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 6 Ltd                                                         | CUSIP: 67098UAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $646802.12    | 0.03%             | 2034-07-20      | Floating      | 5.38%                 | 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        |   5605000 | PA      | $5590898.94   | 0.23%             | 2039-08-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702HAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $225749.58    | 0.01%             | 2029-10-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO XIX Ltd                                              | CUSIP: 08182RAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242743.53    | 0.01%             | 2033-01-15      | Floating      | 6.08%                 | 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        |   3476533 | PA      | $3433670.44   | 0.14%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares XXXVII CLO Ltd                                                              | CUSIP: 04015NAG9<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $593784.24    | 0.02%             | 2030-10-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C18                                                    | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490000 | PA      | $1558978.36   | 0.06%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| BankAmerica Manufactured Housi              | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5740000 | PA      | $1727921.38   | 0.07%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Lt              | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2030774 | PA      | $1751136.71   | 0.07%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  3 | On Loan: No      |
| Winwater Mortgage Loan Trust                | WinWater Mortgage Loan Trust 2014-3                                              | CUSIP: 97652RBD8<br>LEI: 549300JBTXISBC85OS04 | Long             | ABS-MBS          | CORP              | US        |    923000 | PA      | $809498.41    | 0.03%             | 2044-11-20      | Variable      | 3.98%                 | 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        |   2481000 | PA      | $1783396.64   | 0.07%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                          | Shackleton 2013-III CLO Ltd                                                      | CUSIP: 81881QAS5<br>LEI: 549300S9WB2KLCOJR134 | Long             | ABS-CBDO         | CORP              | KY        |    994556 | PA      | $975240.73    | 0.04%             | 2030-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 2013-1 Ltd                                                 | CUSIP: 033289AJ8<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $891551.70    | 0.04%             | 2030-10-13      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1573093 | PA      | $1342505.75   | 0.06%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                     | BDS 2022-FL12 LLC                                                                | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1870000 | PA      | $1830741.22   | 0.08%             | 2038-08-19      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2014-SAF1                                                             | CUSIP: 12648FAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1578101 | PA      | $1139327.46   | 0.05%             | 2044-03-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance               | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3                   | CUSIP: 52521UAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3340000 | PA      | $2633336.83   | 0.11%             | 2037-10-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SAE9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3860140.98   | 0.16%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $749726.90    | 0.03%             | 2037-02-24      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $939000.70    | 0.04%             | 2033-07-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding 2016-R2 Trust                                            | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337505 | PA      | $324958.26    | 0.01%             | 2033-05-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding VIII Clo Ltd                                                       | CUSIP: 15032EAL3<br>LEI: 549300PTCF9P2JDL1E69 | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2660465.23   | 0.11%             | 2034-10-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |   4250000 | PA      | $4161693.50   | 0.17%             | 2034-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO Ltd                                                  | CUSIP: 08182DAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239507.85    | 0.01%             | 2034-07-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2019-SFR3 Trust                                             | CUSIP: 74332WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2801200.80   | 0.12%             | 2036-09-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi              | Park Avenue Institutional Advisers CLO Ltd 2021-2                                | CUSIP: 70018QAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1681375.17   | 0.07%             | 2034-07-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2006-9                                            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2031194 | PA      | $634471.21    | 0.03%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Mariner CLO 2016-3 LLC                                                           | CUSIP: 56845AAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    190244 | PA      | $187854.22    | 0.01%             | 2029-07-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                      | RR 19 Ltd                                                                        | CUSIP: 74983AAC7<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $485617.90    | 0.02%             | 2035-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8704139 | PA      | $7815105.38   | 0.32%             | 2060-03-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                        | SMRT 2022-MINI                                                                   | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    847000 | PA      | $772723.18    | 0.03%             | 2039-01-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2018-TAN                                         | CUSIP: 12528DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1081000 | PA      | $1064237.04   | 0.04%             | 2033-02-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus              | Republic Finance Issuance Trust 2021-A                                           | CUSIP: 76042UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550000 | PA      | $2805738.95   | 0.12%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2022-1 LLC                                                                  | CUSIP: 693582AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4298262 | PA      | $4018888.67   | 0.17%             | 2027-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Corp                              | CUSIP: 466304AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4619000 | PA      | $4610162.47   | 0.19%             | 2036-12-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3620000 | PA      | $2534884.37   | 0.10%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXX LTD                                                     | CUSIP: 55822HAA0<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $903093.00    | 0.04%             | 2029-04-15      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $679237.73    | 0.03%             | 2035-01-19      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3842049 | PA      | $3094555.51   | 0.13%             | 2052-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust              | Pagaya AI Debt Selection Trust 2021-2                                            | CUSIP: 69546LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1618187 | PA      | $1506981.23   | 0.06%             | 2029-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |   2317468 | PA      | $2118187.48   | 0.09%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| CML Trigrams                                | CML Trigrams                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3167489 | PA      | $3135495.14   | 0.13%             | 2024-09-15      | Floating      | 6.52%                 | No            |                  3 | On Loan: No      |
| Regatta VIII Funding Ltd                    | Regatta VIII Funding Ltd                                                         | CUSIP: 75888KAC8<br>LEI: 2549002R0TTC87W9EH67 | Long             | ABS-CBDO         | CORP              | KY        |   1255000 | PA      | $1217804.44   | 0.05%             | 2030-10-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Private Education Loan Trust 2010-C                                          | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |   3248788 | PA      | $3484325.72   | 0.14%             | 2041-10-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                 | Gulf Stream Meridian 4 Ltd                                                       | CUSIP: 402562AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $962576.50    | 0.04%             | 2034-07-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 3 LTD                                                         | CUSIP: 67112RAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244005.93    | 0.01%             | 2035-07-02      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust              | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4584350 | PA      | $3148060.02   | 0.13%             | 2036-05-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11764966 | PA      | $10904947.12  | 0.45%             | 2062-03-27      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2796076 | PA      | $2608042.13   | 0.11%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13345000 | PA      | $11583502.70  | 0.48%             | 2031-10-08      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349154 | PA      | $327508.99    | 0.01%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.               | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |         1 | NC      | $26322.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TCW CLO 2019-1 AMR, LTD.                    | TCW CLO 2019-1 AMR Ltd                                                           | CUSIP: 87241EAQ8<br>LEI: 549300RWQDI4UTTLDE63 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243362.45    | 0.01%             | 2034-08-16      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12666TAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1115 | PA      | $1109.06      | 0.00%             | 2046-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313JAK0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $941160.20    | 0.04%             | 2037-07-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2              | BX Commercial Mortgage Trust 2019-XL                                             | CUSIP: 056054AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4068092.78   | 0.17%             | 2036-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                         | Oportun Issuance Trust 2021-C                                                    | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3180000 | PA      | $2694513.53   | 0.11%             | 2031-10-08      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential Trust                                                       | CUSIP: 74333HAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3577000 | PA      | $2967597.24   | 0.12%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBG9<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $898396.10    | 0.04%             | 2031-01-28      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274434 | PA      | $235732.19    | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2013-I Ltd                                                          | CUSIP: 12549AAN0<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243188.83    | 0.01%             | 2030-07-16      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540778 | PA      | $441687.56    | 0.02%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241500 | PA      | $191074.80    | 0.01%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-PC1 Mortgage Trust                                                     | CUSIP: 12593GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3175000 | PA      | $2919997.34   | 0.12%             | 2050-07-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2017-3 Ltd                                                              | CUSIP: 92915QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $968332.00    | 0.04%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| WASH MUT BANK NV                            | WASHINGTON MUTUAL BANK / DEBT NOT ACQUIRED BY JPMORGAN ESCROW                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $0.05         | 0.00%             | 2049-12-31      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XXIII Ltd                                                           | CUSIP: 87167PAE0<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1140668.50   | 0.05%             | 2034-01-15      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-G                                                  | CUSIP: 00969VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224000 | PA      | $195305.67    | 0.01%             | 2059-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                   | BXP Trust 2021-601L                                                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $702800.00    | 0.03%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  3 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2274000 | PA      | $2074402.15   | 0.09%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates 2019-ICE4                            | CUSIP: 12653VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3015000 | PA      | $2961730.68   | 0.12%             | 2036-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149378 | PA      | $136469.43    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus              | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9042545 | PA      | $185285.37    | 0.01%             | 2050-03-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2018-D                                 | CUSIP: 63940UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1085477 | PA      | $1038418.82   | 0.04%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I               | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472940 | PA      | $329861.77    | 0.01%             | 2036-08-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2020-SL1                                             | CUSIP: 52475KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165897 | PA      | $161962.76    | 0.01%             | 2060-01-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT              | Golub Capital Partners CLO 58B Ltd                                               | CUSIP: 38178TAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1737111.97   | 0.07%             | 2035-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2013-3 Ltd                                                              | CUSIP: 92916XAJ6<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |    498278 | PA      | $493806.09    | 0.02%             | 2031-10-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets               | American Home Mortgage Assets Trust 2006-6                                       | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4951760 | PA      | $3995374.24   | 0.17%             | 2046-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                       | Western Mortgage Reference Notes Series 2021-CL2                                 | CUSIP: 95763PEP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9931629 | PA      | $9860167.28   | 0.41%             | 2059-07-25      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2020-SDAL                                  | CUSIP: 95002GAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1484174.40   | 0.06%             | 2037-02-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 3 Ltd                                                                    | CUSIP: 48661WAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $230034.73    | 0.01%             | 2032-04-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2015-1 Ltd                                                     | CUSIP: 69689ABL3<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $952559.80    | 0.04%             | 2034-05-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup COmmercial Mortgage Trust 2019-SMRT                                    | CUSIP: 29429MAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2895920.10   | 0.12%             | 2036-01-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                                               | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3757000 | PA      | $3143011.90   | 0.13%             | 2041-12-09      | Fixed         | 3.20%                 | 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        |   1950000 | PA      | $1891142.18   | 0.08%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I               | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3640000 | PA      | $3213913.25   | 0.13%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM VIII Ltd                                                                    | CUSIP: 67107FBN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1185000 | PA      | $1152635.75   | 0.05%             | 2029-10-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-E                                                  | CUSIP: 00969TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726611 | PA      | $687605.34    | 0.03%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                         | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2438318.22   | 0.10%             | 2035-07-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038689 | PA      | $1080236.26   | 0.04%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| OSD CLO 2021-23 Ltd                         | OSD CLO 2021-23 Ltd                                                              | CUSIP: 671025AA2<br>LEI: 2549004IE8HHQL34D058 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $889603.70    | 0.04%             | 2031-04-17      | Floating      | 10.08%                | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7917011 | PA      | $7763391.01   | 0.32%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2019-16 Ltd                                                              | CUSIP: 67570QAK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1490000 | PA      | $1460967.50   | 0.06%             | 2033-04-10      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2021-1                                                   | CUSIP: 61947DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431177 | PA      | $315070.88    | 0.01%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2018-B                                                  | CUSIP: 00969FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73600 | PA      | $57047.72     | 0.00%             | 2057-02-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-C                                                  | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    784544 | PA      | $645774.45    | 0.03%             | 2060-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-C LLC                                             | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $210263.45    | 0.01%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                           | Jamestown CLO XII Ltd                                                            | CUSIP: 47047JAC8<br>LEI: 254900TDIR3OOT3N8P57 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242111.40    | 0.01%             | 2032-04-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                     | GSR Mortgage Loan Trust 2006-AR2                                                 | CUSIP: 36297TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1855172 | PA      | $1251226.28   | 0.05%             | 2036-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79783 | PA      | $34878.56     | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2020-C56                                   | CUSIP: 95002RAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432000 | PA      | $358798.38    | 0.01%             | 2053-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                | SG Mortgage Securities Trust 2006-FRE2                                           | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189387 | PA      | $42670.87     | 0.00%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                | Parallel 2015-1 Ltd                                                              | CUSIP: 69915VAS9<br>LEI: 549300IVH7GEF68EFD31 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $982198.40    | 0.04%             | 2027-07-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502442 | PA      | $62051.61     | 0.00%             | 2059-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | CDS CMBX.NA.BBB-.6                                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |         1 | NC      | $6200.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                         | DBGS 2018-BIOD Mortgage Trust                                                    | CUSIP: 23306GAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3051967 | PA      | $2875691.25   | 0.12%             | 2035-05-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK22                                                                  | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2615178.60   | 0.11%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition              | JP Morgan Mortgage Acquisition Trust 2006-CH1                                    | CUSIP: 46629TAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3498000 | PA      | $2952974.87   | 0.12%             | 2036-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit              | SG Commercial Mortgage Securities Trust 2019-PREZ                                | CUSIP: 78430EAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1450626.20   | 0.06%             | 2039-09-15      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2005-WF1                                     | CUSIP: 57643LKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118764 | PA      | $1082085.43   | 0.04%             | 2035-06-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets               | American Home Mortgage Assets Trust 2007-1                                       | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31703 | PA      | $12933.20     | 0.00%             | 2047-02-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo              | EDvestinU Private Education Loan Issue No 4 LLC                                  | CUSIP: 28165AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1226675 | PA      | $1190379.72   | 0.05%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                 | Gulf Stream Meridian 3 Ltd                                                       | CUSIP: 402512AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244210.70    | 0.01%             | 2034-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK22                                                                  | CUSIP: 06540XBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85561000 | PA      | $844512.74    | 0.03%             | 2062-11-15      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-980M                                                                   | CUSIP: 12659RAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3364000 | PA      | $2679005.84   | 0.11%             | 2031-07-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3741000 | PA      | $3531031.14   | 0.15%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-C                                                  | CUSIP: 00969HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139631 | PA      | $133577.68    | 0.01%             | 2060-09-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Aimco                                       | AIMCO CLO Series 2018-B                                                          | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $982126.00    | 0.04%             | 2032-01-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130TBG9<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $932308.60    | 0.04%             | 2034-07-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust              | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501116 | PA      | $1215857.53   | 0.05%             | 2036-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Thro              | Popular ABS Mortgage Pass-Through Trust 2006-B                                   | CUSIP: 73316PKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4303694 | PA      | $3822417.37   | 0.16%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1942117.80   | 0.08%             | 2034-05-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-SUN                                          | CUSIP: 61691MAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22000 | PA      | $21004.59     | 0.00%             | 2035-07-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Aimco                                       | AIMCO CLO Series 2017-A                                                          | CUSIP: 00900CAL8<br>LEI: 549300MMTPNJGGRMPB33 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2438537.50   | 0.10%             | 2034-04-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2019-2                                          | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5401000 | PA      | $4819760.04   | 0.20%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 3 Ltd                                                                    | CUSIP: 48661WAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $234501.53    | 0.01%             | 2032-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Apollo Credit Funding Ltd                   | Apollo Credit Funding IV Ltd                                                     | CUSIP: 03765WBE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $487059.50    | 0.02%             | 2030-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2022-A                                             | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7172296 | PA      | $7009857.52   | 0.29%             | 2062-09-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3428087 | PA      | $889925.68    | 0.04%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO XX Ltd                                                             | CUSIP: 07134UAA5<br>LEI: 549300CDYR56PY734566 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2921676.30   | 0.12%             | 2034-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Regatta IX Funding Ltd                      | Regatta IX Funding Ltd                                                           | CUSIP: 75887VAE1<br>LEI: 254900JVS76S6N8G1I74 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241771.70    | 0.01%             | 2030-04-17      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management 6-2015, Lt              | HPS Loan Management 6-2015 Ltd                                                   | CUSIP: 40436KAC9<br>LEI: 549300OYG05TXUTUVD98 | Long             | ABS-CBDO         | CORP              | KY        |    744909 | PA      | $736495.65    | 0.03%             | 2031-02-05      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates 2019-ICE4                            | CUSIP: 12653VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6331000 | PA      | $6123295.72   | 0.25%             | 2036-05-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1743536 | PA      | $1661787.96   | 0.07%             | 2053-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2017-PFHP                                                             | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $230240.04    | 0.01%             | 2030-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242500.88    | 0.01%             | 2031-01-23      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc              | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157562 | PA      | $1905865.33   | 0.08%             | 2032-03-15      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO Ltd                                                              | CUSIP: 09075JAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $470774.70    | 0.02%             | 2031-06-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                   | BXP Trust 2017-GM                                                                | CUSIP: 056083AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $226660.14    | 0.01%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395587 | PA      | $271071.09    | 0.01%             | 2035-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4874128 | PA      | $4666272.53   | 0.19%             | 2038-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1622000 | PA      | $1278071.77   | 0.05%             | 2052-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2022-2 Ltd                                            | CUSIP: 69701NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $234075.20    | 0.01%             | 2030-10-15      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2533000 | PA      | $2098830.88   | 0.09%             | 2065-04-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                       | KKR CLO 10 Ltd                                                                   | CUSIP: 48250GAS9<br>LEI: 549300N7FISC1W1QKR21 | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $626865.79    | 0.03%             | 2029-09-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Clear Creek CLO Ltd                         | Clear Creek CLO                                                                  | CUSIP: 18452KAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $856487.50    | 0.04%             | 2030-10-20      | Floating      | 10.54%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2005-J2                                          | CUSIP: 12669GV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2596679 | PA      | $1809300.49   | 0.07%             | 2035-08-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    636580 | PA      | $241373.12    | 0.01%             | 2060-12-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    816810 | PA      | $709617.65    | 0.03%             | 2061-01-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO XI Ltd                                                               | CUSIP: 01750HAL6<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243468.13    | 0.01%             | 2033-01-19      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742000 | PA      | $714086.26    | 0.03%             | 2036-11-15      | Floating      | 5.14%                 | 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        |   3838000 | PA      | $3784277.60   | 0.16%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                          | CUSIP: 35564KJB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2901684 | PA      | $2257246.97   | 0.09%             | 2034-01-25      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a              | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2067894 | PA      | $1955216.83   | 0.08%             | 2036-10-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2015-LC20                                  | CUSIP: 94989EAJ6<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $69622.70     | 0.00%             | 2050-04-15      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-SUN                                          | CUSIP: 61691MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $964799.80    | 0.04%             | 2035-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                | AGL Static CLO 18 Ltd                                                            | CUSIP: 00850BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1840000 | PA      | $1749062.42   | 0.07%             | 2031-04-21      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 6 Ltd                                                               | CUSIP: 37148JAG8<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |   4330000 | PA      | $4059699.32   | 0.17%             | 2035-01-22      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust               | MHC Trust 2021-MHC2                                                              | CUSIP: 55293AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4849445.50   | 0.20%             | 2038-05-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -22138834 | PA      | $-18757271.01 | -0.78%            | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $600123.46    | 0.02%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $730432.88    | 0.03%             | 2034-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mo              | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1379902 | PA      | $1433341.23   | 0.06%             | 2040-12-28      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | GoldentTree Loan Management US CLO 1 Ltd                                         | CUSIP: 38138HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $824802.10    | 0.03%             | 2033-01-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV              | Octagon Investment Partners XV Ltd                                               | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $340460.05    | 0.01%             | 2030-07-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXX LTD                                                     | CUSIP: 000000000<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $225773.25    | 0.01%             | 2029-04-15      | Floating      | 9.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2490508.20   | 0.10%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed              | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296010 | PA      | $965377.78    | 0.04%             | 2036-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XXIII Ltd                                                           | CUSIP: 87167NDE2<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1112696.76   | 0.05%             | 2034-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2015-200P                             | CUSIP: 05526QAN6<br>LEI: 549300UQK6PJ8BF5JQ90 | Long             | ABS-MBS          | CORP              | US        |   1294000 | PA      | $1051571.04   | 0.04%             | 2033-04-14      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO XII Ltd                                                                 | CUSIP: 87250FAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244784.00    | 0.01%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-D                                                  | CUSIP: 00970CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572883 | PA      | $533633.58    | 0.02%             | 2060-06-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6602000 | PA      | $6016229.63   | 0.25%             | 2038-11-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2021-2 Ltd                                            | CUSIP: 69702DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3560000 | PA      | $3428141.52   | 0.14%             | 2029-05-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital Clo 3 Ltd                                                       | CUSIP: 25255JAA5<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |    470000 | PA      | $455180.01    | 0.02%             | 2037-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1198500 | PA      | $860403.15    | 0.04%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Legacy Mortgage Asset Trust                 | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610557 | PA      | $464286.71    | 0.02%             | 2059-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi              | CWABS Asset-Backed Certificates Trust 2006-11                                    | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194015 | PA      | $176979.11    | 0.01%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $478532.58    | 0.02%             | 2029-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                      | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22000000 | PA      | $58073.40     | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622015 | PA      | $584694.01    | 0.02%             | 2033-02-15      | Floating      | 6.47%                 | No            |                  3 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXVII Ltd                                                  | CUSIP: 55817EAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2097893.45   | 0.09%             | 2033-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Private Credit Student Loan Trust 2005-A                                     | CUSIP: 78443CBV5<br>LEI: 549300ZTEFT8CS12SF95 | Long             | ABS-O            | CORP              | US        |   1395368 | PA      | $1329244.17   | 0.06%             | 2038-12-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2020-PJ2                                | CUSIP: 36262DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1065392 | PA      | $805196.50    | 0.03%             | 2050-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2021-4 LLC                                                                  | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3610169 | PA      | $3232671.64   | 0.13%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXIX Ltd                                                        | CUSIP: 09630KAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $401033.47    | 0.02%             | 2034-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    698000 | PA      | $538869.12    | 0.02%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9149113 | PA      | $4095883.95   | 0.17%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YAS1<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $960865.40    | 0.04%             | 2035-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2019-V Ltd                                                          | CUSIP: 12554XAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243344.33    | 0.01%             | 2035-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3535000 | PA      | $3355672.28   | 0.14%             | 2048-10-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $475698.70    | 0.02%             | 2034-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322000 | PA      | $259821.80    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                              | CUSIP: 054966AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  95950000 | PA      | $431.78       | 0.00%             | 2019-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16466712 | PA      | $14077112.15  | 0.58%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                           | Elmwood CLO X Ltd                                                                | CUSIP: 29002VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6300000 | PA      | $5929682.22   | 0.25%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                              | Pikes Peak CLO 1                                                                 | CUSIP: 721327AA2<br>LEI: 549300IOF5UIE4PES702 | Long             | ABS-CBDO         | CORP              | KY        |    764000 | PA      | $754722.14    | 0.03%             | 2031-07-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3823261.00   | 0.16%             | 2052-11-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1141727 | PA      | $569615.45    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282635 | PA      | $1088609.38   | 0.05%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitization              | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2157317 | PA      | $466183.06    | 0.02%             | 2032-05-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIV2                                           | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2204000 | PA      | $1722588.21   | 0.07%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12500000 | PA      | $109325.00    | 0.00%             | 2035-08-10      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2021-1 Ltd                                                    | CUSIP: 77341KAA9<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3407902.75   | 0.14%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-HSDB                                  | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181000 | PA      | $1164845.46   | 0.05%             | 2031-12-13      | Floating      | 5.37%                 | 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        |   6059000 | PA      | $6057108.38   | 0.25%             | 2039-10-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-IND                                                                | CUSIP: 05609WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4442005 | PA      | $4173339.46   | 0.17%             | 2037-04-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY                            | INTOWN 2022-STAY Mortgage Trust                                                  | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3483000 | PA      | $3460097.88   | 0.14%             | 2039-08-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance               | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-2                   | CUSIP: 52521VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625408 | PA      | $613524.21    | 0.03%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 43 Senior Loan Fund                                                       | CUSIP: 26245CBE2<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $1575334.66   | 0.07%             | 2034-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2015-C                                          | CUSIP: 78448RAE6<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |   2365000 | PA      | $2223674.22   | 0.09%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities               | GoldenTree Loan Opportunities IX Ltd                                             | CUSIP: 38123HAS3<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244224.18    | 0.01%             | 2029-10-29      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6693263 | PA      | $5994595.70   | 0.25%             | 2036-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust              | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2744988 | PA      | $2292673.77   | 0.09%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities I Trust 2006-HE7                            | CUSIP: 07388HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138232 | PA      | $131765.63    | 0.01%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4957717 | PA      | $4576598.71   | 0.19%             | 2038-06-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20849384 | PA      | $508364.27    | 0.02%             | 2052-02-25      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498000 | PA      | $341671.05    | 0.01%             | 2039-05-10      | Variable      | 3.95%                 | No            |                  3 | On Loan: No      |
| Burnham Park CLO Ltd.                       | Burnham Park Clo Ltd                                                             | CUSIP: 12232KAQ3<br>LEI: 549300BOEG5O4MSO7220 | Long             | ABS-CBDO         | CORP              | KY        |   3488541 | PA      | $3455751.96   | 0.14%             | 2029-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                   | GSMPS Mortgage Loan Trust 2006-RP2                                               | CUSIP: 36298XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405160 | PA      | $2013392.53   | 0.08%             | 2036-04-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1586678 | PA      | $1417741.61   | 0.06%             | 2049-07-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2020-K105 Mortgage Trust                                                   | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2905000 | PA      | $2470605.18   | 0.10%             | 2053-03-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXIII Ltd                                                       | CUSIP: 09629LAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $895172.94    | 0.04%             | 2031-10-20      | Floating      | 6.39%                 | 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        |   2893404 | PA      | $2677855.55   | 0.11%             | 2049-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2022-SFR5 Trust                                             | CUSIP: 74332YAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2180000 | PA      | $1980875.97   | 0.08%             | 2039-06-17      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2184000 | PA      | $1538815.82   | 0.06%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2021-22 Ltd                                                              | CUSIP: 67117TAA3<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $1943896.50   | 0.08%             | 2034-12-02      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                           | Trimaran Cavu 2021-2 Ltd                                                         | CUSIP: 89624UAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $271945.65    | 0.01%             | 2034-10-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2022-AFC1 Trust                                                            | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536150 | PA      | $502027.35    | 0.02%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-A                                                  | CUSIP: 00969WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998862 | PA      | $965266.12    | 0.04%             | 2059-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo              | EDvestinU Private Education Loan Issue No 3 LLC                                  | CUSIP: 28166LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $929742.12    | 0.04%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-1                                      | CUSIP: 24380VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1266380.73   | 0.05%             | 2065-05-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $4516439.95   | 0.19%             | 2038-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust              | CAMB Commercial Mortgage Trust 2019-LIFE                                         | CUSIP: 12482HAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2269000 | PA      | $2172118.01   | 0.09%             | 2037-12-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-D                                                  | CUSIP: 00970CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $320611.83    | 0.01%             | 2060-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-INV                                     | CUSIP: 85573EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $216276.19    | 0.01%             | 2055-11-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6275340 | PA      | $5487170.28   | 0.23%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO I-2 LTD                                                                 | CUSIP: 87248VAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $481298.70    | 0.02%             | 2028-04-26      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                              | CUSIP: 054966AN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  56050000 | PA      | $72.87        | 0.00%             | 2019-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities I Trust 2006-AC1                            | CUSIP: 07387UCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156746 | PA      | $101130.80    | 0.00%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 15 Ltd                          | Elmwood CLO 15 Ltd                                                               | CUSIP: 29003JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |  10590000 | PA      | $10324045.92  | 0.43%             | 2035-04-22      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2017-1 Ltd                                                    | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1441216.35   | 0.06%             | 2034-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Keycorp Student Loan Trust                  | KeyCorp Student Loan Trust 2004-A                                                | CUSIP: 493268CB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3190000 | PA      | $2952147.86   | 0.12%             | 2042-07-28      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                     | Regatta VII Funding Ltd                                                          | CUSIP: 75888ABJ4<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239151.05    | 0.01%             | 2034-06-20      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2021-NPL6 LLC                                                               | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11892581 | PA      | $10987112.21  | 0.45%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-JR1 Trust                                                              | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5780624 | PA      | $5497370.13   | 0.23%             | 2066-09-27      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4190029.50   | 0.17%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1206158.13   | 0.05%             | 2030-10-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                         | LCM XX LP                                                                        | CUSIP: 50188WAF5<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $631607.94    | 0.03%             | 2027-10-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309110 | PA      | $302727.51    | 0.01%             | 2037-04-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2020-1                                        | CUSIP: 75907QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    720000 | PA      | $669200.69    | 0.03%             | 2030-10-15      | Fixed         | 2.34%                 | 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        |   3170000 | PA      | $3133787.51   | 0.13%             | 2039-08-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086933 | PA      | $986467.49    | 0.04%             | 2052-08-25      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                         | MidOcean Credit CLO III                                                          | CUSIP: 59802UAX7<br>LEI: 549300XSCUX0ONI5KZ96 | Long             | ABS-CBDO         | CORP              | KY        |   1229776 | PA      | $1206525.42   | 0.05%             | 2031-04-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2015-1 Ltd                                                     | CUSIP: 69689ABJ8<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $645249.07    | 0.03%             | 2034-05-21      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-DM                                        | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2421000 | PA      | $2338838.77   | 0.10%             | 2036-11-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac Structured Agency Credit Risk Debt Notes                             | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   3248574 | PA      | $3000317.97   | 0.12%             | 2033-08-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2410085 | PA      | $2406393.70   | 0.10%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T              | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7956 | PA      | $7983.20      | 0.00%             | 2033-12-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2022-FL10 LLC                                   | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5717870 | PA      | $5687646.24   | 0.24%             | 2039-10-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                     | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2147134 | PA      | $1648812.69   | 0.07%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                              | ICG US CLO 2014-3 Ltd                                                            | CUSIP: 44929FBA9<br>LEI: 635400HSQQQ24A9NAK80 | Long             | ABS-CBDO         | CORP              | KY        |    249390 | PA      | $246373.82    | 0.01%             | 2031-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                   | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1099360 | PA      | $752841.93    | 0.03%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| AMSR Trust                                  | AMSR 2020-SFR4 Trust                                                             | CUSIP: 66981FAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2537419 | PA      | $2259533.05   | 0.09%             | 2037-11-17      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO IX Ltd                                                                  | CUSIP: 87249AAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244207.00    | 0.01%             | 2031-01-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 1 LTD                                                            | CUSIP: 82666TAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4865316.00   | 0.20%             | 2034-04-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta              | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    849000 | PA      | $820692.22    | 0.03%             | 2039-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO XV Ltd                                                                  | CUSIP: 87250RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $739485.90    | 0.03%             | 2033-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-FL7 Ltd                                                                 | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    517000 | PA      | $494695.64    | 0.02%             | 2036-10-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XV                                                                    | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $985354.10    | 0.04%             | 2031-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3869458.50   | 0.16%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 2 Ltd                                                               | CUSIP: 98625RAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $851428.70    | 0.04%             | 2031-01-22      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities I Trust 2005-HE8                            | CUSIP: 073879J82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4155100 | PA      | $4030273.59   | 0.17%             | 2035-08-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Private Credit Student Loan Trust 2005-B                                     | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |   1025090 | PA      | $972043.81    | 0.04%             | 2039-06-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2019-2                                                    | CUSIP: 52604AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2836137 | PA      | $2752382.27   | 0.11%             | 2028-04-20      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15019 | PA      | $13501.74     | 0.00%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                         | ASSURANT CLO LTD                                                                 | CUSIP: 04623TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $488899.70    | 0.02%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 45 Ltd                                        | CUSIP: 64134MAA4<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4870829.50   | 0.20%             | 2035-10-14      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities               | Thornburg Mortgage Securities Trust 2006-3                                       | CUSIP: 885221AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036064 | PA      | $698546.12    | 0.03%             | 2046-06-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711882 | PA      | $478506.72    | 0.02%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | CDS CMBX.NA.AAA.6.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-0.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,               | Citicorp Mortgage Securities Trust Series 2007-9                                 | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1973366 | PA      | $1623568.81   | 0.07%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIV3                                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3576000 | PA      | $2877901.50   | 0.12%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                   | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3308548 | PA      | $3004695.96   | 0.12%             | 2035-09-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2018-TAN                                         | CUSIP: 12528DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1011040.38   | 0.04%             | 2033-02-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   2501454 | PA      | $2468935.08   | 0.10%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1175000 | PA      | $1055327.78   | 0.04%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4578835 | PA      | $3724700.31   | 0.15%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deer Creek CLO, Ltd.                        | Deer Creek Clo Ltd 2017-1                                                        | CUSIP: 24380LAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $729357.23    | 0.03%             | 2030-10-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $767170.85    | 0.03%             | 2036-11-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                       | KKR CLO 23 Ltd                                                                   | CUSIP: 48252XAA9<br>LEI: 549300ULSPVDFXMNXZ65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $416459.55    | 0.02%             | 2031-10-20      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C46                                   | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3740000 | PA      | $3532548.18   | 0.15%             | 2051-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                      | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43561 | PA      | $37638.46     | 0.00%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBE2<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $935600.70    | 0.04%             | 2034-10-27      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | ARES L CLO Ltd                                                                   | CUSIP: 04018LAL9<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $965664.80    | 0.04%             | 2032-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                              | Galaxy XIX CLO Ltd                                                               | CUSIP: 36319QBN1<br>LEI: 5493000B2531UL3WQV87 | Long             | ABS-CBDO         | CORP              | KY        |    498619 | PA      | $490965.60    | 0.02%             | 2030-07-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| KNDL Mortgage Trust                         | KNDL 2019-KNSQ Mortgage Trust                                                    | CUSIP: 482598AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $841519.06    | 0.03%             | 2036-05-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 26 Ltd                                        | CUSIP: 64131QAJ9<br>LEI: 549300P0MOXZPIM3AS61 | Long             | ABS-CBDO         | CORP              | KY        |   4050000 | PA      | $3982923.90   | 0.16%             | 2030-10-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Lt              | Octagon Investment Partners 18-R Ltd                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2958695.40   | 0.12%             | 2031-04-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    985000 | PA      | $943597.50    | 0.04%             | 2036-04-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XXVI                                                                  | CUSIP: 03766GAS1<br>LEI: 549300RV409NJP65MP20 | Long             | ABS-CBDO         | CORP              | KY        |   2830000 | PA      | $2689916.13   | 0.11%             | 2029-07-18      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2019-5                                                  | CUSIP: 03464KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $326971.40    | 0.01%             | 2049-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden XXVIII Senior Loan Fund                                                   | CUSIP: 26251BAL0<br>LEI: 549300K4FV16ICO2FF98 | Long             | ABS-CBDO         | CORP              | KY        |   1241588 | PA      | $1231632.51   | 0.05%             | 2030-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    901673 | PA      | $702261.18    | 0.03%             | 2052-02-26      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1424566 | PA      | $1346310.42   | 0.06%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                              | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05533YBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318158 | PA      | $300323.68    | 0.01%             | 2036-05-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2017-GS6                                            | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1848040.80   | 0.08%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                            | TRESTLES CLO V LTD                                                               | CUSIP: 89532VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $863260.90    | 0.04%             | 2034-10-20      | Floating      | 10.59%                | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                      | Conseco Finance Corp                                                             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47406 | PA      | $44763.28     | 0.00%             | 2028-11-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124000 | PA      | $98903.79     | 0.00%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2021-FL3                                                               | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2205000 | PA      | $2091881.07   | 0.09%             | 2036-11-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp                                                 | CUSIP: 86359DRU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116421 | PA      | $1920311.56   | 0.08%             | 2035-07-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares LVI CLO Ltd                                                                 | CUSIP: 04018PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $223062.05    | 0.01%             | 2034-10-25      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                              | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295892 | PA      | $1200375.24   | 0.05%             | 2036-07-26      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 29              | Octagon Investment Partners 29 Ltd                                               | CUSIP: 67591JAL6<br>LEI: 5493003U22XL00FIHD56 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244086.30    | 0.01%             | 2033-01-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                         | ASSURANT CLO I LTD                                                               | CUSIP: 33836JAG4<br>LEI: 635400A6LSLGJQHVOZ36 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $228593.10    | 0.01%             | 2034-10-20      | Floating      | 6.39%                 | 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        |   3720000 | PA      | $3625390.73   | 0.15%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                      | Lendmark Funding Trust 2021-2                                                    | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1610000 | PA      | $1220548.89   | 0.05%             | 2032-04-20      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FNAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12845000 | PA      | $628283.63    | 0.03%             | 2029-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares XLVIII CLO Ltd                                                              | CUSIP: 04017FAE9<br>LEI: 5493005WFBSWHJ1WGQ35 | Long             | ABS-CBDO         | CORP              | KY        |    680000 | PA      | $656595.69    | 0.03%             | 2030-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2990000 | PA      | $2671378.13   | 0.11%             | 2036-10-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                        | Elmwood CLO XII Ltd                                                              | CUSIP: 29002YAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $935499.07    | 0.04%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Austin Fairmont Hotel Trust                 | Austin Fairmont Hotel Trust 2019-FAIR                                            | CUSIP: 05223HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1955916.20   | 0.08%             | 2032-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                           | Wellfleet CLO 2017-3 Ltd                                                         | CUSIP: 94950HAA3<br>LEI: 254900TEETF3L54VTH19 | Long             | ABS-CBDO         | CORP              | KY        |   1525000 | PA      | $1495693.01   | 0.06%             | 2031-01-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1270000 | PA      | $1157117.07   | 0.05%             | 2038-11-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO Ltd                                                              | CUSIP: 09075JAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $950952.50    | 0.04%             | 2031-06-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| WESTERN ALLIANCE CLN                        | WESTERN ALLIANCE CLN                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8540000 | PA      | $8534360.53   | 0.35%             | 2024-12-28      | Floating      | 10.22%                | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 49 Senior Loan Fund                                                       | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    994262 | PA      | $983162.42    | 0.04%             | 2030-07-18      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition               | Bayview Financial Mortgage Pass-Through Trust 2006-A                             | CUSIP: 07325NDD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5459000 | PA      | $5257312.88   | 0.22%             | 2041-02-28      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XXII Ltd                                                            | CUSIP: 87167GAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239613.80    | 0.01%             | 2033-04-18      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL1                   | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1248648.32   | 0.05%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1522000 | PA      | $1214455.70   | 0.05%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| York CLO Ltd                                | York CLO 1 Ltd                                                                   | CUSIP: 986255AY3<br>LEI: 549300EJZ6JIZVXIHF06 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241100.00    | 0.01%             | 2029-10-22      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 4-R Ltd                                                    | CUSIP: 03328LAE2<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1401291.90   | 0.06%             | 2031-01-28      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2021-1 LTD                                                        | CUSIP: 14316MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243137.78    | 0.01%             | 2034-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-NWPT                                                                   | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3659000 | PA      | $3588378.74   | 0.15%             | 2024-09-09      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2005-A4                                                 | CUSIP: 466247RX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350096 | PA      | $312446.37    | 0.01%             | 2035-07-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                   | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56087 | PA      | $52689.28     | 0.00%             | 2035-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T              | CWHEQ Revolving Home Equity Loan Resuritization Trust Series 2006-RES            | CUSIP: 23242YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2457 | PA      | $2384.49      | 0.00%             | 2035-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2022-A                                                  | CUSIP: 054977AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $795861.01    | 0.03%             | 2035-02-20      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                             | Atrium XIII                                                                      | CUSIP: 04966HAG1<br>LEI: 549300BF3YFW8EHN6F75 | Long             | ABS-CBDO         | CORP              | KY        |   1610000 | PA      | $1516402.97   | 0.06%             | 2030-11-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                            | Flatiron CLO 18 Ltd                                                              | CUSIP: 33883GAA5<br>LEI: 5493008L4GGS612L9S27 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1233326.38   | 0.05%             | 2031-04-17      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo II Ltd                                                              | CUSIP: 96466EAE4<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $448078.35    | 0.02%             | 2034-10-24      | Floating      | 11.42%                | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723000 | PA      | $462516.69    | 0.02%             | 2045-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2020-5                                                  | CUSIP: 46653JCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3789515 | PA      | $2870302.90   | 0.12%             | 2050-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H              | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914000 | PA      | $770151.66    | 0.03%             | 2035-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-3                                       | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2820000 | PA      | $2083170.94   | 0.09%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| TTAN                                        | TTAN 2021-MHC                                                                    | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1973660 | PA      | $1911722.60   | 0.08%             | 2038-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2018-2                                                   | CUSIP: 05682VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $989240.00    | 0.04%             | 2031-07-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                     | Loanpal Solar Loan 2021-1 Ltd                                                    | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2743942 | PA      | $2086814.55   | 0.09%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2022-SFR2 Trust                                                   | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2681000 | PA      | $2241327.26   | 0.09%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates              | WaMu Asset-Backed Certificates WaMu Series 2007-HE3 Trust                        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111962 | PA      | $91372.06     | 0.00%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Cook Park CLO, Ltd                          | Cook Park CLO Ltd                                                                | CUSIP: 21623PAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239477.43    | 0.01%             | 2030-04-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3290000 | PA      | $2747598.76   | 0.11%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC      | CDS CMBX.NA.9.BBB-                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $9964.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788800 | PA      | $1270048.00   | 0.05%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C17                                                    | CUSIP: 054976AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $484494.08    | 0.02%             | 2055-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15032FAA4<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $345688.14    | 0.01%             | 2031-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se              | Natixis Commercial Mortgage Securities Trust 2018-285M                           | CUSIP: 63874JAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $326123.12    | 0.01%             | 2033-02-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak SB Commercial Mortgage Trust 2020-SBC1                                 | CUSIP: 03465BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7698842 | PA      | $7327786.58   | 0.30%             | 2050-05-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                 | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2679478.20   | 0.11%             | 2047-02-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |   3915586 | PA      | $3425333.86   | 0.14%             | 2037-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a              | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 14983AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5669548 | PA      | $355341.76    | 0.01%             | 2036-09-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| OZLM Funding Ltd                            | OZLM Funding IV Ltd                                                              | CUSIP: 67108FAN6<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |    833992 | PA      | $821949.59    | 0.03%             | 2030-10-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Silver Creek CLO                            | Silver Creek CLO Ltd                                                             | CUSIP: 827551AL6<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |   1185340 | PA      | $1170986.94   | 0.05%             | 2030-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                              | CarVal CLO VC Ltd                                                                | CUSIP: 14687LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1105444.13   | 0.05%             | 2034-10-15      | Floating      | 10.83%                | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2017-P7                                      | CUSIP: 17325HBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5622144.00   | 0.23%             | 2050-04-14      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO XII Ltd                                                            | CUSIP: 07133RAS4<br>LEI: 549300JIE0P78OIZGS60 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $237165.30    | 0.01%             | 2031-05-17      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd              | Highbridge Loan Management 7-2015 Ltd                                            | CUSIP: 40437RAD1<br>LEI: 254900IU43NDZ7HEB142 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245416.38    | 0.01%             | 2027-03-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2022-AGSS                                      | CUSIP: 36265XAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282000 | PA      | $1258621.06   | 0.05%             | 2039-08-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $814848.23    | 0.03%             | 2039-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XIII Ltd                                                    | CUSIP: 55818MBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $587697.18    | 0.02%             | 2030-04-19      | Floating      | 5.73%                 | 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        |    700000 | PA      | $600117.70    | 0.02%             | 2036-03-20      | Fixed         | 1.86%                 | 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        |   1529680 | PA      | $1511129.47   | 0.06%             | 2034-09-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| ARM Master Trust                            | Arm Master Trust LLC Series 2021-T1 Agricultural Loan Backed Notes               | CUSIP: 04206RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    138000 | PA      | $127127.86    | 0.01%             | 2027-11-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                            | Ocean Trails CLO V                                                               | CUSIP: 67515EAT3<br>LEI: 549300RX29DPTX81VW10 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $470974.15    | 0.02%             | 2031-10-13      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 45 Senior Loan Fund                                                       | CUSIP: 26244MAQ5<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |   7240000 | PA      | $6957097.00   | 0.29%             | 2030-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-SDMF                                                               | CUSIP: 12434CAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3980000 | PA      | $3705494.23   | 0.15%             | 2034-09-15      | Floating      | 5.91%                 | 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        |    276855 | PA      | $269554.15    | 0.01%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477900 | PA      | $391454.15    | 0.02%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                        | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAA0<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239799.68    | 0.01%             | 2036-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-GPA                                                                | CUSIP: 05608UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1185057.60   | 0.05%             | 2039-10-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                   | BPR Trust 2022-SSP                                                               | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $761327.03    | 0.03%             | 2039-05-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2063919 | PA      | $2016445.28   | 0.08%             | 2061-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2021-3                                      | CUSIP: 24381VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3670731 | PA      | $2064766.37   | 0.09%             | 2066-08-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loa              | Harvest Commercial Capital Loan Trust 2020-1                                     | CUSIP: 41754FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669000 | PA      | $591429.05    | 0.02%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                      | Service Experts Issuer 2021-1 LLC                                                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2944820 | PA      | $2674476.82   | 0.11%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                  | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $36657.20     | 0.00%             | 2049-08-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1784431 | PA      | $1498444.71   | 0.06%             | 2049-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAA7<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247454.53    | 0.01%             | 2030-11-16      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247130.30    | 0.01%             | 2031-01-26      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2017-1 Ltd                                               | CUSIP: 05682QAQ9<br>LEI: 549300GUKNMHLHIJO049 | Long             | ABS-CBDO         | CORP              | KY        |   1230007 | PA      | $1215712.55   | 0.05%             | 2030-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM VI Ltd                                                                      | CUSIP: 67108LAY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2570000 | PA      | $2448928.33   | 0.10%             | 2031-04-17      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                    | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3655400 | PA      | $3335282.00   | 0.14%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Kapitus Asset Securitization L              | Kapitus Asset Securitization LLC                                                 | CUSIP: 48555HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3913000 | PA      | $3629163.11   | 0.15%             | 2028-07-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                 | CHNGE Mortgage Trust 2022-1                                                      | CUSIP: 17030JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2739466 | PA      | $2428414.02   | 0.10%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2020-4                                                | CUSIP: 92538LAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2006853.68   | 0.08%             | 2065-05-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | Bankers Healthcare Group Securitization Trust 2020-A                             | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1940000 | PA      | $1775588.49   | 0.07%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust              | CAMB Commercial Mortgage Trust 2019-LIFE                                         | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $964831.20    | 0.04%             | 2037-12-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM VIII Ltd                                                                    | CUSIP: 67107FBQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1672613.78   | 0.07%             | 2029-10-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2, Ltd.                          | Betony CLO 2 Ltd                                                                 | CUSIP: 08763QAA0<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246096.63    | 0.01%             | 2031-04-30      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LendingPoint Pass-Through Trus              | LendingPoint Pass-Through Trust Series 2022-ST2                                  | CUSIP: 52607QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3742937 | PA      | $3576241.84   | 0.15%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAQ9<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $940824.90    | 0.04%             | 2036-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-K74 Mortgage Trust                                                    | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1975035.80   | 0.08%             | 2051-02-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XVIII Ltd                                                   | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3460000 | PA      | $3411836.11   | 0.14%             | 2030-10-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 5-R Ltd                                                    | CUSIP: 03329AAE5<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |   2070000 | PA      | $2036213.05   | 0.08%             | 2030-01-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAM8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241713.53    | 0.01%             | 2030-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 37              | Octagon Investment Partners 37 Ltd                                               | CUSIP: 67591VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $625434.29    | 0.03%             | 2030-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE               | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1891516 | PA      | $1823952.92   | 0.08%             | 2028-08-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1767222.00   | 0.07%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2020-5                                                | CUSIP: 92538CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263500 | PA      | $209374.04    | 0.01%             | 2065-05-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XX                                                                    | CUSIP: 03765LAP7<br>LEI: 5493008YDOADR1DMZM86 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $353112.91    | 0.01%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2020-2                                                   | CUSIP: 61946PAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1557687 | PA      | $1322142.53   | 0.05%             | 2046-08-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO II-S Ltd                                                             | CUSIP: 01751EAC2<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |   1511528 | PA      | $1493456.31   | 0.06%             | 2028-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172137 | PA      | $88421.61     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding               | Bear Stearns Mortgage Funding Trust 2007-AR2                                     | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193988 | PA      | $175292.65    | 0.01%             | 2037-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $438763.50    | 0.02%             | 2031-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $198459.63    | 0.01%             | 2036-04-15      | Floating      | 9.22%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 9 Ltd                                                                    | CUSIP: 48661QAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $480237.75    | 0.02%             | 2034-01-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 15 Ltd                                                                   | CUSIP: 750100AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $3844663.65   | 0.16%             | 2034-01-20      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                      | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931619 | PA      | $836291.99    | 0.03%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bristol Park CLO, Ltd.                      | Bristol Park CLO LTD                                                             | CUSIP: 11014PAL9<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $338238.81    | 0.01%             | 2029-04-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC               | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB3                    | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17350 | PA      | $14176.01     | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR1 Trust | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1261970 | PA      | $1020562.67   | 0.04%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust              | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32910 | PA      | $31439.88     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-2                 | CHNGE Mortgage Trust 2022-2                                                      | CUSIP: 12546YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8916667 | PA      | $8284869.87   | 0.34%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                            | RCO VI Mortgage LLC 2022-1                                                       | CUSIP: 74934VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16070448 | PA      | $15077203.10  | 0.62%             | 2027-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                           | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $827471.51    | 0.03%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3160164 | PA      | $1546339.27   | 0.06%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134623 | PA      | $889719.40    | 0.04%             | 2048-10-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card               | Mercury Financial Credit Card Master Trust                                       | CUSIP: 58940BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10537000 | PA      | $10017719.78  | 0.41%             | 2026-09-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                             | Allegro CLO VI Ltd                                                               | CUSIP: 01749BAA7<br>LEI: 635400AREEXNEGDZE419 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $981128.80    | 0.04%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2006-4                                            | CUSIP: 07325BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418315 | PA      | $1304351.77   | 0.05%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-B                                                  | CUSIP: 00971BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375600 | PA      | $305663.28    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  3 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18355223 | PA      | $1237733.08   | 0.05%             | 2054-02-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding 2014-R2 Trust                                            | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313885 | PA      | $80031.25     | 0.00%             | 2036-11-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | Goldentree Loan Management US Clo 10 Ltd                                         | CUSIP: 38138TAC5<br>LEI: 5493007PBV0WMI12LF68 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243719.80    | 0.01%             | 2034-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-CIP                                            | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326000 | PA      | $314554.34    | 0.01%             | 2038-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housin              | Lehman ABS Manufactured Housing Contract Trust 2002-A                            | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560203 | PA      | $500651.57    | 0.02%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1787213.80   | 0.07%             | 2038-03-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding               | Bear Stearns Mortgage Funding Trust 2007-AR4                                     | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17368 | PA      | $15598.05     | 0.00%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                         | ASSURANT CLO I LTD                                                               | CUSIP: 33836JAE9<br>LEI: 635400A6LSLGJQHVOZ36 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1320144.70   | 0.05%             | 2034-10-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2020-1 Ltd                                                    | CUSIP: 77341EAC9<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |   1570000 | PA      | $1520901.70   | 0.06%             | 2032-01-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | CDS CMBX.NA.9.A                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-261873.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                   | GSMPS Mortgage Loan Trust 2004-4                                                 | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3309689 | PA      | $2844105.02   | 0.12%             | 2034-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK22                                                                  | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38697282 | PA      | $1238808.35   | 0.05%             | 2062-11-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| ALM Loan Funding                            | ALM 2020 Ltd                                                                     | CUSIP: 00166FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $331579.47    | 0.01%             | 2029-10-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2020-2 Mortgage Loan Trust                                                  | CUSIP: 19688JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761000 | PA      | $661354.58    | 0.03%             | 2065-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2016-CD1 Mortgage Trust                                                       | CUSIP: 12514MBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4338502 | PA      | $3966737.31   | 0.16%             | 2049-08-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $718762.80    | 0.03%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 4 Ltd                                                         | CUSIP: 67098DAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $966827.20    | 0.04%             | 2036-10-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust 2019-B                                                | CUSIP: 63941LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1587997 | PA      | $1500154.80   | 0.06%             | 2059-12-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1464886.80   | 0.06%             | 2034-04-21      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2006-11CB                                                 | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010203 | PA      | $533315.62    | 0.02%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1273262 | PA      | $971053.57    | 0.04%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust              | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4972967 | PA      | $4443462.13   | 0.18%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Tr              | Nationstar Home Equity Loan Trust 2007-B                                         | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $341372.51    | 0.01%             | 2037-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Atrium CDO Corp                             | Madison Park Funding XLI Ltd                                                     | CUSIP: 04965CAJ7<br>LEI: 549300O252OCTN35RH57 | Long             | ABS-CBDO         | CORP              | KY        |    836488 | PA      | $825796.05    | 0.03%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8101696 | PA      | $7503496.36   | 0.31%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2018-I Ltd                                                          | CUSIP: 12551RAA6<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   3455000 | PA      | $3401488.61   | 0.14%             | 2031-04-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                            | TCI-Symphony CLO 2017-1 Ltd                                                      | CUSIP: 87232BAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $962554.40    | 0.04%             | 2030-07-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization              | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216959 | PA      | $202242.17    | 0.01%             | 2036-04-16      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust              | WMRK Commercial Mortgage Trust 2022-WMRK                                         | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3829000 | PA      | $3814586.88   | 0.16%             | 2027-11-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1828450 | PA      | $1697348.59   | 0.07%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 15 Ltd                          | Elmwood CLO 15 Ltd                                                               | CUSIP: 29003JAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1625000 | PA      | $1512718.03   | 0.06%             | 2035-04-22      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XIV Ltd                                                                     | CUSIP: 67110HBN7<br>LEI: 549300Y1XB6AVMQY8652 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1436992.05   | 0.06%             | 2034-07-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg              | DBJPM 2017-C6 Mortgage Trust                                                     | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11214000 | PA      | $392586.44    | 0.02%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR5 Trust                                             | CUSIP: 74333FAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808000 | PA      | $1490325.18   | 0.06%             | 2038-07-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 5-R Ltd                                                    | CUSIP: 03329AAG0<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3365155.15   | 0.14%             | 2030-01-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-VINO                                           | CUSIP: 05608KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5836000 | PA      | $5413676.69   | 0.22%             | 2038-05-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2021-3 Ltd                                                     | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $377676.16    | 0.02%             | 2035-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $783542.23    | 0.03%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAN6<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $483088.60    | 0.02%             | 2036-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2018-SFR1 Trust                                            | CUSIP: 89613TAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1870754.20   | 0.08%             | 2037-05-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32                      | CUSIP: 61691GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $992066.93    | 0.04%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBC8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1450756.65   | 0.06%             | 2031-01-28      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                            | SpringCastle America Funding LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1557763 | PA      | $1404756.76   | 0.06%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8450000 | PA      | $6712851.54   | 0.28%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2920000 | PA      | $2534173.98   | 0.10%             | 2039-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup COmmercial Mortgage Trust 2019-SMRT                                    | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1950040.00   | 0.08%             | 2036-01-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | Sofi Professional Loan Program 2019-B LLC                                        | CUSIP: 83404WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465512 | PA      | $437731.55    | 0.02%             | 2048-08-17      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33746769 | PA      | $909124.46    | 0.04%             | 2052-02-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | CARLYLE US CLO 2018-4 LTD                                                        | CUSIP: 14315RAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2430000 | PA      | $2301633.79   | 0.10%             | 2031-01-20      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QAY3<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    302885 | PA      | $299788.28    | 0.01%             | 2028-01-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                            | AccessLex Institute                                                              | CUSIP: 00432CDJ7<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |   3291492 | PA      | $3191225.58   | 0.13%             | 2036-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                      | CUSIP: 61690VBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $895863.80    | 0.04%             | 2048-10-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2019-B                                          | CUSIP: 83192CAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2935481 | PA      | $2744072.58   | 0.11%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1098000 | PA      | $881256.12    | 0.04%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO V-B Ltd                                              | CUSIP: 08181JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $986492.20    | 0.04%             | 2031-04-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAA3<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245857.83    | 0.01%             | 2031-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Logan CLO I Ltd                             | Logan CLO I Ltd                                                                  | CUSIP: 540543AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3911060.40   | 0.16%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2021-A                                                  | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178597 | PA      | $165882.60    | 0.01%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $139749.11    | 0.01%             | 2036-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15737487 | PA      | $743962.94    | 0.03%             | 2052-03-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust              | Goldman Home Improvement Trust 2022-GRN2 Issuer Trust                            | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2403920 | PA      | $2400845.33   | 0.10%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Carbone CLO, LTD                            | Carbone Clo Ltd                                                                  | CUSIP: 141312AA6<br>LEI: 5493005I53NEC017LN87 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246753.03    | 0.01%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO XXVIII Ltd                                                      | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243797.43    | 0.01%             | 2034-04-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIVA                                           | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2246932.20   | 0.09%             | 2044-03-11      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage T              | Ready Capital Mortgage Financing 2022-FL9 LLC                                    | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338196 | PA      | $1329744.72   | 0.06%             | 2037-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T              | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4224030 | PA      | $3581821.66   | 0.15%             | 2036-05-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST                  | APS Resecuritization Trust 2016-3                                                | CUSIP: 00214WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100378 | PA      | $100164.07    | 0.00%             | 2046-09-27      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                                | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1507000 | PA      | $954609.90    | 0.04%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 78 CLO Ltd                                                                | CUSIP: 26253LAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239149.78    | 0.01%             | 2033-04-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                         | Eaton Vance CLO 2014-1R Ltd                                                      | CUSIP: 27830TAC9<br>LEI: 549300FPTLP8I41O7F48 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240596.33    | 0.01%             | 2030-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-B                                          | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3064832 | PA      | $2735276.42   | 0.11%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-H                                 | CUSIP: 63942AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1880000 | PA      | $1493562.99   | 0.06%             | 2069-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| MED Trust                                   | Med Trust 2021-MDLN                                                              | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2023488.28   | 0.08%             | 2038-11-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor              | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                | CUSIP: 06427DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $437144.00    | 0.02%             | 2050-02-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-D                                 | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3299187 | PA      | $3004669.93   | 0.12%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254900 | PA      | $204401.40    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act              | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |   3055000 | PA      | $2992688.08   | 0.12%             | 2051-07-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt              | LSTAR Securities Investment Ltd 2019-3                                           | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2033676 | PA      | $2012277.19   | 0.08%             | 2024-04-01      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2015-MS1                                          | CUSIP: 61765DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1912501.80   | 0.08%             | 2048-05-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed              | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE3 Trust         | CUSIP: 93934MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7344216 | PA      | $6812871.03   | 0.28%             | 2036-08-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain Fuji US Clo III Ltd                                                 | CUSIP: 09628FAE9<br>LEI: 549300EY8WEC9D18YD37 | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $531802.37    | 0.02%             | 2030-01-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-GPA                                                                | CUSIP: 05608UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  65811000 | PA      | $416340.13    | 0.02%             | 2039-10-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $860967.30    | 0.04%             | 2052-10-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                    | Madison Park Funding XXXVIII Ltd                                                 | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1216453.13   | 0.05%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                              | CarVal CLO VC Ltd                                                                | CUSIP: 14687MAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $918974.60    | 0.04%             | 2034-10-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve              | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29484 | PA      | $18688.89     | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353000 | PA      | $285312.25    | 0.01%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec              | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3394000 | PA      | $2749676.93   | 0.11%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I               | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2013588 | PA      | $1312549.97   | 0.05%             | 2035-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2021-R1                                               | CUSIP: 92538BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2566669.63   | 0.11%             | 2063-10-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust              | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5833376 | PA      | $4768787.01   | 0.20%             | 2026-12-17      | None          | 3.80%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $394427.80    | 0.02%             | 2052-06-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| AIG CLO LTD                                 | AIG CLO 2018-1 LLC                                                               | CUSIP: 00141UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1740000 | PA      | $1705829.53   | 0.07%             | 2032-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $1904819.52   | 0.08%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAL2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $308761.41    | 0.01%             | 2034-10-24      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949874 | PA      | $1223500.68   | 0.05%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C39                                   | CUSIP: 95000XAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2463692.40   | 0.10%             | 2050-09-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | GoldentTree Loan Management US CLO 1 Ltd                                         | CUSIP: 38138RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1469206.73   | 0.06%             | 2034-10-20      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2020-A                                                  | CUSIP: 00969WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6578540 | PA      | $6423365.77   | 0.27%             | 2059-12-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                             | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $3051544.19   | 0.13%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B15 Mortgage Trust                                                | CUSIP: 08160KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4747000 | PA      | $4146899.93   | 0.17%             | 2072-12-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385477 | PA      | $2162053.42   | 0.09%             | 2051-11-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2844000 | PA      | $2800233.97   | 0.12%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2017-3 Ltd                                                    | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |   2924000 | PA      | $2883066.05   | 0.12%             | 2030-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance               | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1                   | CUSIP: 52521GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35994 | PA      | $35887.07     | 0.00%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-HY2                                               | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290315 | PA      | $1278201.79   | 0.05%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Bristol Park CLO, Ltd.                      | Bristol Park CLO LTD                                                             | CUSIP: 11014PAQ8<br>LEI: 549300XRS6MFERKEPO61 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $223522.73    | 0.01%             | 2029-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XXX                                                                   | CUSIP: 03768CAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $395071.60    | 0.02%             | 2031-10-18      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130TBA2<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |    525000 | PA      | $510947.12    | 0.02%             | 2034-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1111000 | PA      | $945192.58    | 0.04%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2022-A                                            | CUSIP: 56847QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4418000 | PA      | $4386754.58   | 0.18%             | 2037-10-20      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 2 Ltd                                                               | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1204968.75   | 0.05%             | 2031-01-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                  | Apidos CLO XII                                                                   | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |   1387000 | PA      | $1365900.26   | 0.06%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2019-SFR4 Trust                                             | CUSIP: 74331AAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2813308.80   | 0.12%             | 2036-10-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23                      | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $196899.87    | 0.01%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor              | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP1              | CUSIP: 65535VHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350121 | PA      | $325565.40    | 0.01%             | 2035-02-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                               | Ballyrock CLO 2018-1 Ltd                                                         | CUSIP: 05875HAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $239861.05    | 0.01%             | 2031-04-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2638587 | PA      | $2141213.87   | 0.09%             | 2046-12-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-4 Trust   | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100826 | PA      | $86869.08     | 0.00%             | 2036-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Merit                                       | MHP 2021-STOR                                                                    | CUSIP: 55293BAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917000 | PA      | $1803952.59   | 0.07%             | 2038-07-15      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2022-AGSS                                      | CUSIP: 36270DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3480000 | PA      | $3488119.19   | 0.14%             | 2027-11-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                           | Battalion CLO X Ltd                                                              | CUSIP: 07132JBC7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |   3230000 | PA      | $3146375.30   | 0.13%             | 2035-01-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-W10X                                                                    | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $505972.71    | 0.02%             | 2034-12-15      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921701 | PA      | $1047306.50   | 0.04%             | 2037-08-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage               | STAR 2021-1 Trust                                                                | CUSIP: 85573GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $437347.12    | 0.02%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus              | Residential Mortgage Loan Trust 2019-3                                           | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2385995.88   | 0.10%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo              | Structured Asset Investment Loan Trust 2004-10                                   | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163763 | PA      | $160520.91    | 0.01%             | 2034-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CALIBER HOME LOANS                          | CALIBER HOME LOANS                                                               | CUSIP: 000000000<br>LEI: 549300J7XKT2BI5WX213 | Long             | LON              | CORP              | US        |   4000000 | PA      | $3979999.99   | 0.16%             | 2025-07-24      | Floating      | 6.91%                 | No            |                  3 | On Loan: No      |
| Gulf Stream Meridian 1 Ltd.                 | Gulf Stream Meridian 1 Ltd                                                       | CUSIP: 402563AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240959.20    | 0.01%             | 2033-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust              | PKHL Commercial Mortgage Trust 2021-MF                                           | CUSIP: 69356GAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1967000 | PA      | $1759959.87   | 0.07%             | 2038-07-15      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-1                                            | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7057273 | PA      | $6393133.89   | 0.26%             | 2037-03-25      | Floating      | 4.79%                 | 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        |   6193000 | PA      | $6227405.83   | 0.26%             | 2032-11-17      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCY8<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |   1847725 | PA      | $1756537.56   | 0.07%             | 2039-12-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset               | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489774 | PA      | $208927.75    | 0.01%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1                | TVC Mortgage Trust 2020-RTL1                                                     | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79052 | PA      | $78784.05     | 0.00%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust               | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9877332 | PA      | $2736845.61   | 0.11%             | 2038-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 7 Ltd                                                                    | CUSIP: 48661CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245804.95    | 0.01%             | 2033-04-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 3 Ltd                                                               | CUSIP: 98625UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950009 | PA      | $941306.95    | 0.04%             | 2029-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIII Ltd.                 | Marble Point CLO XXIII Ltd                                                       | CUSIP: 56607TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $683424.60    | 0.03%             | 2035-01-22      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2019-GC44 Mortgage Trust                                                    | CUSIP: 12655TBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40534058 | PA      | $1163526.10   | 0.05%             | 2057-08-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2017-B                                          | CUSIP: 83189DAC4<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |   1383499 | PA      | $1365439.68   | 0.06%             | 2035-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 5 Ltd                  | Gulf Stream Meridian 5 Ltd                                                       | CUSIP: 40256LAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $627845.66    | 0.03%             | 2034-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                           | Jamestown CLO XV Ltd                                                             | CUSIP: 47050EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1705897.38   | 0.07%             | 2033-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2018-A                                          | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   2596334 | PA      | $2531305.48   | 0.10%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2528000 | PA      | $2394747.86   | 0.10%             | 2038-04-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2019-G                                                  | CUSIP: 00969VAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    567970 | PA      | $307518.77    | 0.01%             | 2059-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23898219 | PA      | $1924427.97   | 0.08%             | 2030-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-C LLC                                             | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3764000 | PA      | $2998329.00   | 0.12%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2018-1                                                   | CUSIP: 05683LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246626.28    | 0.01%             | 2031-04-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2394535.50   | 0.10%             | 2033-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                      | GSAA Home Equity Trust 2007-2                                                    | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24977 | PA      | $5093.67      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| GILBERT PARK CLO LTD                        | Gilbert Park CLO Ltd                                                             | CUSIP: 375415AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247536.28    | 0.01%             | 2030-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-86334.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                            | TRINITAS CLO IV LTD                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241997.50    | 0.01%             | 2031-10-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11034012 | PA      | $525674.68    | 0.02%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2019-COR6                             | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1968000 | PA      | $1693167.42   | 0.07%             | 2052-11-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                          | AGL Core CLO 4 LTD                                                               | CUSIP: 001199AG3<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |   4350000 | PA      | $4260661.88   | 0.18%             | 2033-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-22T1                                                 | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1132500 | PA      | $961571.24    | 0.04%             | 2035-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-FACT                                                                   | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1733400.00   | 0.07%             | 2037-10-15      | Floating      | 9.18%                 | No            |                  3 | On Loan: No      |
| Credit-Based Asset Servicing a              | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16479 | PA      | $12916.12     | 0.00%             | 2036-12-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2014-V Ltd                                                          | CUSIP: 12550AAT3<br>LEI: 549300Y56VCWZJQV2Z14 | Long             | ABS-CBDO         | CORP              | KY        |   5250000 | PA      | $5185303.73   | 0.21%             | 2031-10-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2021-BNK37                                                                  | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1069000 | PA      | $880078.09    | 0.04%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                          | Cold Storage Trust 2020-ICE5                                                     | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8238444 | PA      | $8010891.17   | 0.33%             | 2037-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 35 Ltd                                        | CUSIP: 64133CAJ8<br>LEI: 549300MYVO80EQUJK294 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240795.58    | 0.01%             | 2033-01-19      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23891146 | PA      | $1824827.21   | 0.08%             | 2053-09-15      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO XXIII Ltd                                                           | CUSIP: 87167NDG7<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1422806.55   | 0.06%             | 2034-01-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | CDS CMBX.NA.BBB-.10                                                              | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-172669.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SREIT Trust                                 | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2226000 | PA      | $2080872.81   | 0.09%             | 2036-11-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  66143730 | PA      | $920436.31    | 0.04%             | 2052-02-26      | Fixed         | 0.27%                 | 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        |   1946281 | PA      | $1884611.24   | 0.08%             | 2038-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633000 | PA      | $593661.65    | 0.02%             | 2038-11-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1696022 | PA      | $1615881.23   | 0.07%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                        | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    770000 | PA      | $758018.65    | 0.03%             | 2031-05-23      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.              | LoanCore 2022-CRE7 Issuer Ltd                                                    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13120000 | PA      | $12700383.04  | 0.53%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8341369 | PA      | $7093349.07   | 0.29%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares LIX CLO Ltd                                                                 | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242448.95    | 0.01%             | 2034-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    666502 | PA      | $422530.58    | 0.02%             | 2052-02-26      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| RMIT_21-3                                   | RMIT_21-3                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10210000 | PA      | $8714235.00   | 0.36%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| Dewolf Park clo, ltd                        | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $7893161.60   | 0.33%             | 2030-10-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2022-4                                    | CUSIP: 92259KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1086933 | PA      | $1013662.12   | 0.04%             | 2052-08-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-21M                                            | CUSIP: 05609CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2670866 | PA      | $2448166.59   | 0.10%             | 2036-10-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                            | CIFC Funding 2014-II-R Ltd                                                       | CUSIP: 12548RAB0<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |    248049 | PA      | $244655.98    | 0.01%             | 2030-04-24      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAU2<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $226654.68    | 0.01%             | 2034-10-24      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition               | Bayview Financial Revolving Asset Trust 2005-A                                   | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3926660 | PA      | $3656186.74   | 0.15%             | 2040-02-28      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340536 | PA      | $563851.14    | 0.02%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MP Clo VIII, LTD                            | MP CLO VIII Ltd                                                                  | CUSIP: 62481WAL1<br>LEI: 549300D60LKSR31DKI65 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $768910.08    | 0.03%             | 2034-04-28      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T              | Renaissance Home Equity Loan Trust 2005-3                                        | CUSIP: 75970NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945305 | PA      | $926892.53    | 0.04%             | 2035-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | Reperforming Loan REMIC Trust 2005-R3                                            | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501452 | PA      | $437601.92    | 0.02%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2022-C                                                  | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2662042 | PA      | $2640090.00   | 0.11%             | 2035-10-17      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1804943 | PA      | $1750835.77   | 0.07%             | 2062-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                              | ICG US CLO 2015-1 Ltd                                                            | CUSIP: 44931AAJ8<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-CBDO         | CORP              | KY        |    777646 | PA      | $767148.18    | 0.03%             | 2028-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Carlyle C17 CLO                             | Carlyle C17 CLO Ltd                                                              | CUSIP: 14307PAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2350000 | PA      | $2323928.16   | 0.10%             | 2031-04-30      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman CLO XX Ltd                                                      | CUSIP: 64130UAN2<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $651330.23    | 0.03%             | 2034-07-15      | Floating      | 10.58%                | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2770000 | PA      | $2140043.00   | 0.09%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 4-R Ltd                                                    | CUSIP: 03328LAG7<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $663376.73    | 0.03%             | 2031-01-28      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5452000 | PA      | $4673513.83   | 0.19%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr              | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15711 | PA      | $14860.50     | 0.00%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-EXP1 Trust                                                              | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |    249513 | PA      | $234259.90    | 0.01%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                              | Galaxy XX CLO Ltd                                                                | CUSIP: 36320MAL2<br>LEI: 549300S1CAKZT00VQL17 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2968356.30   | 0.12%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                  | AMSR 2020-SFR4 Trust                                                             | CUSIP: 66981FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3465061.60   | 0.14%             | 2037-11-17      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                      | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $923580.20    | 0.04%             | 2029-10-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $116074.34    | 0.00%             | 2058-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT              | Golub Capital Partners CLO 53B Ltd                                               | CUSIP: 38178CAA7<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $220800.10    | 0.01%             | 2034-07-20      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $340809.46    | 0.01%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                 | Stratus CLO 2021-1 Ltd                                                           | CUSIP: 863171AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1099769.50   | 0.05%             | 2029-12-29      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                | Ares LVI CLO Ltd                                                                 | CUSIP: 04018NAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2065483.58   | 0.09%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo              | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2653570 | PA      | $2104022.45   | 0.09%             | 2051-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Secur              | BHG Securitization Trust 2022-A                                                  | CUSIP: 054977AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8542000 | PA      | $7092565.25   | 0.29%             | 2035-02-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2072000 | PA      | $1763854.44   | 0.07%             | 2032-03-15      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2022-3                                          | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9442000 | PA      | $9400114.34   | 0.39%             | 2034-05-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                  | AMSR 2021-SFR1 Trust                                                             | CUSIP: 00179DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2872000 | PA      | $2228196.68   | 0.09%             | 2038-06-17      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410496 | PA      | $385866.61    | 0.02%             | 2033-02-15      | Floating      | 8.57%                 | No            |                  3 | On Loan: No      |
| BX Commercial Mortgage Trust 2              | BX Commercial Mortgage Trust 2019-XL                                             | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2468936.27   | 0.10%             | 2036-10-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VKNG                                           | CUSIP: 12433YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1299488.54   | 0.05%             | 2037-10-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                 | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566000 | PA      | $3518544.74   | 0.15%             | 2047-02-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                           | Riserva Clo Ltd                                                                  | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1067229.46   | 0.04%             | 2034-01-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                         | Sound Point CLO XXIII                                                            | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2240000 | PA      | $2160055.97   | 0.09%             | 2034-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2015-3 Ltd                                                              | CUSIP: 92913UAN6<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491750.15    | 0.02%             | 2031-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                        | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     57743 | PA      | $80839.64     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2017-DELC Mortgage Trust                                                   | CUSIP: 05552EAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1936000 | PA      | $1859465.47   | 0.08%             | 2036-08-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAQ4<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |    218750 | PA      | $217502.34    | 0.01%             | 2034-05-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Octagon 56 Ltd                              | Octagon 56 Ltd                                                                   | CUSIP: 67577EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $237971.00    | 0.01%             | 2034-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $4816.06      | 0.00%             | 2047-12-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C59                                   | CUSIP: 95003CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4063560.00   | 0.17%             | 2054-04-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-41363.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust                 | HIT Trust 2022-HI32                                                              | CUSIP: 40442AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $698786.90    | 0.03%             | 2024-07-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-GPA                                                                | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12240000 | PA      | $12163349.45  | 0.50%             | 2039-10-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9358412 | PA      | $8754306.18   | 0.36%             | 2051-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2022-A                                                  | CUSIP: 009695AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250500 | PA      | $932791.59    | 0.04%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru              | Soundview Home Loan Trust 2004-WMC1                                              | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99799 | PA      | $89581.20     | 0.00%             | 2035-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US               | Goldentree Loan Management US CLO 1 Ltd                                          | CUSIP: 38136FBG7<br>LEI: 549300BE2068MP2P8N06 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $243434.78    | 0.01%             | 2034-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-C                                 | CUSIP: 63941KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3584723 | PA      | $3547774.61   | 0.15%             | 2068-11-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Octagon Investments Partners 3              | Octagon Investment Partners 36 Ltd                                               | CUSIP: 67591UAC1<br>LEI: 549300S890TBOLY1D042 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246258.20    | 0.01%             | 2031-04-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Loan Revolving Advance Investm              | Loan Revolving Advance Investment Trust 2021-2                                   | CUSIP: 53958V102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2381782 | PA      | $2357657.57   | 0.10%             | 2023-06-30      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    881000 | PA      | $787319.66    | 0.03%             | 2048-07-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                | AGL CLO 12 Ltd                                                                   | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3895265.60   | 0.16%             | 2034-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3627235 | PA      | $3318920.13   | 0.14%             | 2061-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Regatta XVI Funding Ltd.                    | Regatta XVI Funding Ltd                                                          | CUSIP: 75888TAJ4<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $473777.65    | 0.02%             | 2033-01-15      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4680000 | PA      | $3612520.08   | 0.15%             | 2036-06-16      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu              | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52774 | PA      | $48318.95     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T              | CWABS Revolving Home Equity Loan Trust Series 2004-U                             | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12878 | PA      | $12328.14     | 0.00%             | 2034-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274366 | PA      | $161070.47    | 0.01%             | 2052-02-26      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                | Voya CLO 2018-3 Ltd                                                              | CUSIP: 92917KAA2<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246671.00    | 0.01%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd              | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702HAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $235547.30    | 0.01%             | 2029-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $108898.30    | 0.00%             | 2050-12-15      | Fixed         | 2.73%                 | 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        |   1900000 | PA      | $1873344.71   | 0.08%             | 2031-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                      | GSAA Home Equity Trust 2005-14                                                   | CUSIP: 362341B32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282517 | PA      | $123706.85    | 0.01%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T              | CWHEQ Revolving Home Equity Loan Trust Series 2006-C                             | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    746308 | PA      | $710808.55    | 0.03%             | 2036-05-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO II Ltd                    | Bridge Street CLO II Ltd                                                         | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $240127.05    | 0.01%             | 2034-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-LP2                                            | CUSIP: 05610HAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1558767 | PA      | $1429068.65   | 0.06%             | 2039-02-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Goldentree Loan Opportunities               | GoldenTree Loan Opportunities IX Ltd                                             | CUSIP: 38123GAG1<br>LEI: 549300IOBSI2NBFBJX90 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $676571.10    | 0.03%             | 2029-10-29      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| OZLM Funding Ltd                            | OZLM Funding IV Ltd                                                              | CUSIP: 67108FAQ9<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $486990.60    | 0.02%             | 2030-10-22      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS Rialto 2022-FL6 Issuer LLC                                                    | CUSIP: 30328DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6015000 | PA      | $5939725.88   | 0.25%             | 2037-08-17      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                  | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426053 | PA      | $2761602.17   | 0.11%             | 2037-04-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629563 | PA      | $268547.33    | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $954951.60    | 0.04%             | 2034-10-27      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                        | Steele Creek Clo 2017-1 Ltd                                                      | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245643.68    | 0.01%             | 2030-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF 2018-KW05 Trust                                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3375194.21   | 0.14%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAU6<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $305463.94    | 0.01%             | 2034-01-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                | Mastr Specialized Loan Trust                                                     | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14620 | PA      | $13758.76     | 0.00%             | 2046-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                          | Sesac Finance LLC                                                                | CUSIP: 78396YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2304585 | PA      | $2127429.25   | 0.09%             | 2049-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                  | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5368809 | PA      | $2635110.45   | 0.11%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1076403.57   | 0.04%             | 2032-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                  | MSCG Trust 2018-SELF                                                             | CUSIP: 55358PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4364651 | PA      | $4066313.45   | 0.17%             | 2037-10-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3716000 | PA      | $3371795.47   | 0.14%             | 2036-06-15      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| Clear Creek CLO Ltd                         | Clear Creek CLO                                                                  | CUSIP: 18452LAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247283.05    | 0.01%             | 2030-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12415937 | PA      | $10504624.12  | 0.43%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XV              | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBJ7<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $482692.10    | 0.02%             | 2031-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1132650 | PA      | $1025171.84   | 0.04%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo              | Arbor Realty Commercial Real Estate Notes 2022-FL2 Ltd                           | CUSIP: 03881JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5112000 | PA      | $4997353.69   | 0.21%             | 2037-05-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 4-R Ltd                                                    | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |   2497772 | PA      | $2469732.74   | 0.10%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                        | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4464000 | PA      | $3750302.82   | 0.16%             | 2038-08-17      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co              | Structured Asset Securities Corp Mortgage Loan Trust Series 2006-RF4             | CUSIP: 863911AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281060 | PA      | $723977.98    | 0.03%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2138000 | PA      | $2127231.54   | 0.09%             | 2037-09-17      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFRA Trust                                                                       | CUSIP: 552758AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7089353 | PA      | $6633357.85   | 0.27%             | 2056-09-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                           | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $985666.10    | 0.04%             | 2032-05-29      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                   | Regatta XXIV Funding Ltd                                                         | CUSIP: 75889TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1344661.20   | 0.06%             | 2035-01-20      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C39                                   | CUSIP: 95000XAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1756930.00   | 0.07%             | 2050-09-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust               | MTN Commercial Mortgage Trust 2022-LPFL                                          | CUSIP: 62475WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2413000 | PA      | $2260243.35   | 0.09%             | 2039-03-15      | Floating      | 9.62%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                   | ACRES Commercial Realty 2021-FL1 Ltd                                             | CUSIP: 00103CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1474000 | PA      | $1422495.05   | 0.06%             | 2036-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 4 Ltd                                                                    | CUSIP: 48661YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $455351.45    | 0.02%             | 2032-04-25      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advi              | Park Avenue Institutional Advisers CLO Ltd 2016-1                                | CUSIP: 700162AJ9<br>LEI: 549300SPM0J0RQRUOB94 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $342565.76    | 0.01%             | 2031-08-23      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                        | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $470362.65    | 0.02%             | 2030-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-NQM1                                                                   | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5274307 | PA      | $4525080.72   | 0.19%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                       | Palmer Square CLO 2020-3 Ltd                                                     | CUSIP: 69701RAL1<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $942181.25    | 0.04%             | 2031-11-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBE4<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    625000 | PA      | $589655.69    | 0.02%             | 2031-01-28      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $595801.71    | 0.02%             | 2033-10-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                 | Origen Manufactured Housing Contract Trust 2007-B                                | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |   1297697 | PA      | $1266741.45   | 0.05%             | 2037-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Clear Creek CLO Ltd                         | Clear Creek CLO                                                                  | CUSIP: 18452LAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $283588.70    | 0.01%             | 2030-10-20      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $259962.19    | 0.01%             | 2036-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249000 | PA      | $1155033.11   | 0.05%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2021-1                                          | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $3711512.92   | 0.15%             | 2036-06-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-CIP                                            | CUSIP: 12434FAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4034000 | PA      | $3710339.67   | 0.15%             | 2038-12-15      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust              | LUXE Trust 2021-TRIP                                                             | CUSIP: 55066WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654452 | PA      | $598991.58    | 0.02%             | 2038-10-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $223018.33    | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | GRACIE POINT INTERNATIONAL FUNDING 2021-1                                        | CUSIP: 38411EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4648212 | PA      | $4637713.85   | 0.19%             | 2023-11-01      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961000 | PA      | $917651.31    | 0.04%             | 2039-01-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-980M                                                                   | CUSIP: 12659RAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2195000 | PA      | $1588049.58   | 0.07%             | 2031-07-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3674704 | PA      | $98995.05     | 0.00%             | 2052-02-26      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 40 Senior Loan Fund                                                       | CUSIP: 26244GAJ4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1140906.60   | 0.05%             | 2031-08-15      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -22138834 | PA      | $-18740839.79 | -0.78%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2              | BX Commercial Mortgage Trust 2019-XL                                             | CUSIP: 056054AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6212068 | PA      | $5904935.04   | 0.24%             | 2036-10-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| RRAM                                        | RR 3 Ltd                                                                         | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |   4330000 | PA      | $4281633.03   | 0.18%             | 2030-01-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp II Series 2005-ROCK                                  | CUSIP: 36228CUY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 144016000 | PA      | $815087.36    | 0.03%             | 2032-05-03      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2013-GAM                                                                    | CUSIP: 12624UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    793987 | PA      | $789325.00    | 0.03%             | 2028-02-10      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers CLO 29 Ltd                                        | CUSIP: 64130XAJ5<br>LEI: 549300BLCSV170UP8R47 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241787.28    | 0.01%             | 2031-10-19      | Floating      | 5.63%                 | 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        |    406000 | PA      | $331369.20    | 0.01%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262000 | PA      | $240328.25    | 0.01%             | 2036-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                 | Stratus CLO 2021-2 Ltd                                                           | CUSIP: 86315VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1391510.95   | 0.06%             | 2029-12-28      | Floating      | 9.99%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162769 | PA      | $119456.18    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2020-1                                        | CUSIP: 75907QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805000 | PA      | $720281.56    | 0.03%             | 2030-10-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust              | Mariner Finance Issuance Trust 2019-A                                            | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2714766 | PA      | $2678183.85   | 0.11%             | 2032-07-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                | Barclays Mortgage Trust 2022-RPL1                                                | CUSIP: 06745CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242000 | PA      | $1092960.00   | 0.05%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  3 | On Loan: No      |
| GSAMP Trust                                 | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10720 | PA      | $5466.68      | 0.00%             | 2047-01-25      | Floating      | 4.79%                 | 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    | 0.01%             | 2033-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                        | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    700000 | PA      | $676072.11    | 0.03%             | 2031-08-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2506934.18   | 0.10%             | 2062-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                     | Dryden 60 CLO Ltd                                                                | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245534.70    | 0.01%             | 2031-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                     | NYMT Loan Trust 2020-SP2                                                         | CUSIP: 62955DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6208908 | PA      | $5991894.43   | 0.25%             | 2060-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK28                                                                  | CUSIP: 06540YAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $3324236.58   | 0.14%             | 2063-03-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust               | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453000 | PA      | $424610.04    | 0.02%             | 2038-04-15      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| BSST Mortgage Trust                         | Beast Mortgage Trust                                                             | CUSIP: 05601PAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278000 | PA      | $252099.32    | 0.01%             | 2036-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                    | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945400 | PA      | $1725078.98   | 0.07%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4578835 | PA      | $-3724700.31  | -0.15%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2011292.40   | 0.08%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4406169 | PA      | $4039761.07   | 0.17%             | 2061-02-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1627441.20   | 0.07%             | 2052-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28100000 | PA      | $423902.55    | 0.02%             | 2039-05-10      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Vaca Morada                                 | Vaca Morada                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4128698 | PA      | $4118376.09   | 0.17%             | 2024-03-25      | Floating      | 4.08%                 | No            |                  3 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT            | CDS CMBX.NA.AAA.6.V1                                                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-0.33        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Lo              | EDvestinU Private Education Loan Issue No 1 LLC                                  | CUSIP: 28166GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    888853 | PA      | $834604.15    | 0.03%             | 2038-11-25      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XX Ltd                                                                      | CUSIP: 67112LAA5<br>LEI: 549300ROA1URR67W0G46 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $745109.50    | 0.03%             | 2031-04-20      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan               | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1731229 | PA      | $1512428.00   | 0.06%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust              | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79445 | PA      | $55665.42     | 0.00%             | 2037-06-25      | Floating      | 4.48%                 | 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        |   3777547 | PA      | $2741054.10   | 0.11%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                           | Generate CLO 6 Ltd                                                               | CUSIP: 37148JAA1<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $242657.20    | 0.01%             | 2035-01-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M              | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                   | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1801806 | PA      | $1354758.19   | 0.06%             | 2037-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                         | DBGS 2018-BIOD Mortgage Trust                                                    | CUSIP: 23306GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3198169 | PA      | $3077506.01   | 0.13%             | 2035-05-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2907257 | PA      | $2651573.36   | 0.11%             | 2035-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C42                                   | CUSIP: 95001GAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $429002.10    | 0.02%             | 2050-12-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2006-AR27                                       | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213910 | PA      | $186237.62    | 0.01%             | 2036-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Commercial Mortgage Securities Trust 2017-SCH                              | CUSIP: 054966AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $2254355.42   | 0.09%             | 2032-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9712256 | PA      | $695764.62    | 0.03%             | 2052-06-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Credit Suisse Mortgage Capital Certificates 2019-ICE4                            | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10184000 | PA      | $10071636.87  | 0.42%             | 2036-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                              | BANK 2021-BNK35                                                                  | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743689 | PA      | $598334.24    | 0.02%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management LLC                     | CBAM 2017-1 Ltd                                                                  | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |   1495115 | PA      | $1479113.75   | 0.06%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit              | SG Commercial Mortgage Securities Trust 2016-C5                                  | CUSIP: 78419CAK0<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1714040.80   | 0.07%             | 2048-10-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8625000 | PA      | $652972.88    | 0.03%             | 2050-06-15      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2022-SFR2                                    | CUSIP: 64830RAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3691558 | PA      | $2804344.09   | 0.12%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                         | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2193069.38   | 0.09%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2007-OA2                                                  | CUSIP: 02149LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181464 | PA      | $149965.81    | 0.01%             | 2047-03-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $348999.98    | 0.01%             | 2045-06-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                    | CUSIP: 46590KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $281398.98    | 0.01%             | 2049-01-15      | Variable      | 4.73%                 | 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    | 0.00%             | 2028-04-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun              | GRACIE POINT INTERNATIONAL FUNDING 2022-3                                        | CUSIP: 38411DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3043000 | PA      | $3045486.44   | 0.13%             | 2024-11-01      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                 | Houston Galleria Mall Trust 2015-HGLR                                            | CUSIP: 44217NAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578000 | PA      | $506354.47    | 0.02%             | 2037-03-05      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities               | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83274 | PA      | $63392.88     | 0.00%             | 2037-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                 | CDS CMBX.NA.BBB-.6                                                               | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $-6200.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660000 | PA      | $537299.60    | 0.02%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XXII Ltd                                                                    | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $474516.45    | 0.02%             | 2031-01-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd              | HPS Loan Management 10-2016 Ltd                                                  | CUSIP: 40436TAS5<br>LEI: 2549009NI8GVCM3ROT27 | Long             | ABS-CBDO         | CORP              | KY        |   7260000 | PA      | $7097989.47   | 0.29%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $649848.77    | 0.03%             | 2033-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KAY9<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4855350.00   | 0.20%             | 2034-10-27      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51              | Octagon Investment Partners 51 Ltd                                               | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1206084.13   | 0.05%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi              | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                | CUSIP: 14315LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $969755.00    | 0.04%             | 2031-07-27      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                          | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $4629749.85   | 0.19%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1067825.81   | 0.04%             | 2027-06-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 2 Ltd                                                            | CUSIP: 09077LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $311263.04    | 0.01%             | 2034-10-19      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 2018-10 Ltd                                                | CUSIP: 03331JAG7<br>LEI: 549300PXQERPW8QV9145 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $438702.93    | 0.02%             | 2031-10-15      | Floating      | 5.58%                 | 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