# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0000940400-26-007522
**Filing Date:** 2026-2
**Character Count:** 1190055
**Document Hash:** cc55de855c8a76d318f210a972d24a33
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007522.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0000940400-26-007522

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 26675584

**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: Securitized Total Return Series (Series ID: S000047014)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000146955 | BATS: Securitized Total Return Series |  |

## Nport-Ex

Schedule of Investments (unaudited)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; 1988 CLO 2 Ltd., Series 2023-2A, Class A1R, (3-<br> mo. CME Term SOFR + 1.20%), 5.11%, <br> 04/15/38<sup>(a)(b)</sup><br>| USD  | 2710 | $2709719 |
| 522 Funding CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.96%), 5.85%, 10/20/34<sup>(a)(b)</sup><br>|  | 1400 | 1402131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class CR, (3-mo. CME Term <br> SOFR + 2.31%), 6.20%, 10/20/31<sup>(a)(b)</sup><br>|  | 500 | 501401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.33%), 5.24%, 04/15/35<sup>(a)(b)</sup><br>|  | 430 | 430000 |
| &nbsp;&nbsp;&nbsp; 610 Funding CLO 2 Ltd., Series 2016-2RA, <br> Class A1R3, (3-mo. CME Term SOFR + 1.35%), <br> 5.23%, 01/20/34<sup>(a)(b)</sup><br>|  | 760 | 760602 |
| &nbsp;&nbsp;&nbsp; 720 East CLO V Ltd., Series 2024-2A, Class B, <br> (3-mo. CME Term SOFR + 1.85%), 5.73%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 1000 | 1004442 |
| &nbsp;&nbsp;&nbsp; 720 East CLO VII Ltd., Series 2025-7A, Class A1, <br> (3-mo. CME Term SOFR + 1.06%), 4.94%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 6300 | 6290961 |
| &nbsp;&nbsp;&nbsp; AB BSL CLO 3 Ltd., Series 2021-3A, Class A1R, <br> (3-mo. CME Term SOFR + 1.25%), 5.13%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 2080 | 2084995 |
| &nbsp;&nbsp;&nbsp; ABFC Trust, Series 2007-WMC1, Class A2B, (1-<br> mo. CME Term SOFR + 1.11%), 4.85%, <br> 06/25/37<sup>(b)</sup><br>|  | 2495 | 2133805 |
| &nbsp;&nbsp;&nbsp; ACE Securities Corp. Home Equity Loan Trust, <br> Series 2005-AG1, Class M2, (1-mo. CME Term <br> SOFR + 0.80%), 4.54%, 08/25/35<sup>(b)</sup><br>|  | 628 | 559094 |
| Affirm Asset Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.61%, 02/15/29<sup>(a)</sup> |  | 1973 | 1976053 |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class C, 5.34%, 04/15/30<sup>(a)</sup> |  | 5750 | 5769293 |
| &nbsp;&nbsp;&nbsp; Series 2025-X2, Class A, 4.45%, 10/15/30<sup>(a)</sup> |  | 7058 | 7064277 |
| &nbsp;&nbsp;&nbsp; Series 2025-X2, Class B, 4.56%, 10/15/30<sup>(a)</sup> |  | 1045 | 1046732 |
| &nbsp;&nbsp;&nbsp; Series 2025-X2, Class C, 4.93%, 10/15/30<sup>(a)</sup> |  | 362 | 362658 |
| Affirm Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.99%, 02/15/33<sup>(a)</sup> |  | 11446 | 11559884 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 5.13%, 02/15/33<sup>(a)</sup> |  | 897 | 903818 |
| &nbsp;&nbsp;&nbsp; AGL CLO 13 Ltd., Series 2021-13A, Class BR, <br> (3-mo. CME Term SOFR + 1.65%), 5.53%, <br> 10/20/34<sup>(a)(b)</sup><br>|  | 2660 | 2663359 |
| &nbsp;&nbsp;&nbsp; AGL CLO 20 Ltd., Series 2022-20A, Class A1R, <br> (3-mo. CME Term SOFR + 1.37%), 5.25%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 2900 | 2910774 |
| &nbsp;&nbsp;&nbsp; AGL CLO 21 Ltd., Series 2022-21A, Class A1R, <br> (3-mo. CME Term SOFR + 1.36%), 5.23%, <br> 10/21/37<sup>(a)(b)</sup><br>|  | 1620 | 1625805 |
| &nbsp;&nbsp;&nbsp; AGL CLO 23 Ltd., Series 2022-23A, Class A1R, <br> (3-mo. CME Term SOFR + 1.15%), 5.03%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 4390 | 4385099 |
| &nbsp;&nbsp;&nbsp; AGL CLO 37 Ltd., Series 2024-37A, Class A1, (3-<br> mo. CME Term SOFR + 1.24%), 5.10%, <br> 04/22/38<sup>(a)(b)</sup><br>|  | 460 | 460928 |
| &nbsp;&nbsp;&nbsp; AGL CLO 42 Ltd., Series 2025-42A, Class A1, (3-<br> mo. CME Term SOFR + 1.30%), 5.57%, <br> 07/22/38<sup>(a)(b)</sup><br>|  | 4120 | 4132914 |
| &nbsp;&nbsp;&nbsp; AGL CLO 43 Ltd., Series 2025-43A, Class A1, (3-<br> mo. CME Term SOFR + 1.26%), 5.24%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 2400 | 2406126 |
| &nbsp;&nbsp;&nbsp; AGL CLO 44 Ltd., Series 2025-44A, Class C, (3-<br> mo. CME Term SOFR + 1.80%), 5.75%, <br> 10/22/37<sup>(a)(b)</sup><br>|  | 2000 | 2005494 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| AGL CLO 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class D1AR, (3-mo. CME Term <br> SOFR + 2.70%), 6.46%, 01/20/39<sup>(a)(b)</sup><br>| USD  | 880 | $878176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class D2R3, (3-mo. CME Term <br> SOFR + 3.95%), 7.71%, 01/20/39<sup>(a)(b)</sup><br>|  | 510 | 509949 |
| &nbsp;&nbsp;&nbsp; AGL CLO 6 Ltd., Series 2020-6A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.28%), 5.16%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 4540 | 4553620 |
| &nbsp;&nbsp;&nbsp; AGL CLO 7 Ltd., Series 2020-7A, Class AR2, (3-<br> mo. CME Term SOFR + 1.25%), 5.16%, <br> 10/15/38<sup>(a)(b)</sup><br>|  | 1700 | 1704140 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 2 Ltd., Series 2019-2A, Class A1R, <br> (3-mo. CME Term SOFR + 1.46%), 5.34%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 3770 | 3781529 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 31 Ltd., Series 2024-31A, Class C, <br> (3-mo. CME Term SOFR + 1.90%), 5.78%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 500 | 501926 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 36 Ltd., Series 2024-36A, Class B, <br> (3-mo. CME Term SOFR + 1.60%), 5.46%, <br> 01/23/38<sup>(a)(b)</sup><br>|  | 750 | 752058 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 38 Ltd., Series 2025-38A, Class A1, <br> (3-mo. CME Term SOFR + 1.24%), 5.10%, <br> 01/22/38<sup>(a)(b)</sup><br>|  | 3650 | 3657562 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 4 Ltd., Series 2020-4A, Class AR2, <br> (3-mo. CME Term SOFR + 1.38%), 5.26%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 4350 | 4366549 |
| &nbsp;&nbsp;&nbsp; AGL Core CLO 8 Ltd., Series 2020-8A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.33%), <br> 5.21%, 01/20/38<sup>(a)(b)</sup><br>|  | 1500 | 1506087 |
| &nbsp;&nbsp;&nbsp; Aimco CLO, Series 2018-AA, Class AR, (3-mo. <br> CME Term SOFR + 1.31%), 5.19%, <br> 10/17/37<sup>(a)(b)</sup><br>|  | 3460 | 3472888 |
| Aimco CLO 11 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-11A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.34%), 5.22%, 07/17/37<sup>(a)(b)</sup><br>|  | 2810 | 2821602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-11A, Class BR2, (3-mo. CME Term <br> SOFR + 1.65%), 5.53%, 07/17/37<sup>(a)(b)</sup><br>|  | 2180 | 2186505 |
| &nbsp;&nbsp;&nbsp; Aimco CLO 14 Ltd., Series 2021-14A, Class A1R, <br> (3-mo. CME Term SOFR + 1.22%), 5.14%, <br> 10/20/38<sup>(a)(b)</sup><br>|  | 3600 | 3602719 |
| &nbsp;&nbsp;&nbsp; Aimco CLO 18 Ltd., Series 2022-18A, Class A1LR, <br> (3-mo. CME Term SOFR + 1.36%), 5.24%, <br> 07/20/37<sup>(a)(b)</sup><br>|  | 1730 | 1736092 |
| &nbsp;&nbsp;&nbsp; Aimco CLO 23 Ltd., Series 2025-23A, Class A, <br> (3-mo. CME Term SOFR + 1.13%), 5.01%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 584 | 583242 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class A, 4.88%, 06/25/61<sup>(a)(b)</sup> |  | 5709 | 5705798 |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class B, 6.75%, 06/25/61<sup>(a)(b)</sup> |  | 1337 | 1504963 |
| &nbsp;&nbsp;&nbsp; Series 2021-G, Class C, 0.00%, 06/25/61<sup>(a)</sup> |  | 2288 | 2330542 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A, 4.25%, 10/25/62<sup>(a)(c)</sup> |  | 5713 | 5666113 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class B, 4.25%, 10/25/62<sup>(a)(c)</sup> |  | 881 | 865310 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class C, 0.00%, 10/25/62<sup>(a)</sup> |  | 1957 | 1399761 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class SA, 0.00%, 10/25/62<sup>(a)(d)</sup> |  | 93 | 90232 |
| &nbsp;&nbsp;&nbsp; AMMC CLO 27 Ltd., Series 2022-27A, Class A1R, <br> (3-mo. CME Term SOFR + 1.08%), 4.96%, <br> 01/20/37<sup>(a)(b)</sup><br>|  | 6680 | 6670583 |
| AMSR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.60%, 06/17/38<sup>(a)</sup> |  | 2872 | 2758868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class F1, 3.28%, <br> 08/17/38<sup>(a)</sup><br>|  | 3756 | 3702812 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 13 LLC, Series 2019-13A, <br> Class BRR, (3-mo. CME Term SOFR + 1.72%), <br> 5.63%, 04/15/38<sup>(a)(b)</sup><br>| USD  | 3000 | $3009445 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 15 Ltd., Series 2020-15A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.41%), <br> 5.62%, 07/20/38<sup>(a)(b)</sup><br>|  | 6510 | 6535742 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 18 Ltd., Series 2021-18A, <br> Class A1, (3-mo. CME Term SOFR + 1.41%), <br> 5.32%, 04/15/34<sup>(a)(b)</sup><br>|  | 950 | 950426 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 29 Ltd., Series 2024-29A, <br> Class A1, (3-mo. CME Term SOFR + 1.60%), <br> 5.48%, 07/20/37<sup>(a)(b)</sup><br>|  | 4430 | 4445855 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 34 Ltd., Series 2025-34A, <br> Class A1, (3-mo. CME Term SOFR + 1.27%), <br> 4.94%, 01/15/39<sup>(a)(b)</sup><br>|  | 4640 | 4636440 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 6 Ltd., Series 2015-6A, <br> Class BR4, (3-mo. CME Term SOFR + 1.80%), <br> 6.07%, 07/22/38<sup>(a)(b)</sup><br>|  | 3720 | 3736008 |
| Anchorage Capital CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class BR3, (3-mo. CME Term <br> SOFR + 2.05%), 5.91%, 04/28/37<sup>(a)(b)</sup><br>|  | 800 | 803644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class CR3, (3-mo. CME Term <br> SOFR + 2.45%), 6.31%, 04/28/37<sup>(a)(b)</sup><br>|  | 1625 | 1633558 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 8 Ltd., Series 2016-8A, <br> Class A1R3, (3-mo. CME Term SOFR + 1.29%), <br> 5.20%, 10/27/38<sup>(a)(b)</sup><br>|  | 6670 | 6687623 |
| &nbsp;&nbsp;&nbsp; Antares CLO Ltd., Series 2018-1A, Class A1R, <br> (3-mo. CME Term SOFR + 1.37%), 5.25%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 1955 | 1949661 |
| &nbsp;&nbsp;&nbsp; Apidos CLO LII, Series 2025-52A, Class A1, (3-mo. <br> CME Term SOFR + 1.13%), 5.01%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 2290 | 2287099 |
| &nbsp;&nbsp;&nbsp; Apidos CLO LV, Series 2025-55A, Class A1, (3-mo. <br> CME Term SOFR + 1.21%), 4.93%, <br> 01/20/39<sup>(a)(b)(e)</sup><br>|  | 3670 | 3672239 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XLVI Ltd., Series 2023-46A, <br> Class A1R, (3-mo. CME Term SOFR + 1.20%), <br> 5.11%, 10/24/38<sup>(a)(b)</sup><br>|  | 2180 | 2181160 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XLVIII Ltd., Series 2024-48A, <br> Class A1, (3-mo. CME Term SOFR + 1.44%), <br> 5.30%, 07/25/37<sup>(a)(b)</sup><br>|  | 500 | 501674 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XVIII-R, Series 2018-18A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.33%), <br> 5.19%, 01/22/38<sup>(a)(b)</sup><br>|  | 1350 | 1354421 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXIV, Series 2016-24A, Class A2LX, <br> (3-mo. CME Term SOFR + 1.61%), 5.50%, <br> 10/20/30<sup>(a)(b)</sup><br>|  | 340 | 340320 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXV, Series 2016-25A, Class BR3, <br> (3-mo. CME Term SOFR + 1.60%), 5.48%, <br> 01/20/37<sup>(a)(b)</sup><br>|  | 4500 | 4510040 |
| Apidos CLO XXXII |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-32A, Class A1R, (3-mo. CME Term <br> SOFR + 1.10%), 4.98%, 01/20/33<sup>(a)(b)</sup><br>|  | 526 | 525972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-32A, Class B1R, (3-mo. CME Term <br> SOFR + 1.50%), 5.38%, 01/20/33<sup>(a)(b)</sup><br>|  | 900 | 901267 |
| Apidos CLO XXXIX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-39A, Class A1R, (3-mo. CME Term <br> SOFR + 1.23%), 5.40%, 10/21/38<sup>(a)(b)</sup><br>|  | 9880 | 9899002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-39A, Class BR, (3-mo. CME Term <br> SOFR + 1.53%), 5.70%, 10/21/38<sup>(a)(b)</sup><br>|  | 550 | 551501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-39A, Class D1R, (3-mo. CME Term <br> SOFR + 2.60%), 6.77%, 10/21/38<sup>(a)(b)</sup><br>|  | 500 | 482118 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXVI, Series 2021-36A, Class D1R, <br> (3-mo. CME Term SOFR + 2.60%), 6.32%, <br> 01/20/39<sup>(a)(b)</sup><br>| USD  | 250 | $248739 |
| &nbsp;&nbsp;&nbsp; Apidos CLO XXXVII, Series 2021-37A, Class A, <br> (3-mo. CME Term SOFR + 1.39%), 5.25%, <br> 10/22/34<sup>(a)(b)</sup><br>|  | 1780 | 1781780 |
| &nbsp;&nbsp;&nbsp; Apidos Loan Fund Ltd., Series 2024-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.25%), <br> 5.38%, 10/25/38<sup>(a)(b)</sup><br>|  | 150 | 150373 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust, Series 2021-A, Class A, <br> 1.54%, 07/17/46<sup>(a)</sup><br>|  | 93 | 85387 |
| &nbsp;&nbsp;&nbsp; Ares Direct Lending CLO 6 LLC, Series 2025-2A, <br> Class A1, (3-mo. CME Term SOFR + 1.45%), <br> 5.20%, 10/16/37<sup>(a)(b)</sup><br>|  | 2020 | 2021648 |
| &nbsp;&nbsp;&nbsp; Ares Direct Lending CLO 8 LLC, Series 2025-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.40%), <br> 5.08%, 01/20/39<sup>(a)(b)</sup><br>|  | 3130 | 3129715 |
| &nbsp;&nbsp;&nbsp; ARES LII CLO Ltd., Series 2019-52A, Class BRR, <br> (3-mo. CME Term SOFR + 1.35%), 5.21%, <br> 04/22/31<sup>(a)(b)</sup><br>|  | 2050 | 2051507 |
| &nbsp;&nbsp;&nbsp; ARES LIX CLO Ltd., Series 2021-59A, Class A, <br> (3-mo. CME Term SOFR + 1.29%), 5.15%, <br> 04/25/34<sup>(a)(b)</sup><br>|  | 250 | 250315 |
| &nbsp;&nbsp;&nbsp; ARES Loan Funding III Ltd., Series 2022-ALF3A, <br> Class A1R, (3-mo. CME Term SOFR + 1.27%), <br> 5.13%, 07/25/36<sup>(a)(b)</sup><br>|  | 2715 | 2717182 |
| &nbsp;&nbsp;&nbsp; ARES LVI CLO Ltd., Series 2020-56A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.25%), 5.11%, <br> 01/25/38<sup>(a)(b)</sup><br>|  | 2130 | 2134496 |
| &nbsp;&nbsp;&nbsp; ARES LX CLO Ltd., Series 2021-60A, Class AR, <br> (3-mo. CME Term SOFR + 1.18%), 5.06%, <br> 07/18/34<sup>(a)(b)</sup><br>|  | 10540 | 10548241 |
| &nbsp;&nbsp;&nbsp; ARES LXIII CLO Ltd., Series 2022-63A, Class A1R, <br> (3-mo. CME Term SOFR + 1.31%), 5.59%, <br> 10/15/38<sup>(a)(b)</sup><br>|  | 2990 | 3000418 |
| ARES XLI CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-41A, Class AR2, (3-mo. CME Term <br> SOFR + 1.33%), 5.24%, 04/15/34<sup>(a)(b)</sup><br>|  | 1430 | 1432400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-41A, Class BR, (3-mo. CME Term <br> SOFR + 1.71%), 5.62%, 04/15/34<sup>(a)(b)</sup><br>|  | 2840 | 2844118 |
| &nbsp;&nbsp;&nbsp; ARES XLIII CLO Ltd., Series 2017-43A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.35%), <br> 5.26%, 01/15/38<sup>(a)(b)</sup><br>|  | 500 | 501751 |
| &nbsp;&nbsp;&nbsp; ARES XLIV CLO Ltd., Series 2017-44A, <br> Class CRR, (3-mo. CME Term SOFR + 2.75%), <br> 6.66%, 04/15/34<sup>(a)(b)</sup><br>|  | 2610 | 2617845 |
| &nbsp;&nbsp;&nbsp; ARES XXXIX CLO Ltd., Series 2016-39A, <br> Class BR3, (3-mo. CME Term SOFR + 1.75%), <br> 5.63%, 07/18/37<sup>(a)(b)</sup><br>|  | 330 | 331119 |
| &nbsp;&nbsp;&nbsp; Argent Mortgage Loan Trust, Series 2005-W1, <br> Class A2, (1-mo. CME Term SOFR + 0.59%), <br> 4.33%, 05/25/35<sup>(b)</sup><br>|  | 35 | 29021 |
| Argent Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-M1, Class A2C, (1-mo. CME Term <br> SOFR + 0.41%), 4.15%, 07/25/36<sup>(b)</sup><br>|  | 2057 | 551290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class A2C, (1-mo. CME Term <br> SOFR + 0.69%), 4.43%, 03/25/36<sup>(b)</sup><br>|  | 532 | 300100 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities Corp. Home Equity Loan <br> Trust OOMC, Series 2005-HE6, Class M6, (1-<br> mo. CME Term SOFR + 1.22%), 4.96%, <br> 07/25/35<sup>(b)</sup><br>|  | 914 | 838503 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Atlas Senior Loan Fund XX Ltd., Series 2022-20A, <br> Class XR, (3-mo. CME Term SOFR + 1.15%), <br> 5.03%, 10/19/37<sup>(a)(b)</sup><br>| USD  | 498 | $498000 |
| &nbsp;&nbsp;&nbsp; Atlas Senior Loan Fund XXII Ltd., Series 2023-22A, <br> Class A1, (3-mo. CME Term SOFR + 1.98%), <br> 5.86%, 01/20/36<sup>(a)(b)</sup><br>|  | 10710 | 10722732 |
| Bain Capital Credit CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.43%, 07/19/31<sup>(a)(b)</sup><br>|  | 1300 | 1300461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BR3, (3-mo. CME Term <br> SOFR + 1.45%), 5.33%, 10/17/32<sup>(a)(b)</sup><br>|  | 1160 | 1160399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.20%), 5.08%, 10/20/34<sup>(a)(b)</sup><br>|  | 350 | 350271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.24%), 5.12%, 10/18/38<sup>(a)(b)</sup><br>|  | 1200 | 1202170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.52%), 5.43%, 07/15/37<sup>(a)(b)</sup><br>|  | 5090 | 5106734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class A1, (3-mo. CME Term <br> SOFR + 1.33%), 5.20%, 01/21/38<sup>(a)(b)</sup><br>|  | 1500 | 1505589 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 14 Ltd., Series 2020-14A, <br> Class A1AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.26%, 07/20/37<sup>(a)(b)</sup><br>|  | 2539 | 2547919 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 25 Ltd., Series 2023-25A, <br> Class A2R, (3-mo. CME Term SOFR + 1.50%), <br> 5.36%, 01/25/38<sup>(a)(b)</sup><br>|  | 1000 | 1002550 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO 29 Ltd., Series 2025-29A, <br> Class A1A, (3-mo. CME Term SOFR + 1.32%), <br> 5.18%, 07/25/38<sup>(a)(b)</sup><br>|  | 250 | 250840 |
| Ballyrock CLO 32 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-32A, Class A1A, (3-mo. CME Term <br> SOFR + 1.21%), 4.88%, 01/25/39<sup>(a)(b)</sup><br>|  | 2020 | 2023025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-32A, Class B, (3-mo. CME Term <br> SOFR + 1.80%), 5.47%, 01/25/39<sup>(a)(b)</sup><br>|  | 1510 | 1514199 |
| Ballyrock CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A2R3, (3-mo. CME Term <br> SOFR + 1.65%), 5.39%, 10/25/38<sup>(a)(b)</sup><br>|  | 540 | 541779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A2R, (3-mo. CME Term <br> SOFR + 1.81%), 5.70%, 10/20/31<sup>(a)(b)</sup><br>|  | 400 | 400088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.33%), 5.24%, 01/15/38<sup>(a)(b)</sup><br>|  | 4600 | 4617153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-25A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.61%, 01/25/38<sup>(a)(b)</sup><br>|  | 1430 | 1432724 |
| &nbsp;&nbsp;&nbsp; BankAmerica Manufactured Housing Contract <br> Trust, Series 1997-2, Class B1, 7.07%, <br> 02/10/22<sup>(b)</sup><br>|  | 5740 | 413984 |
| &nbsp;&nbsp;&nbsp; Bankers Healthcare Group Securitization Trust, <br> Series 2020-A, Class C, 5.17%, 09/17/31<sup>(a)</sup><br>|  | 1715 | 1714422 |
| &nbsp;&nbsp;&nbsp; Bardot CLO Ltd., Series 2019-2A, Class ARR, (3-<br> mo. CME Term SOFR + 0.98%), 4.84%, <br> 10/22/32<sup>(a)(b)</sup><br>|  | 1048 | 1047720 |
| Barings CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-IA, Class BR, (3-mo. CME Term <br> SOFR + 1.66%), 5.55%, 01/20/31<sup>(a)(b)</sup><br>|  | 248 | 248260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B1AR, (3-mo. CME Term <br> SOFR + 1.65%), 5.56%, 07/15/36<sup>(a)(b)</sup><br>|  | 2560 | 2569378 |
| &nbsp;&nbsp;&nbsp; Barrow Hanley CLO II Ltd., Series 2023-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.31%), <br> 5.19%, 03/31/38<sup>(a)(b)</sup><br>|  | 2300 | 2305751 |
| Battalion CLO 18 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class ARR, (3-mo. CME Term <br> SOFR + 1.18%), 5.09%, 10/15/36<sup>(a)(b)</sup><br>|  | 500 | 500177 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Battalion CLO 18 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class BRR, (3-mo. CME Term <br> SOFR + 1.80%), 5.71%, 10/15/36<sup>(a)(b)</sup><br>| USD  | 1000 | $1000807 |
| &nbsp;&nbsp;&nbsp; Battalion CLO VIII Ltd., Series 2015-8A, <br> Class A1R3, (3-mo. CME Term SOFR + 0.90%), <br> 4.78%, 07/18/30<sup>(a)(b)</sup><br>|  | 881 | 880851 |
| &nbsp;&nbsp;&nbsp; Battalion CLO X Ltd., Series 2016-10A, <br> Class A1R3, (3-mo. CME Term SOFR + 1.14%), <br> 4.87%, 01/24/35<sup>(a)(b)</sup><br>|  | 2360 | 2359713 |
| &nbsp;&nbsp;&nbsp; Bayview Financial Mortgage Pass-Through Trust, <br> Series 2006-A, Class B2, (1-mo. CME Term <br> SOFR + 2.59%), 6.32%, 02/28/41<sup>(b)</sup><br>|  | 5459 | 5528551 |
| Bayview Financial Revolving Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 4.84%, 02/28/40<sup>(a)(b)</sup><br>|  | 2635 | 2381490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A1, (1-mo. CME Term <br> SOFR + 1.11%), 4.84%, 12/28/40<sup>(a)(b)</sup><br>|  | 678 | 690225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A2A, (1-mo. CME Term <br> SOFR + 1.04%), 4.77%, 12/28/40<sup>(a)(b)</sup><br>|  | 555 | 543334 |
| &nbsp;&nbsp;&nbsp; BBAM U.S. CLO I Ltd., Series 2022-1A, Class AR, <br> (3-mo. CME Term SOFR + 1.20%), 5.11%, <br> 03/30/38<sup>(a)(b)</sup><br>|  | 1851 | 1850800 |
| &nbsp;&nbsp;&nbsp; BBAM U.S. CLO V Ltd., Series 2025-5A, Class B, <br> (3-mo. CME Term SOFR + 1.80%), 5.80%, <br> 07/25/38<sup>(a)(b)</sup><br>|  | 2000 | 2008671 |
| &nbsp;&nbsp;&nbsp; BBAM U.S. CLO VI Ltd., Series 2025-6A, Class A1, <br> (3-mo. CME Term SOFR + 1.25%), 5.06%, <br> 01/27/39<sup>(a)(b)</sup><br>|  | 4460 | 4468232 |
| BDS Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL11, Class ATS, (1-mo. CME Term <br> SOFR + 1.80%), 5.53%, 03/19/39<sup>(a)(b)</sup><br>|  | 643 | 643392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL13, Class A, (1-mo. CME Term <br> SOFR + 1.58%), 5.31%, 09/19/39<sup>(a)(b)</sup><br>|  | 1946 | 1942526 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-HE8, Class M3, (1-mo. CME Term <br> SOFR + 2.06%), 5.80%, 08/25/35<sup>(b)</sup><br>|  | 3054 | 3131323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-EC1, Class M4, (1-mo. CME Term <br> SOFR + 1.06%), 4.65%, 12/25/35<sup>(b)</sup><br>|  | 1428 | 1398618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class M2, (1-mo. CME Term <br> SOFR + 0.59%), 4.33%, 06/25/36<sup>(b)</sup><br>|  | 2146 | 2127665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE7, Class 1A2, (1-mo. CME Term <br> SOFR + 0.45%), 4.19%, 09/25/36<sup>(b)</sup><br>|  | 63 | 62439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE9, Class M1, (1-mo. CME Term <br> SOFR + 0.55%), 4.28%, 11/25/36<sup>(b)</sup><br>|  | 2385 | 2414303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 1A4, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 03/25/37<sup>(b)</sup><br>|  | 719 | 702804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 23A, (1-mo. CME Term <br> SOFR + 0.39%), 4.13%, 03/25/37<sup>(b)</sup><br>|  | 25 | 24019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 1A4, (1-mo. CME Term <br> SOFR + 0.81%), 4.55%, 04/25/37<sup>(b)</sup><br>|  | 354 | 344351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE5, Class M2, (1-mo. CME Term <br> SOFR + 0.49%), 4.23%, 06/25/47<sup>(b)</sup><br>|  | 6161 | 5641390 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO 42 Ltd., Series 2025-<br> 42A, Class A, (3-mo. CME Term SOFR + <br> 1.30%), 5.37%, 10/25/38<sup>(a)(b)</sup><br>|  | 4050 | 4060246 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO 43 Ltd., Series 2025-<br> 43A, Class A, (3-mo. CME Term SOFR + <br> 1.27%), 5.19%, 10/20/38<sup>(a)(b)</sup><br>|  | 250 | 250537 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO 44 Ltd., Series 2025-<br> 44A, Class A1, (3-mo. CME Term SOFR + <br> 1.22%), 4.94%, 01/15/39<sup>(a)(b)</sup><br>|  | 3710 | 3715114 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Benefit Street Partners CLO IV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-IVA, Class AR5, (3-mo. CME Term <br> SOFR + 1.25%), 5.20%, 10/20/38<sup>(a)(b)</sup><br>| USD  | 500 | $500846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-IVA, Class BR5, (3-mo. CME Term <br> SOFR + 1.55%), 5.50%, 10/20/38<sup>(a)(b)</sup><br>|  | 250 | 250566 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO V-B Ltd., Series 2018-<br> 5BA, Class A1R, (3-mo. CME Term SOFR + <br> 1.53%), 5.41%, 07/20/37<sup>(a)(b)</sup><br>|  | 2366 | 2373910 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO X Ltd., Series 2016-<br> 10A, Class A1R3, (3-mo. CME Term SOFR + <br> 1.30%), 5.18%, 07/20/38<sup>(a)(b)</sup><br>|  | 4957 | 4971397 |
| Benefit Street Partners CLO XII-B Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-12BRA, Class A, (3-mo. CME Term <br> SOFR + 1.37%), 5.28%, 10/15/37<sup>(a)(b)</sup><br>|  | 1870 | 1876605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-12BRA, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 5.61%, 10/15/37<sup>(a)(b)</sup><br>|  | 1700 | 1705348 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XVI Ltd., Series 2018-<br> 16A, Class A1R2, (3-mo. CME Term SOFR + <br> 1.32%), 5.20%, 01/17/38<sup>(a)(b)</sup><br>|  | 830 | 832864 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XVIII Ltd., <br> Series 2019-18A, Class AR2, (3-mo. CME Term <br> SOFR + 1.24%), 5.15%, 10/15/38<sup>(a)(b)</sup><br>|  | 7130 | 7141376 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XX Ltd., Series 2020-<br> 20A, Class ARR, (3-mo. CME Term SOFR + <br> 1.29%), 5.20%, 07/15/37<sup>(a)(b)</sup><br>|  | 5070 | 5082197 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXIX Ltd., <br> Series 2022-29A, Class AR, (3-mo. CME Term <br> SOFR + 1.18%), 5.04%, 01/25/38<sup>(a)(b)</sup><br>|  | 1000 | 999527 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXVI Ltd., <br> Series 2022-26A, Class AR, (3-mo. CME Term <br> SOFR + 1.38%), 5.26%, 07/20/37<sup>(a)(b)</sup><br>|  | 1920 | 1926445 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXVII Ltd., <br> Series 2022-27A, Class AR, (3-mo. CME Term <br> SOFR + 1.37%), 5.25%, 10/20/37<sup>(a)(b)</sup><br>|  | 7630 | 7657170 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXXVII Ltd., <br> Series 2024-37A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.21%, 01/25/38<sup>(a)(b)</sup><br>|  | 3470 | 3481510 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO XXXVIII Ltd., <br> Series 2024-38A, Class A, (3-mo. CME Term <br> SOFR + 1.31%), 5.17%, 01/25/38<sup>(a)(b)</sup><br>|  | 5760 | 5780362 |
| BHG Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.42%, 11/17/33<sup>(a)</sup> |  | 22 | 21683 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 2.79%, 11/17/33<sup>(a)</sup> |  | 3714 | 3657961 |
| &nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 5.93%, 10/17/35<sup>(a)</sup> |  | 249 | 249479 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 10 Ltd., Series 2024-10A, <br> Class A, (3-mo. CME Term SOFR + 1.39%), <br> 5.25%, 01/22/38<sup>(a)(b)</sup><br>|  | 3400 | 3412247 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 13 Ltd., Series 2025-13A, <br> Class A1, (3-mo. CME Term SOFR + 1.31%), <br> 5.47%, 10/23/38<sup>(a)(b)</sup><br>|  | 3070 | 3077040 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 2 Ltd., Series 2021-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.40%), <br> 5.28%, 10/19/37<sup>(a)(b)</sup><br>|  | 630 | 632361 |
| Birch Grove CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.26%), 5.14%, 01/19/38<sup>(a)(b)</sup><br>|  | 390 | 390731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.60%), 5.48%, 01/19/38<sup>(a)(b)</sup><br>|  | 730 | 731370 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 4 Ltd., Series 2022-4A, <br> Class A1R, (3-mo. CME Term SOFR + 1.48%), <br> 5.39%, 07/15/37<sup>(a)(b)</sup><br>|  | 1260 | 1264522 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 6 Ltd., Series 2023-6A, <br> Class A1R, (3-mo. CME Term SOFR + 1.38%), <br> 5.75%, 07/20/37<sup>(a)(b)</sup><br>| USD  | 500 | $501690 |
| &nbsp;&nbsp;&nbsp; Birch Grove CLO 7 Ltd., Series 2023-7A, <br> Class A1R, (3-mo. CME Term SOFR + 1.26%), <br> 5.14%, 10/20/38<sup>(a)(b)</sup><br>|  | 6070 | 6080622 |
| &nbsp;&nbsp;&nbsp; Blueberry Park CLO Ltd., Series 2024-1A, <br> Class D1, (3-mo. CME Term SOFR + 2.90%), <br> 6.78%, 10/20/37<sup>(a)(b)</sup><br>|  | 470 | 471199 |
| BlueMountain CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.86%), 5.72%, 10/22/30<sup>(a)(b)</sup><br>|  | 1009 | 1009543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2A, Class BR2, (3-mo. CME Term <br> SOFR + 2.01%), 5.90%, 10/20/30<sup>(a)(b)</sup><br>|  | 1120 | 1120820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.26%), 5.15%, 04/20/31<sup>(a)(b)</sup><br>|  | 1257 | 1257343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.20%), 5.05%, 11/15/30<sup>(a)(b)</sup><br>|  | 2253 | 2253101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A2R2, (3-mo. CME Term <br> SOFR + 1.70%), 5.55%, 11/15/30<sup>(a)(b)</sup><br>|  | 1000 | 1001444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term <br> SOFR + 1.96%), 5.81%, 08/15/31<sup>(a)(b)</sup><br>|  | 1320 | 1321733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.19%), 5.05%, 10/25/30<sup>(a)(b)</sup><br>|  | 718 | 717643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.85%), 5.71%, 10/25/30<sup>(a)(b)</sup><br>|  | 6350 | 6359517 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXIX Ltd., Series 2020-29A, <br> Class BR, (3-mo. CME Term SOFR + 2.01%), <br> 5.87%, 07/25/34<sup>(a)(b)</sup><br>|  | 420 | 419587 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXV Ltd., Series 2019-25A, <br> Class A1RR, (3-mo. CME Term SOFR + 1.35%), <br> 5.26%, 01/15/38<sup>(a)(b)</sup><br>|  | 490 | 491577 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXVI Ltd., Series 2019-26A, <br> Class D1R, (3-mo. CME Term SOFR + 3.76%), <br> 7.65%, 10/20/34<sup>(a)(b)</sup><br>|  | 1120 | 1120147 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO XXXV Ltd., Series 2022-35A, <br> Class A1R, (3-mo. CME Term SOFR + 1.42%), <br> 5.28%, 10/22/37<sup>(a)(b)</sup><br>|  | 840 | 842992 |
| BlueMountain Fuji U.S. CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A1AR, (3-mo. CME Term <br> SOFR + 1.26%), 5.15%, 10/20/30<sup>(a)(b)</sup><br>|  | 521 | 521514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A2, (3-mo. CME Term <br> SOFR + 1.86%), 5.75%, 10/20/30<sup>(a)(b)</sup><br>|  | 1820 | 1820588 |
| &nbsp;&nbsp;&nbsp; Brant Point CLO Ltd., Series 2024-6A, Class D1, <br> (3-mo. CME Term SOFR + 3.20%), 7.11%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 1420 | 1418621 |
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, Series 2024-<br> CES2, Class A1A, 5.55%, 09/25/54<sup>(a)(c)</sup><br>|  | 1287 | 1294590 |
| &nbsp;&nbsp;&nbsp; Brex Commercial Charge Card Master Trust, <br> Series 2024-1, Class A1, 6.05%, 07/15/27<sup>(a)</sup><br>|  | 2027 | 2033122 |
| &nbsp;&nbsp;&nbsp; Bridge Street CLO II Ltd., Series 2021-1A, <br> Class A1A, (3-mo. CME Term SOFR + 1.49%), <br> 5.38%, 07/20/34<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp; Bridge Street CLO VI Ltd., Series 2025-2A, <br> Class A1, (3-mo. CME Term SOFR + 1.28%), <br> 5.07%, 01/15/39<sup>(a)(b)</sup><br>|  | 5210 | 5223154 |
| &nbsp;&nbsp;&nbsp; Bryant Park CLO Ltd., Series 2025-27A, Class A1, <br> (3-mo. CME Term SOFR + 1.33%), 5.53%, <br> 07/20/38<sup>(a)(b)</sup><br>|  | 1910 | 1916176 |
| Bryant Park Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-19A, Class A1R, (3-mo. CME Term <br> SOFR + 1.20%), 5.11%, 04/15/38<sup>(a)(b)</sup><br>|  | 720 | 719977 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Bryant Park Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-25A, Class C, (3-mo. CME Term <br> SOFR + 1.95%), 5.83%, 01/18/38<sup>(a)(b)</sup><br>| USD  | 500 | $502177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-28A, Class A, (3-mo. CME Term <br> SOFR + 1.24%), 5.00%, 01/22/39<sup>(a)(b)</sup><br>|  | 2070 | 2073170 |
| &nbsp;&nbsp;&nbsp; Buckhorn Park CLO Ltd., Series 2019-1A, <br> Class ARR, (3-mo. CME Term SOFR + 1.07%), <br> 4.95%, 07/18/34<sup>(a)(b)</sup><br>|  | 3210 | 3208420 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. Mortgage-Backed Securities, <br> Series 2025-FL5, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.37%, 10/18/42<sup>(a)(b)</sup><br>|  | 17933 | 17839232 |
| Canyon Capital CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.33%), 5.24%, 07/15/31<sup>(a)(b)</sup><br>|  | 417 | 416675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR2, (3-mo. CME Term <br> SOFR + 1.01%), 4.92%, 10/15/34<sup>(a)(b)</sup><br>|  | 7420 | 7409041 |
| Canyon CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term <br> SOFR + 1.33%), 5.24%, 07/15/31<sup>(a)(b)</sup><br>|  | 187 | 187211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.40%), 5.31%, 10/15/37<sup>(a)(b)</sup><br>|  | 3495 | 3508327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.95%), 5.86%, 10/15/37<sup>(a)(b)</sup><br>|  | 250 | 250757 |
| &nbsp;&nbsp;&nbsp; Capital Four U.S. CLO II Ltd., Series 2022-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.90%), <br> 5.78%, 01/20/37<sup>(a)(b)</sup><br>|  | 2280 | 2284256 |
| &nbsp;&nbsp;&nbsp; Carlyle Global Market Strategies CLO Ltd., <br> Series 2015-1A, Class AR3, (3-mo. CME Term <br> SOFR + 1.24%), 5.13%, 07/20/31<sup>(a)(b)</sup><br>|  | 91 | 91431 |
| Carlyle U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.40%), 5.27%, 10/21/37<sup>(a)(b)</sup><br>|  | 2815 | 2826498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class BR2, (3-mo. CME Term <br> SOFR + 1.78%), 5.65%, 10/21/37<sup>(a)(b)</sup><br>|  | 2810 | 2821760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class A11R, (3-mo. CME Term <br> SOFR + 1.32%), 5.23%, 04/15/35<sup>(a)(b)</sup><br>|  | 5190 | 5193575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class A1R, (3-mo. CME Term <br> SOFR + 1.41%), 5.27%, 07/25/37<sup>(a)(b)</sup><br>|  | 500 | 501748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-8A, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 5.63%, 10/15/38<sup>(a)(b)</sup><br>|  | 7500 | 7530156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.39%), 5.30%, 04/15/35<sup>(a)(b)</sup><br>|  | 500 | 500117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.36%), 5.24%, 01/20/38<sup>(a)(b)</sup><br>|  | 730 | 732682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 5.56%, 10/25/37<sup>(a)(b)</sup><br>|  | 2600 | 2610198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-6A, Class A1, (3-mo. CME Term <br> SOFR + 1.22%), 4.88%, 01/20/39<sup>(a)(b)</sup><br>|  | 2750 | 2749921 |
| Carrington Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FRE2, Class A4, (1-mo. CME Term <br> SOFR + 0.36%), 4.10%, 10/25/36<sup>(b)</sup><br>|  | 1210 | 943900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC4, Class A3, (1-mo. CME Term <br> SOFR + 0.27%), 4.01%, 10/25/36<sup>(b)</sup><br>|  | 13 | 13201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FRE1, Class A3, (1-mo. CME Term <br> SOFR + 0.37%), 4.11%, 02/25/37<sup>(b)</sup><br>|  | 3526 | 3431891 |
| &nbsp;&nbsp;&nbsp; CarVal CLO IV Ltd., Series 2021-1A, Class A1R, <br> (3-mo. CME Term SOFR + 1.30%), 5.18%, <br> 03/31/38<sup>(a)(b)</sup><br>|  | 7050 | 7068170 |
| CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3-mo. CME Term <br> SOFR + 3.51%), 7.42%, 10/15/34<sup>(a)(b)</sup><br>|  | 1000 | 1000056 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3-mo. CME Term <br> SOFR + 7.01%), 10.92%, 10/15/34<sup>(a)(b)</sup><br>| USD  | 1250 | $1235031 |
| &nbsp;&nbsp;&nbsp; CarVal CLO VIII-C Ltd., Series 2022-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.42%), <br> 5.28%, 10/22/37<sup>(a)(b)</sup><br>|  | 770 | 772554 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust, Series 2019-MH1, <br> Class A, 4.00%, 11/25/44<sup>(a)(b)</sup><br>|  | 3940 | 3801239 |
| &nbsp;&nbsp;&nbsp; CBAM Ltd., Series 2018-7A, Class B1, (3-mo. CME <br> Term SOFR + 1.86%), 5.75%, 07/20/31<sup>(a)(b)</sup><br>|  | 500 | 500118 |
| &nbsp;&nbsp;&nbsp; C-BASS Trust, Series 2006-CB9, Class A4, (1-mo. <br> CME Term SOFR + 0.57%), 4.31%, 11/25/36<sup>(b)</sup><br>|  | 168 | 76410 |
| &nbsp;&nbsp;&nbsp; Cedar Funding II CLO Ltd., Series 2013-1A, <br> Class BR3, (3-mo. CME Term SOFR + 1.75%), <br> 5.84%, 07/22/38<sup>(a)(b)</sup><br>|  | 500 | 501644 |
| &nbsp;&nbsp;&nbsp; Cedar Funding V CLO Ltd., Series 2016-5A, <br> Class A1R, (3-mo. CME Term SOFR + 1.36%), <br> 5.24%, 07/17/31<sup>(a)(b)</sup><br>|  | 905 | 905464 |
| &nbsp;&nbsp;&nbsp; Cedar Funding VII CLO Ltd., Series 2018-7A, <br> Class AR2, (3-mo. CME Term SOFR + 1.28%), <br> 5.20%, 10/20/38<sup>(a)(b)</sup><br>|  | 720 | 721081 |
| &nbsp;&nbsp;&nbsp; Cedar Funding XI CLO Ltd., Series 2019-11A, <br> Class A2R2, (3-mo. CME Term SOFR + 1.30%), <br> 5.09%, 05/29/32<sup>(a)(b)</sup><br>|  | 250 | 249832 |
| &nbsp;&nbsp;&nbsp; Cedar Funding XIV CLO Ltd., Series 2021-14A, <br> Class B1R, (3-mo. CME Term SOFR + 1.70%), <br> 5.61%, 10/15/37<sup>(a)(b)</sup><br>|  | 1480 | 1484657 |
| &nbsp;&nbsp;&nbsp; Cerberus Loan Funding XLIV LLC, Series 2023-5A, <br> Class A, (3-mo. CME Term SOFR + 2.35%), <br> 6.26%, 01/15/36<sup>(a)(b)</sup><br>|  | 1710 | 1713877 |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class BR2, (3-mo. CME Term <br> SOFR + 1.66%), 5.55%, 01/18/31<sup>(a)(b)</sup><br>|  | 4610 | 4614866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.23%, 10/24/37<sup>(a)(b)</sup><br>|  | 10000 | 10030010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.18%), 5.09%, 03/31/38<sup>(a)(b)</sup><br>|  | 250 | 249950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-4RA, Class A1A2, (3-mo. CME <br> Term SOFR + 0.99%), 4.87%, 01/17/35<sup>(a)(b)</sup><br>|  | 1000 | 998978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-4A, Class A1A2, (3-mo. CME Term <br> SOFR + 1.33%), 5.22%, 04/20/34<sup>(a)(b)</sup><br>|  | 1720 | 1722944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class BR3, (3-mo. CME Term <br> SOFR + 1.45%), 5.32%, 10/21/31<sup>(a)(b)</sup><br>|  | 500 | 500501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BRR, (3-mo. CME Term <br> SOFR + 2.05%), 5.92%, 04/21/37<sup>(a)(b)</sup><br>|  | 2000 | 2010321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-5A, Class AR, (3-mo. CME Term <br> SOFR + 1.41%), 5.29%, 07/17/37<sup>(a)(b)</sup><br>|  | 1080 | 1083951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.32%), 5.20%, 01/18/38<sup>(a)(b)</sup><br>|  | 1390 | 1394323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 01/18/38<sup>(a)(b)</sup><br>|  | 1630 | 1636833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.37%), 5.25%, 10/20/37<sup>(a)(b)</sup><br>|  | 737 | 739758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 1500 | 1507877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.27%), 5.35%, 10/18/38<sup>(a)(b)</sup><br>|  | 1031 | 1033739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 5.73%, 10/18/38<sup>(a)(b)</sup><br>|  | 256 | 257206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.36%), 5.24%, 10/20/37<sup>(a)(b)</sup><br>|  | 4297 | 4312444 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR2, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 10/20/37<sup>(a)(b)</sup><br>| USD  | 250 | $251085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class CR2, (3-mo. CME Term <br> SOFR + 2.00%), 5.88%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 251180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class CR2, (3-mo. CME Term <br> SOFR + 1.80%), 5.69%, 01/16/38<sup>(a)(b)</sup><br>|  | 1550 | 1554546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class BR2, (3-mo. CME Term <br> SOFR + 1.65%), 5.74%, 10/15/38<sup>(a)(b)</sup><br>|  | 2925 | 2939722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-6A, Class A1R, (3-mo. CME Term <br> SOFR + 1.45%), 5.34%, 07/16/37<sup>(a)(b)</sup><br>|  | 4080 | 4093497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-7A, Class A1R, (3-mo. CME Term <br> SOFR + 1.28%), 5.37%, 10/19/38<sup>(a)(b)</sup><br>|  | 6020 | 6036856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.30%), 5.21%, 01/15/40<sup>(a)(b)</sup><br>|  | 1870 | 1875872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.61%, 07/25/37<sup>(a)(b)</sup><br>|  | 690 | 693679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.46%, 10/15/38<sup>(a)(b)</sup><br>|  | 613 | 613618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.22%, 07/23/37<sup>(a)(b)</sup><br>|  | 2226 | 2233509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class BR, (3-mo. CME Term <br> SOFR + 1.65%), 5.51%, 07/23/37<sup>(a)(b)</sup><br>|  | 2500 | 2510992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class CR, (3-mo. CME Term <br> SOFR + 1.90%), 5.76%, 07/23/37<sup>(a)(b)</sup><br>|  | 1000 | 1003935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class A, (3-mo. CME Term <br> SOFR + 1.40%), 5.31%, 10/15/34<sup>(a)(b)</sup><br>|  | 580 | 580149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 5.82%, 10/15/34<sup>(a)(b)</sup><br>|  | 550 | 551200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, (3-mo. CME Term <br> SOFR + 1.32%), 5.20%, 04/17/35<sup>(a)(b)</sup><br>|  | 710 | 710511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.44%, 07/16/35<sup>(a)(b)</sup><br>|  | 500 | 501171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.24%), 5.15%, 10/15/38<sup>(a)(b)</sup><br>|  | 2447 | 2451581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, (3-mo. CME Term <br> SOFR + 1.60%), 5.48%, 01/20/37<sup>(a)(b)</sup><br>|  | 1950 | 1956063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A1, (3-mo. CME Term <br> SOFR + 1.48%), 5.35%, 07/21/37<sup>(a)(b)</sup><br>|  | 2900 | 2910634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, (3-mo. CME Term <br> SOFR + 1.15%), 5.01%, 04/23/38<sup>(a)(b)</sup><br>|  | 250 | 249743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class A1, (3-mo. CME Term <br> SOFR + 1.29%), 5.40%, 10/24/38<sup>(a)(b)</sup><br>|  | 4980 | 4993952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 5.81%, 10/24/38<sup>(a)(b)</sup><br>|  | 540 | 541732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class C, (3-mo. CME Term <br> SOFR + 1.85%), 5.96%, 10/24/38<sup>(a)(b)</sup><br>|  | 540 | 541768 |
| CIT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 1M2, (1-mo. CME Term <br> SOFR + 2.74%), 5.60%, 10/25/37<sup>(a)(b)</sup><br>|  | 2144 | 2150273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 2M2, (1-mo. CME Term <br> SOFR + 2.74%), 5.60%, 10/25/37<sup>(a)(b)</sup><br>|  | 293 | 289023 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3B, (1-mo. CME <br> Term SOFR + 0.31%), 4.05%, 05/25/37<sup>(b)</sup><br>|  | 865 | 590760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3C, (1-mo. CME <br> Term SOFR + 0.38%), 4.12%, 05/25/37<sup>(b)</sup><br>|  | 403 | 275223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WFH2, Class M3, (1-mo. CME Term <br> SOFR + 0.82%), 4.55%, 03/25/37<sup>(b)</sup><br>|  | 5000 | 4891800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WFH4, Class M3A, (1-mo. CME <br> Term SOFR + 3.86%), 7.60%, 07/25/37<sup>(b)</sup><br>|  | 1000 | 990058 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Clover CLO LLC, Series 2021-3A, Class AR, (3-<br> mo. CME Term SOFR + 1.07%), 4.93%, <br> 01/25/35<sup>(a)(b)</sup><br>| USD  | 3630 | $3627474 |
| &nbsp;&nbsp;&nbsp; Coinstar Funding LLC, Series 2017-1A, Class A2, <br> 5.22%, 04/25/47<sup>(a)</sup><br>|  | 519 | 592994 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 2.42%, 06/25/52<sup>(a)</sup> |  | 366 | 336431 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class C, 2.72%, 06/25/52<sup>(a)</sup> |  | 1561 | 1452019 |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class D, 3.78%, 06/25/52<sup>(a)</sup> |  | 286 | 267814 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup> |  | 265 | 247166 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 3.06%, 07/26/55<sup>(a)</sup> |  | 2623 | 2472615 |
| &nbsp;&nbsp;&nbsp; College Ave Student Loans Trust, Series 2024-A, <br> Class A1B, (SOFR (30-day) + 1.75%), 5.62%, <br> 06/25/54<sup>(a)(b)</sup><br>|  | 5243 | 5318191 |
| &nbsp;&nbsp;&nbsp; Compass Datacenters Issuer II LLC, Series 2025-<br> 2A, Class A1, 4.93%, 11/25/50<sup>(a)</sup><br>|  | 5267 | 5256736 |
| &nbsp;&nbsp;&nbsp; Compass Datacenters Issuer III LLC, Series 2025-<br> 3A, Class A2, 5.29%, 07/25/50<sup>(a)</sup><br>|  | 8109 | 8157722 |
| &nbsp;&nbsp;&nbsp; Concord Music Royalties LLC, Series 2024-1A, <br> Class A, 5.64%, 10/20/74<sup>(a)</sup><br>|  | 2133 | 2152106 |
| Conseco Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 1996-10, Class B1, 7.24%, 11/15/28<sup>(b)</sup> |  | 14 | 14407 |
| &nbsp;&nbsp;&nbsp; Series 1998-4, Class M1, 6.83%, 04/01/30<sup>(b)</sup> |  | 378 | 385149 |
| Conseco Finance Securitizations Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2000-1, Class A5, 8.06%, 09/01/29<sup>(b)</sup> |  | 2165 | 259110 |
| &nbsp;&nbsp;&nbsp; Series 2000-4, Class A6, 8.31%, 05/01/32<sup>(b)</sup> |  | 2157 | 269765 |
| &nbsp;&nbsp;&nbsp; Consolidated Communications LLC/Fidium Fiber <br> Finance Holdco LLC, Series 2025-4A, Class B, <br> 5.77%, 12/20/55<sup>(a)</sup><br>|  | 17236 | 17335588 |
| Countrywide Asset-Backed Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-16, Class 1AF, 4.53%, 04/25/36<sup>(b)</sup> |  | 1115 | 1003511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class M1, (1-mo. CME Term <br> SOFR + 0.55%), 4.28%, 02/25/37<sup>(b)</sup><br>|  | 825 | 873649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class M1, (1-mo. CME Term <br> SOFR + 0.46%), 4.19%, 05/25/47<sup>(b)</sup><br>|  | 472 | 466037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26, Class M1, (1-mo. CME Term <br> SOFR + 0.49%), 4.22%, 06/25/37<sup>(b)</sup><br>|  | 4255 | 4134505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA2, Class 2A1, (1-mo. CME <br> Term SOFR + 1.61%), 5.35%, 06/25/47<sup>(a)(b)</sup><br>|  | 899 | 751935 |
| &nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates Revolving <br> Home Equity Loan Trust, Series 2004-U, <br> Class 2A, (1-mo. CME Term SOFR + 0.38%), <br> 4.14%, 03/15/34<sup>(b)</sup><br>|  | 7 | 6620 |
| &nbsp;&nbsp;&nbsp; CQS U.S. CLO 5 Ltd., Series 2025-5A, Class B, <br> (3-mo. CME Term SOFR + 1.65%), 5.46%, <br> 01/17/39<sup>(a)(b)</sup><br>|  | 390 | 390771 |
| CQS U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, (3-mo. CME Term <br> SOFR + 2.65%), 6.51%, 01/25/37<sup>(a)(b)</sup><br>|  | 2390 | 2394611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class A1, (3-mo. CME Term <br> SOFR + 1.45%), 5.72%, 07/20/36<sup>(a)(b)</sup><br>|  | 4840 | 4857153 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities <br> Corp., Series 2004-CF2, Class 1B, 6.00%, <br> 01/25/43<sup>(a)(c)</sup><br>|  | 214 | 180534 |
| Credit-Based Asset Servicing & Securitization LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB2, Class AF4, 2.92%, <br> 12/25/36<sup>(c)</sup><br>|  | 14 | 11455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B1, 6.75%, <br> 10/25/36<sup>(a)(c)</sup><br>|  | 766 | 764162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B2, 6.75%, <br> 10/25/36<sup>(a)(c)</sup><br>|  | 1793 | 1512244 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Credit-Based Asset Servicing & Securitization LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A3, (1-mo. CME Term <br> SOFR + 0.55%), 4.29%, 09/25/36<sup>(a)(b)</sup><br>| USD  | 5450 | $178492 |
| Creeksource Dunes Creek CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.41%), 5.32%, 01/15/38<sup>(a)(b)</sup><br>|  | 500 | 501885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.75%), 5.66%, 01/15/38<sup>(a)(b)</sup><br>|  | 960 | 961833 |
| &nbsp;&nbsp;&nbsp; Cross Mortgage Trust, Series 2025-CES1, <br> Class A1A, 5.30%, 11/25/60<sup>(a)(c)</sup><br>|  | 1044 | 1047297 |
| &nbsp;&nbsp;&nbsp; Crown Point CLO 10 Ltd., Series 2021-10A, <br> Class B, (3-mo. CME Term SOFR + 1.96%), <br> 5.85%, 07/20/34<sup>(a)(b)</sup><br>|  | 510 | 510124 |
| &nbsp;&nbsp;&nbsp; Crown Point CLO 11 Ltd., Series 2021-11A, <br> Class A1R, (3-mo. CME Term SOFR + 1.26%), <br> 5.14%, 02/28/38<sup>(a)(b)</sup><br>|  | 1710 | 1713239 |
| &nbsp;&nbsp;&nbsp; Crown Point CLO IV Ltd., Series 2018-4A, Class C, <br> (3-mo. CME Term SOFR + 2.16%), 6.05%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 250 | 250601 |
| CWHEQ Revolving Home Equity Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-C, Class 2A, (1-mo. CME Term <br> SOFR + 0.29%), 4.05%, 05/15/36<sup>(b)</sup><br>|  | 219 | 217939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-I, Class 1A, (1-mo. CME Term <br> SOFR + 0.25%), 4.01%, 01/15/37<sup>(b)</sup><br>|  | 102 | 99164 |
| &nbsp;&nbsp;&nbsp; DB Master Finance LLC, Series 2025-1A, <br> Class A2I, 4.89%, 08/20/55<sup>(a)</sup><br>|  | 6913 | 6927149 |
| &nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust, <br> Series 2025-CES1, Class A1A, 5.22%, <br> 10/25/55<sup>(a)(c)</sup><br>|  | 2983 | 2993512 |
| Dewolf Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.18%), 5.09%, 10/15/30<sup>(a)(b)</sup><br>|  | 1475 | 1474511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class CR, (3-mo. CME Term <br> SOFR + 2.11%), 6.02%, 10/15/30<sup>(a)(b)</sup><br>|  | 500 | 501395 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 10 Ltd., Series 2025-10A, <br> Class A, (3-mo. CME Term SOFR + 1.31%), <br> 5.19%, 04/20/38<sup>(a)(b)</sup><br>|  | 3920 | 3932088 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 12 Ltd., Series 2025-12A, <br> Class A, (3-mo. CME Term SOFR + 1.24%), <br> 5.16%, 10/20/38<sup>(a)(b)</sup><br>|  | 7710 | 7723616 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 13 Ltd., Series 2025-13A, <br> Class A1, (3-mo. CME Term SOFR + 1.23%), <br> 4.96%, 01/20/39<sup>(a)(b)</sup><br>|  | 3370 | 3370000 |
| Diameter Capital CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.39%), 5.30%, 10/15/37<sup>(a)(b)</sup><br>|  | 9990 | 10027571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A2R, (3-mo. CME Term <br> SOFR + 1.80%), 5.71%, 10/15/37<sup>(a)(b)</sup><br>|  | 500 | 502137 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 3 Ltd., Series 2022-3A, <br> Class A1R, (3-mo. CME Term SOFR + 1.33%), <br> 5.24%, 01/15/38<sup>(a)(b)</sup><br>|  | 5162 | 5181602 |
| &nbsp;&nbsp;&nbsp; Diameter Capital CLO 5 Ltd., Series 2023-5A, <br> Class A1R, (3-mo. CME Term SOFR + 1.24%), <br> 5.11%, 01/15/39<sup>(a)(b)</sup><br>|  | 3980 | 3987341 |
| &nbsp;&nbsp;&nbsp; Dryden 104 CLO Ltd., Series 2022-104A, <br> Class A1R, (3-mo. CME Term SOFR + 1.29%), <br> 5.18%, 08/20/34<sup>(a)(b)</sup><br>|  | 3370 | 3370543 |
| &nbsp;&nbsp;&nbsp; Dryden 113 CLO Ltd., Series 2022-113A, <br> Class AR3, (3-mo. CME Term SOFR + 1.09%), <br> 5.00%, 10/15/37<sup>(a)(b)</sup><br>|  | 500 | 499563 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Dryden 119 CLO Ltd., Series 2024-119A, Class C1, <br> (3-mo. CME Term SOFR + 2.35%), 6.26%, <br> 04/15/36<sup>(a)(b)</sup><br>| USD  | 1000 | $1004536 |
| &nbsp;&nbsp;&nbsp; Dryden 30 Senior Loan Fund, Series 2013-30A, <br> Class CR, (3-mo. CME Term SOFR + 1.96%), <br> 5.81%, 11/15/28<sup>(a)(b)</sup><br>|  | 230 | 230721 |
| &nbsp;&nbsp;&nbsp; Dryden 41 Senior Loan Fund, Series 2015-41A, <br> Class AR, (3-mo. CME Term SOFR + 1.23%), <br> 5.14%, 04/15/31<sup>(a)(b)</sup><br>|  | 242 | 242314 |
| &nbsp;&nbsp;&nbsp; Dryden 49 Senior Loan Fund, Series 2017-49A, <br> Class AR, (3-mo. CME Term SOFR + 1.21%), <br> 5.10%, 07/18/30<sup>(a)(b)</sup><br>|  | 152 | 151640 |
| &nbsp;&nbsp;&nbsp; Dryden 54 Senior Loan Fund, Series 2017-54A, <br> Class AR, (3-mo. CME Term SOFR + 1.15%), <br> 5.03%, 10/19/29<sup>(a)(b)</sup><br>|  | 374 | 374269 |
| &nbsp;&nbsp;&nbsp; Dryden 55 CLO Ltd., Series 2018-55A, Class A1, <br> (3-mo. CME Term SOFR + 1.28%), 5.19%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 1065 | 1065776 |
| &nbsp;&nbsp;&nbsp; Dryden 60 CLO Ltd., Series 2018-60A, Class A, <br> (3-mo. CME Term SOFR + 1.31%), 5.22%, <br> 07/15/31<sup>(a)(b)</sup><br>|  | 76 | 75524 |
| &nbsp;&nbsp;&nbsp; Dryden 64 CLO Ltd., Series 2018-64A, Class A, <br> (3-mo. CME Term SOFR + 1.23%), 5.12%, <br> 04/18/31<sup>(a)(b)</sup><br>|  | 301 | 301180 |
| &nbsp;&nbsp;&nbsp; Dryden 65 CLO Ltd., Series 2018-65A, Class B, <br> (3-mo. CME Term SOFR + 1.86%), 5.75%, <br> 07/18/30<sup>(a)(b)</sup><br>|  | 500 | 501753 |
| &nbsp;&nbsp;&nbsp; Dryden 68 CLO Ltd., Series 2019-68A, Class ARR, <br> (3-mo. CME Term SOFR + 1.10%), 5.01%, <br> 07/15/35<sup>(a)(b)</sup><br>|  | 500 | 499910 |
| &nbsp;&nbsp;&nbsp; Dryden 72 CLO Ltd., Series 2019-72A, Class ARR, <br> (3-mo. CME Term SOFR + 1.10%), 4.95%, <br> 05/15/32<sup>(a)(b)</sup><br>|  | 305 | 304620 |
| &nbsp;&nbsp;&nbsp; Dryden 76 CLO Ltd., Series 2019-76A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.37%), <br> 5.28%, 10/15/37<sup>(a)(b)</sup><br>|  | 870 | 873246 |
| &nbsp;&nbsp;&nbsp; Dryden 87 CLO Ltd., Series 2021-87A, Class BR, <br> (3-mo. CME Term SOFR + 1.75%), 5.64%, <br> 08/20/38<sup>(a)(b)</sup><br>|  | 1680 | 1687234 |
| &nbsp;&nbsp;&nbsp; Dryden 93 CLO Ltd., Series 2021-93A, Class BR, <br> (3-mo. CME Term SOFR + 1.70%), 5.61%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 670 | 672528 |
| &nbsp;&nbsp;&nbsp; Dryden 98 CLO Ltd., Series 2022-98A, Class A, <br> (3-mo. CME Term SOFR + 1.30%), 5.18%, <br> 04/20/35<sup>(a)(b)</sup><br>|  | 1310 | 1310652 |
| Eaton Vance CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class AR4, (3-mo. CME Term <br> SOFR + 1.34%), 5.25%, 10/15/38<sup>(a)(b)</sup><br>|  | 2110 | 2117006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1RA, Class A2, (3-mo. CME Term <br> SOFR + 1.75%), 5.66%, 07/15/30<sup>(a)(b)</sup><br>|  | 174 | 173732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class AR2, (3-mo. CME Term <br> SOFR + 1.38%), 5.29%, 10/15/37<sup>(a)(b)</sup><br>|  | 650 | 652390 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. <br> 1 LLC, Series 2019-A, Class A, 3.58%, <br> 11/25/38<sup>(a)</sup><br>|  | 303 | 299893 |
| EDvestinU Private Education Loan Issue No. 3 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup> |  | 154 | 144405 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 3.50%, 11/25/50<sup>(a)</sup> |  | 1200 | 1025811 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. <br> 4 LLC, Series 2022-A, Class A, 5.25%, <br> 11/25/40<sup>(a)</sup><br>|  | 723 | 723608 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Elevation CLO Ltd., Series 2018-10A, Class BR, <br> (3-mo. CME Term SOFR + 1.20%), 5.08%, <br> 10/20/31<sup>(a)(b)</sup><br>| USD  | 1680 | $1679725 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 19 Ltd., Series 2022-6A, Class AR2, <br> (3-mo. CME Term SOFR + 1.24%), 5.15%, <br> 10/17/38<sup>(a)(b)</sup><br>|  | 1220 | 1222559 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 24 Ltd., Series 2023-3A, Class AR, <br> (3-mo. CME Term SOFR + 1.32%), 5.20%, <br> 01/17/38<sup>(a)(b)</sup><br>|  | 8314 | 8346583 |
| Elmwood CLO 27 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class B, (3-mo. CME Term <br> SOFR + 1.95%), 5.83%, 04/18/37<sup>(a)(b)</sup><br>|  | 1210 | 1214998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class D, (3-mo. CME Term <br> SOFR + 3.45%), 7.33%, 04/18/37<sup>(a)(b)</sup><br>|  | 250 | 250251 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 29 Ltd., Series 2024-5A, Class AR1, <br> (3-mo. CME Term SOFR + 1.52%), 5.40%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 4250 | 4264639 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 30 Ltd., Series 2024-6A, Class A, <br> (3-mo. CME Term SOFR + 1.43%), 5.31%, <br> 07/17/37<sup>(a)(b)</sup><br>|  | 1700 | 1704532 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 36 Ltd., Series 2024-12RA, <br> Class AR, (3-mo. CME Term SOFR + 1.34%), <br> 5.22%, 10/20/37<sup>(a)(b)</sup><br>|  | 1483 | 1489171 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 38 Ltd., Series 2025-1A, Class A, <br> (3-mo. CME Term SOFR + 1.15%), 5.01%, <br> 04/22/38<sup>(a)(b)</sup><br>|  | 2230 | 2227580 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO 39 Ltd., Series 2025-2A, Class A1, <br> (3-mo. CME Term SOFR + 1.14%), 5.02%, <br> 04/17/38<sup>(a)(b)</sup><br>|  | 4500 | 4494779 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.52%), 5.40%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 640 | 642212 |
| Elmwood CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.35%), 5.23%, 10/20/37<sup>(a)(b)</sup><br>|  | 4920 | 4937051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BRR, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 10/20/37<sup>(a)(b)</sup><br>|  | 900 | 903283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D1RR, (3-mo. CME Term <br> SOFR + 3.05%), 6.93%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 250904 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO III Ltd., Series 2019-3A, Class BRR, <br> (3-mo. CME Term SOFR + 1.70%), 5.58%, <br> 07/18/37<sup>(a)(b)</sup><br>|  | 1080 | 1083869 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO IV Ltd., Series 2020-1A, Class DR, <br> (3-mo. CME Term SOFR + 3.35%), 7.23%, <br> 04/18/37<sup>(a)(b)</sup><br>|  | 1000 | 1000624 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VI Ltd., Series 2020-3A, Class ARR, <br> (3-mo. CME Term SOFR + 1.38%), 5.26%, <br> 07/18/37<sup>(a)(b)</sup><br>|  | 2394 | 2403183 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VII Ltd., Series 2020-4A, <br> Class A1RR, (3-mo. CME Term SOFR + 1.36%), <br> 5.24%, 10/17/37<sup>(a)(b)</sup><br>|  | 1210 | 1214303 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO VIII Ltd., Series 2021-1A, Class FR, <br> (3-mo. CME Term SOFR + 8.00%), 11.88%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 250 | 229272 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO XII Ltd., Series 2021-5A, Class AR, <br> (3-mo. CME Term SOFR + 1.36%), 5.27%, <br> 10/15/37<sup>(a)(b)</sup><br>|  | 1788 | 1794370 |
| &nbsp;&nbsp;&nbsp; FBR Securitization Trust, Series 2005-5, Class M2, <br> (1-mo. CME Term SOFR + 0.82%), 4.55%, <br> 11/25/35<sup>(b)</sup><br>|  | 1413 | 1404442 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| FIGRE Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SL1, Class A1, 5.75%, <br> 07/25/53<sup>(a)(b)</sup><br>| USD  | 6885 | $6999271 |
| &nbsp;&nbsp;&nbsp; Series 2025-HE7, Class A, 5.15%, 11/25/55<sup>(a)(b)</sup> |  | 2842 | 2849911 |
| First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF16, Class 2A3, (1-mo. CME Term <br> SOFR + 0.39%), 4.13%, 12/25/36<sup>(b)</sup><br>|  | 426 | 171713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF17, Class A5, (1-mo. CME Term <br> SOFR + 0.26%), 4.00%, 12/25/36<sup>(b)</sup><br>|  | 1230 | 1077629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FFH1, Class M2, (1-mo. CME Term <br> SOFR + 0.71%), 4.45%, 01/25/36<sup>(b)</sup><br>|  | 677 | 622606 |
| &nbsp;&nbsp;&nbsp; First NLC Trust, Series 2007-1, Class A3, (1-mo. <br> CME Term SOFR + 0.29%), 4.03%, <br> 08/25/37<sup>(a)(b)</sup><br>|  | 694 | 349006 |
| FirstKey Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class F1, 2.91%, <br> 09/17/38<sup>(a)</sup><br>|  | 5500 | 5389718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, <br> 05/19/39<sup>(a)</sup><br>|  | 4000 | 3967597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E2, 5.00%, <br> 05/19/39<sup>(a)</sup><br>|  | 2990 | 2954639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 3.50%, <br> 07/17/38<sup>(a)</sup><br>|  | 6928 | 6863685 |
| Flatiron CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME Term <br> SOFR + 1.58%), 5.46%, 10/19/37<sup>(a)(b)</sup><br>|  | 2060 | 2064623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 10/19/37<sup>(a)(b)</sup><br>|  | 1200 | 1204322 |
| Flatiron CLO 25 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, (3-mo. CME Term <br> SOFR + 1.35%), 5.23%, 10/17/37<sup>(a)(b)</sup><br>|  | 1060 | 1063684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.48%, 10/17/37<sup>(a)(b)</sup><br>|  | 650 | 651976 |
| &nbsp;&nbsp;&nbsp; FNA 8 LLC, Series 2025-1, Class A, 5.62%, <br> 03/15/45<sup>(a)(b)</sup><br>|  | 5566 | 5605264 |
| Foundation Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 2.19%, 01/15/42<sup>(a)</sup> |  | 888 | 843949 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.95%, 12/15/49<sup>(a)</sup> |  | 555 | 569342 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.93%, 03/15/50<sup>(a)</sup> |  | 950 | 953387 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.95%, 04/15/50<sup>(a)</sup> |  | 2341 | 2368823 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 5.68%, 04/15/52<sup>(a)</sup> |  | 4057 | 4054896 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class E, 8.35%, 04/15/52<sup>(a)</sup> |  | 3942 | 3984390 |
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust, Series 2006-3, <br> Class 1A1, (1-mo. CME Term SOFR + 0.39%), <br> 4.13%, 02/25/37<sup>(b)</sup><br>|  | 1668 | 1249098 |
| FS Rialto Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL9, Class A, (1-mo. CME Term <br> SOFR + 1.63%), 5.36%, 10/19/39<sup>(a)(b)</sup><br>|  | 4618 | 4611395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL10, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.12%, 08/19/42<sup>(a)(b)</sup><br>|  | 1240 | 1239466 |
| &nbsp;&nbsp;&nbsp; Galaxy 33 CLO Ltd., Series 2024-33A, Class D1, <br> (3-mo. CME Term SOFR + 3.55%), 7.43%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 1900 | 1876971 |
| &nbsp;&nbsp;&nbsp; Galaxy XXII CLO Ltd., Series 2016-22A, <br> Class ARRR, (3-mo. CME Term SOFR + 1.24%), <br> 5.13%, 04/16/34<sup>(a)(b)</sup><br>|  | 8210 | 8211899 |
| GoldenTree Loan Management U.S. CLO 11 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class AR, (3-mo. CME Term <br> SOFR + 1.08%), 4.96%, 10/20/34<sup>(a)(b)</sup><br>|  | 7920 | 7915495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class ER, (3-mo. CME Term <br> SOFR + 4.90%), 8.78%, 10/20/34<sup>(a)(b)</sup><br>|  | 1250 | 1241484 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 16 Ltd., <br> Series 2022-16A, Class ARR, (3-mo. CME Term <br> SOFR + 1.12%), 5.00%, 01/20/38<sup>(a)(b)</sup><br>| USD  | 2690 | $2687587 |
| GoldenTree Loan Management U.S. CLO 23 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class A, (3-mo. CME Term <br> SOFR + 1.27%), 5.15%, 01/20/39<sup>(a)(b)</sup><br>|  | 1540 | 1543297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.48%, 01/20/39<sup>(a)(b)</sup><br>|  | 2470 | 2477669 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 25 Ltd., <br> Series 2025-25A, Class A, (3-mo. CME Term <br> SOFR + 1.32%), 5.20%, 04/20/37<sup>(a)(b)</sup><br>|  | 1840 | 1846235 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 26 Ltd., <br> Series 2025-26A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.92%, 07/20/38<sup>(a)(b)</sup><br>|  | 4750 | 4769057 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management U.S. CLO 9 Ltd., <br> Series 2021-9R, Class DR, (3-mo. CME Term <br> SOFR + 3.35%), 7.23%, 04/20/37<sup>(a)(b)</sup><br>|  | 750 | 752566 |
| Goldman Home Improvement Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-GRN2, Class B, 1.97%, 06/25/51<sup>(a)</sup> |  | 1421 | 1373198 |
| &nbsp;&nbsp;&nbsp; Series 2022-GRN2, Class A, 6.80%, 10/25/52<sup>(a)</sup> |  | 517 | 530682 |
| Golub Capital Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-17A, Class A1RR, (3-mo. CME <br> Term SOFR + 1.47%), 5.34%, 02/09/39<sup>(a)(b)</sup><br>|  | 8730 | 8737550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-19RA, Class A1R3, (3-mo. CME <br> Term SOFR + 1.15%), 5.04%, 10/20/36<sup>(a)(b)</sup><br>|  | 5810 | 5809634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-43A, Class A1R, (3-mo. CME Term <br> SOFR + 1.34%), 5.22%, 10/20/37<sup>(a)(b)</sup><br>|  | 1970 | 1977579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-44A, Class A1R, (3-mo. CME Term <br> SOFR + 1.57%), 5.44%, 10/21/38<sup>(a)(b)</sup><br>|  | 11970 | 11970461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-48A, Class A1R, (3-mo. CME Term <br> SOFR + 1.31%), 5.19%, 04/17/38<sup>(a)(b)</sup><br>|  | 1900 | 1906261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-50A, Class BR2, (3-mo. CME Term <br> SOFR + 1.50%), 5.38%, 04/20/35<sup>(a)(b)</sup><br>|  | 2660 | 2662792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-52A, Class BR, (3-mo. CME Term <br> SOFR + 2.00%), 5.88%, 04/20/37<sup>(a)(b)</sup><br>|  | 2000 | 2009287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-53A, Class AR, (3-mo. CME Term <br> SOFR + 0.98%), 4.86%, 07/20/34<sup>(a)(b)</sup><br>|  | 9900 | 9891203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-64A, Class AR, (3-mo. CME Term <br> SOFR + 1.36%), 5.22%, 10/25/37<sup>(a)(b)</sup><br>|  | 500 | 501655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-66A, Class AR, (3-mo. CME Term <br> SOFR + 1.45%), 5.31%, 07/25/38<sup>(a)(b)</sup><br>|  | 290 | 290983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-71A, Class A, (3-mo. CME Term <br> SOFR + 1.95%), 5.82%, 02/09/37<sup>(a)(b)</sup><br>|  | 6000 | 6011855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class A1, (3-mo. CME Term <br> SOFR + 1.37%), 5.23%, 10/25/37<sup>(a)(b)</sup><br>|  | 790 | 792874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class B, (3-mo. CME Term <br> SOFR + 1.67%), 5.53%, 10/25/37<sup>(a)(b)</sup><br>|  | 560 | 561232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class D1, (3-mo. CME Term <br> SOFR + 2.90%), 6.76%, 10/25/37<sup>(a)(b)</sup><br>|  | 490 | 489278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-77A, Class A1, (3-mo. CME Term <br> SOFR + 1.25%), 5.11%, 01/25/38<sup>(a)(b)</sup><br>|  | 472 | 472830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-78A, Class A1, (3-mo. CME Term <br> SOFR + 1.38%), 5.25%, 04/21/39<sup>(a)(b)</sup><br>|  | 575 | 575000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-81A, Class A1, (3-mo. CME Term <br> SOFR + 1.31%), 5.64%, 07/20/38<sup>(a)(b)</sup><br>|  | 250 | 250822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-83A, Class A1, (3-mo. CME Term <br> SOFR + 1.40%), 5.24%, 11/09/38<sup>(a)(b)</sup><br>|  | 2000 | 2001330 |
| &nbsp;&nbsp;&nbsp; Golub Capital Partners Static Ltd., Series 2024-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.12%), <br> 5.45%, 07/20/35<sup>(a)(b)</sup><br>|  | 250 | 250255 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Golub Capital Private Credit Fund CLO 2, <br> Series 2025-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.47%), 5.35%, 10/18/39<sup>(a)(b)</sup><br>| USD  | 9570 | $9571006 |
| GoodLeap Home Improvement Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.35%, 10/20/46<sup>(a)</sup> |  | 9415 | 9535790 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.38%, 02/20/49<sup>(a)</sup> |  | 8131 | 8244953 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 6.27%, 02/20/49<sup>(a)</sup> |  | 1847 | 1873019 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 5.32%, 06/20/49<sup>(a)</sup> |  | 7265 | 7342389 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 5.00%, 10/20/49<sup>(a)</sup> |  | 14048 | 14080987 |
| &nbsp;&nbsp;&nbsp; GoodLeap Sustainable Home Solutions Trust, <br> Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup><br>|  | 1119 | 930848 |
| &nbsp;&nbsp;&nbsp; Gracie Point International Funding LLC, <br> Series 2024-1A, Class A, (SOFR (90-day) + <br> 1.70%), 5.89%, 03/01/28<sup>(a)(b)</sup><br>|  | 4053 | 4056060 |
| &nbsp;&nbsp;&nbsp; Great Lakes CLO IX Ltd., Series 2025-9A, <br> Class A1, (3-mo. CME Term SOFR + 1.55%), <br> 5.37%, 01/15/39<sup>(a)(b)</sup><br>|  | 4000 | 4003940 |
| GreenSky Home Improvement Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A4, 5.67%, 06/25/59<sup>(a)</sup> |  | 3964 | 4062351 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.87%, 06/25/59<sup>(a)</sup> |  | 632 | 645972 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A4, 5.15%, 10/27/59<sup>(a)</sup> |  | 1298 | 1319087 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 5.26%, 10/27/59<sup>(a)</sup> |  | 1628 | 1649499 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class C, 5.26%, 06/25/60<sup>(a)</sup> |  | 5586 | 5633637 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 5.56%, 06/25/60<sup>(a)</sup> |  | 5959 | 6006209 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class E, 7.79%, 06/25/60<sup>(a)</sup> |  | 1828 | 1858290 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class A3, 4.52%, 12/27/60<sup>(a)</sup> |  | 5027 | 5038677 |
| GSAA Home Equity Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14, Class 1A2, (1-mo. CME Term <br> SOFR + 0.81%), 4.55%, 12/25/35<sup>(b)</sup><br>|  | 283 | 126983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class A3A, (1-mo. CME Term <br> SOFR + 0.61%), 4.35%, 09/25/36<sup>(b)</sup><br>|  | 4395 | 1281040 |
| &nbsp;&nbsp;&nbsp; Series 2006-18, Class AF3A, 5.77%, 11/25/36<sup>(b)</sup> |  | 1311 | 350922 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 4.12%, 03/25/36<sup>(b)</sup> |  | 632 | 435656 |
| &nbsp;&nbsp;&nbsp; Series 2007-2, Class AF3, 5.92%, 03/25/37<sup>(b)</sup> |  | 24 | 4141 |
| GSAMP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class M1, (1-mo. CME Term <br> SOFR + 0.56%), 4.30%, 06/25/36<sup>(b)</sup><br>|  | 2900 | 2544477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class A1B, (1-mo. CME Term <br> SOFR + 0.51%), 4.25%, 01/25/47<sup>(b)</sup><br>|  | 9 | 4386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M5, (1-mo. CME Term <br> SOFR + 3.49%), 7.22%, 02/25/37<sup>(b)</sup><br>|  | 3418 | 3420760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M7, (1-mo. CME Term <br> SOFR + 3.49%), 7.22%, 02/25/37<sup>(b)</sup><br>|  | 3000 | 2844751 |
| &nbsp;&nbsp;&nbsp; GT Loan Financing I Ltd., Series 2013-1A, <br> Class AR2, (3-mo. CME Term SOFR + 1.22%), <br> 5.08%, 04/28/39<sup>(a)(b)</sup><br>|  | 2645 | 2646972 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 4 Ltd., Series 2021-4A, Class A, <br> (3-mo. CME Term SOFR + 1.48%), 5.37%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 920 | 920486 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 6 Ltd., Series 2022-6A, <br> Class A1R, (3-mo. CME Term SOFR + 1.35%), <br> 5.23%, 01/20/38<sup>(a)(b)</sup><br>|  | 1000 | 1003392 |
| &nbsp;&nbsp;&nbsp; Halseypoint CLO 7 Ltd., Series 2023-7A, <br> Class A1R, (3-mo. CME Term SOFR + 1.45%), <br> 5.33%, 07/20/38<sup>(a)(b)</sup><br>|  | 250 | 250844 |
| &nbsp;&nbsp;&nbsp; Hartwick Park CLO Ltd., Series 2023-1A, <br> Class BR, (3-mo. CME Term SOFR + 1.55%), <br> 5.43%, 01/20/37<sup>(a)(b)</sup><br>|  | 2000 | 2003916 |
| &nbsp;&nbsp;&nbsp; Higley Park CLO Ltd., Series 2025-1A, Class B1, <br> (3-mo. CME Term SOFR + 1.65%), 5.52%, <br> 07/24/38<sup>(a)(b)</sup><br>|  | 3000 | 3012037 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Home Efficiency Trust, Series 2024, Class A, <br> 0.00%, 12/31/54<sup>(a)(e)</sup><br>| USD  | 5717 | $5971693 |
| &nbsp;&nbsp;&nbsp; Home Equity Asset Trust, Series 2006-3, Class M2, <br> (1-mo. CME Term SOFR + 0.71%), 4.45%, <br> 07/25/36<sup>(b)</sup><br>|  | 280 | 268350 |
| &nbsp;&nbsp;&nbsp; Home Equity Mortgage Loan Asset-Backed Trust, <br> Series 2004-A, Class M2, (1-mo. CME Term <br> SOFR + 2.14%), 3.51%, 07/25/34<sup>(b)</sup><br>|  | 11 | 10538 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust, Series 2021-2, <br> Class F, 3.80%, 12/17/26<sup>(a)</sup><br>|  | 5757 | 5642606 |
| Huntington Bank Auto Credit-Linked Notes |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B2, (SOFR (30-day) + <br> 1.40%), 5.32%, 05/20/32<sup>(a)(b)</sup><br>|  | 5301 | 5315803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class B2, (SOFR (30-day) + <br> 1.20%), 5.12%, 09/20/33<sup>(a)(b)</sup><br>|  | 3550 | 3555425 |
| Invesco CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, (3-mo. CME Term <br> SOFR + 1.80%), 5.68%, 04/20/35<sup>(a)(b)</sup><br>|  | 980 | 982899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.31%), 5.22%, 07/15/38<sup>(a)(b)</sup><br>|  | 970 | 973121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.66%, 07/15/38<sup>(a)(b)</sup><br>|  | 5000 | 5021282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4A, Class A1, (3-mo. CME Term <br> SOFR + 1.33%), 5.24%, 01/15/38<sup>(a)(b)</sup><br>|  | 298 | 299054 |
| JPMorgan Mortgage Acquisition Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CH1, Class M7, (1-mo. CME Term <br> SOFR + 1.31%), 5.05%, 07/25/36<sup>(b)</sup><br>|  | 3498 | 3212417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-CH1, Class MF1, 4.42%, <br> 11/25/36<sup>(c)</sup><br>|  | 100 | 103535 |
| &nbsp;&nbsp;&nbsp; Kennedy Lewis CLO 13 Ltd., Series 2023-13A, <br> Class A1, (3-mo. CME Term SOFR + 1.80%), <br> 5.67%, 01/20/37<sup>(a)(b)</sup><br>|  | 1360 | 1360546 |
| &nbsp;&nbsp;&nbsp; Kennedy Lewis CLO 19 Ltd., Series 2025-19A, <br> Class A, (3-mo. CME Term SOFR + 1.25%), <br> 5.11%, 04/22/36<sup>(a)(b)</sup><br>|  | 250 | 250281 |
| &nbsp;&nbsp;&nbsp; Kennedy Lewis CLO 20 Ltd., Series 2024-20A, <br> Class B, (3-mo. CME Term SOFR + 1.70%), <br> 5.56%, 01/25/38<sup>(a)(b)</sup><br>|  | 1930 | 1936541 |
| &nbsp;&nbsp;&nbsp; Kennedy Lewis CLO 7 Ltd., Series 7A, Class A1R, <br> (3-mo. CME Term SOFR + 1.62%), 5.48%, <br> 04/22/37<sup>(a)(b)</sup><br>|  | 8525 | 8555937 |
| &nbsp;&nbsp;&nbsp; Kennedy Lewis CLO 8 Ltd., Series 8A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.38%), 5.26%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 4990 | 5008048 |
| &nbsp;&nbsp;&nbsp; KeyCorp Student Loan Trust, Series 2004-A, <br> Class 2D, (3-mo. CME Term SOFR + 1.51%), <br> 5.37%, 07/28/42<sup>(b)</sup><br>|  | 1666 | 1609213 |
| KKR CLO 17 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 17, Class AR, (3-mo. CME Term SOFR + <br> 1.34%), 5.25%, 04/15/34<sup>(a)(b)</sup><br>|  | 500 | 500809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 17, Class BR, (3-mo. CME Term SOFR + <br> 1.86%), 5.77%, 04/15/34<sup>(a)(b)</sup><br>|  | 580 | 581057 |
| &nbsp;&nbsp;&nbsp; KKR CLO 18 Ltd., Series 18, Class A1R2, (3-mo. <br> CME Term SOFR + 1.05%), 5.19%, <br> 10/18/35<sup>(a)(b)</sup><br>|  | 4980 | 4956248 |
| &nbsp;&nbsp;&nbsp; KKR CLO 21 Ltd., Series 21, Class A, (3-mo. CME <br> Term SOFR + 1.26%), 5.17%, 04/15/31<sup>(a)(b)</sup><br>|  | 183 | 183256 |
| &nbsp;&nbsp;&nbsp; KKR CLO 26 Ltd., Series 26, Class ARR, (3-mo. <br> CME Term SOFR + 1.10%), 5.01%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 1250 | 1250390 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; KKR CLO 28 Ltd., Series 28A, Class AR2, (3-mo. <br> CME Term SOFR + 1.12%), 4.99%, <br> 02/09/35<sup>(a)(b)</sup><br>| USD  | 2310 | $2309643 |
| &nbsp;&nbsp;&nbsp; KKR CLO 30 Ltd., Series 30A, Class BR2, (3-mo. <br> CME Term SOFR + 1.85%), 5.73%, <br> 04/17/37<sup>(a)(b)</sup><br>|  | 1670 | 1674801 |
| &nbsp;&nbsp;&nbsp; KKR CLO 34 Ltd., Series 34A, Class AR, (3-mo. <br> CME Term SOFR + 1.10%), 5.01%, <br> 07/15/34<sup>(a)(b)</sup><br>|  | 4550 | 4546584 |
| &nbsp;&nbsp;&nbsp; KKR CLO 35 Ltd., Series 35A, Class AR, (3-mo. <br> CME Term SOFR + 1.20%), 5.08%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1000 | 1000001 |
| &nbsp;&nbsp;&nbsp; KKR CLO 48 Ltd., Series 48A, Class AR, (3-mo. <br> CME Term SOFR + 1.28%), 5.16%, <br> 10/20/38<sup>(a)(b)</sup><br>|  | 1010 | 1012549 |
| &nbsp;&nbsp;&nbsp; KKR CLO 54 Ltd., Series 2024-54A, Class A, (3-<br> mo. CME Term SOFR + 1.32%), 5.23%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 930 | 933358 |
| &nbsp;&nbsp;&nbsp; LCM 29 Ltd., Series 29A, Class AR, (3-mo. CME <br> Term SOFR + 1.33%), 5.24%, 04/15/31<sup>(a)(b)</sup><br>|  | 997 | 996678 |
| &nbsp;&nbsp;&nbsp; LCM 31 Ltd., Series 31A, Class AR, (3-mo. CME <br> Term SOFR + 1.28%), 5.16%, 07/20/34<sup>(a)(b)</sup><br>|  | 3350 | 3352458 |
| LCM 34 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 34A, Class A1R, (3-mo. CME Term SOFR <br> + 1.18%), 5.06%, 10/20/34<sup>(a)(b)</sup><br>|  | 2430 | 2430295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 34A, Class BR, (3-mo. CME Term SOFR <br> + 1.70%), 5.58%, 10/20/34<sup>(a)(b)</sup><br>|  | 1300 | 1302083 |
| &nbsp;&nbsp;&nbsp; LCM 35 Ltd., Series 35A, Class BR, (3-mo. CME <br> Term SOFR + 1.65%), 5.56%, 10/15/34<sup>(a)(b)</sup><br>|  | 3000 | 3006135 |
| &nbsp;&nbsp;&nbsp; LCM XVII LP, Series 17A, Class A1AR, (3-mo. <br> CME Term SOFR + 1.39%), 5.30%, <br> 10/15/31<sup>(a)(b)</sup><br>|  | 507 | 506967 |
| Legacy Mortgage Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class A, 3.38%, 02/25/59<sup>(a)(b)</sup> |  | 1859 | 1807854 |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class B, 0.00%, 02/25/59<sup>(a)</sup> |  | 558 | 124156 |
| &nbsp;&nbsp;&nbsp; Series 2019-SL2, Class M, 4.25%, 02/25/59<sup>(a)(b)</sup> |  | 696 | 647851 |
| &nbsp;&nbsp;&nbsp; Lehman ABS Manufactured Housing Contract <br> Trust, Series 2002-A, Class C, 0.00%, 06/15/33<br>|  | 329 | 330045 |
| &nbsp;&nbsp;&nbsp; Lehman ABS Mortgage Loan Trust, Series 2007-1, <br> Class 2A1, (1-mo. CME Term SOFR + 0.20%), <br> 3.94%, 06/25/37<sup>(a)(b)</sup><br>|  | 69 | 45894 |
| LendingClub Rated Notes Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class A, 5.54%, 06/16/31<sup>(a)</sup> |  | 7293 | 7334894 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class B, 5.92%, 06/16/31<sup>(a)</sup> |  | 655 | 660806 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class C, 6.56%, 06/16/31<sup>(a)</sup> |  | 1509 | 1524840 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class D, 6.79%, 06/16/31<sup>(a)</sup> |  | 612 | 619013 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class E, 9.28%, 06/16/31<sup>(a)</sup> |  | 1194 | 1207593 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class F, 13.31%, 06/16/38<sup>(a)</sup> |  | 456 | 461580 |
| &nbsp;&nbsp;&nbsp; Series 2025-P1, Class R, 0.00%, 07/16/40<sup>(a)</sup> |  | 158 | 433125 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class A, 5.20%, 02/15/35<sup>(a)</sup> |  | 6897 | 6943016 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class B, 5.59%, 04/15/35<sup>(a)</sup> |  | 379 | 381396 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class C, 6.25%, 09/15/35<sup>(a)</sup> |  | 762 | 766675 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class D, 6.47%, 12/15/35<sup>(a)</sup> |  | 305 | 306464 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class E, 8.99%, 07/15/36<sup>(a)</sup> |  | 488 | 490209 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class F, 13.02%, 01/15/37<sup>(a)</sup> |  | 244 | 245217 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class R, 0.00%, 03/15/45<sup>(a)</sup> |  | 106 | 249791 |
| &nbsp;&nbsp;&nbsp; LendingClub Structured Loan Certificate Issuer <br> Trust, Series 2025-P16, Class A, 5.19%, <br> 12/15/32<sup>(a)</sup><br>|  | 2300 | 2306496 |
| Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.47%, 11/20/31<sup>(a)</sup> |  | 1525 | 1462642 |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.37%, 04/20/32<sup>(a)</sup> |  | 4630 | 4369814 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, 4.46%, 04/20/32<sup>(a)</sup> | USD  | 3500 | $3245300 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.88%, 06/21/32<sup>(a)</sup> |  | 1205 | 1222330 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.40%, 06/21/32<sup>(a)</sup> |  | 2447 | 2487274 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class D, 7.21%, 06/21/32<sup>(a)</sup> |  | 5550 | 5654682 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.86%, 02/21/34<sup>(a)</sup> |  | 935 | 939346 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.25%, 02/21/34<sup>(a)</sup> |  | 1905 | 1918574 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class D, 5.69%, 02/21/34<sup>(a)</sup> |  | 2948 | 2956559 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.94%, 09/20/34<sup>(a)</sup> |  | 5984 | 6051114 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class C, 5.68%, 09/20/34<sup>(a)</sup> |  | 4474 | 4551398 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 4.51%, 05/21/35<sup>(a)</sup> |  | 8085 | 8082577 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class B, 4.83%, 05/21/35<sup>(a)</sup> |  | 1336 | 1333334 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 5.04%, 05/21/35<sup>(a)</sup> |  | 4372 | 4352670 |
| &nbsp;&nbsp;&nbsp; LMRE Trust, Series 2025-SFR1, Class A, 4.50%, <br> 12/17/42<sup>(a)</sup><br>|  | 3010 | 2937124 |
| Loanpal Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2GF, Class A, 2.75%, 07/20/47<sup>(a)</sup> |  | 711 | 606114 |
| &nbsp;&nbsp;&nbsp; Series 2021-2GS, Class A, 2.22%, 03/20/48<sup>(a)</sup> |  | 2750 | 2237590 |
| Long Beach Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A, (1-mo. CME Term <br> SOFR + 0.47%), 4.21%, 03/25/46<sup>(b)</sup><br>|  | 508 | 448230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A3, (1-mo. CME Term <br> SOFR + 0.41%), 4.15%, 06/25/36<sup>(b)</sup><br>|  | 2906 | 1366048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A3, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 08/25/36<sup>(b)</sup><br>|  | 5230 | 2068052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A4, (1-mo. CME Term <br> SOFR + 0.59%), 4.33%, 08/25/36<sup>(b)</sup><br>|  | 1207 | 478111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9, Class 2A3, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 10/25/36<sup>(b)</sup><br>|  | 1892 | 583844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WL3, Class 2A4, (1-mo. CME Term <br> SOFR + 0.71%), 4.45%, 01/25/36<sup>(b)</sup><br>|  | 2634 | 2403090 |
| Lyra Music Assets Delaware LP |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-2A, Class A2, 5.76%, 12/22/64<sup>(a)</sup> |  | 5554 | 5619508 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 5.60%, 09/20/65<sup>(a)</sup> |  | 2074 | 2090961 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LIX Ltd., Series 2021-59A, <br> Class A1R, (3-mo. CME Term SOFR + 1.50%), <br> 5.38%, 04/18/37<sup>(a)(b)</sup><br>|  | 270 | 270828 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LVII Ltd., Series 2022-57A, <br> Class A1R, (3-mo. CME Term SOFR + 1.28%), <br> 5.14%, 07/27/34<sup>(a)(b)</sup><br>|  | 4550 | 4550014 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXVII Ltd., Series 2024-<br> 67A, Class B, (3-mo. CME Term SOFR + <br> 2.05%), 5.91%, 04/25/37<sup>(a)(b)</sup><br>|  | 4230 | 4240794 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXXI Ltd., Series 2025-71A, <br> Class A1, (3-mo. CME Term SOFR + 1.14%), <br> 5.00%, 04/23/38<sup>(a)(b)</sup><br>|  | 7910 | 7899502 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding LXXIII Ltd., Series 2025-<br> 73A, Class B, (3-mo. CME Term SOFR + <br> 1.70%), 5.66%, 10/17/38<sup>(a)(b)</sup><br>|  | 250 | 250747 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XIX Ltd., Series 2015-19A, <br> Class AR3, (3-mo. CME Term SOFR + 1.60%), <br> 5.46%, 01/22/37<sup>(a)(b)</sup><br>|  | 330 | 330264 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XL-R Ltd., Series 2025-<br> 40RA, Class A, (3-mo. CME Term SOFR + <br> 1.29%), 5.25%, 10/16/38<sup>(a)(b)</sup><br>|  | 2340 | 2346084 |
| Madison Park Funding XXIV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-24A, Class BR2, (3-mo. CME Term <br> SOFR + 1.55%), 5.43%, 10/20/29<sup>(a)(b)</sup><br>|  | 693 | 693074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-24A, Class CR2, (3-mo. CME Term <br> SOFR + 2.05%), 5.93%, 10/20/29<sup>(a)(b)</sup><br>|  | 1000 | 1002569 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Madison Park Funding XXX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-30A, Class A1R, (3-mo. CME Term <br> SOFR + 1.36%), 5.25%, 07/16/37<sup>(a)(b)</sup><br>| USD  | 4410 | $4424773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-30A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.64%, 07/16/37<sup>(a)(b)</sup><br>|  | 710 | 712772 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXI Ltd., Series 2018-31A, <br> Class B1R, (3-mo. CME Term SOFR + 1.80%), <br> 5.66%, 07/23/37<sup>(a)(b)</sup><br>|  | 510 | 512179 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXIII Ltd., Series 2019-<br> 33A, Class AR, (3-mo. CME Term SOFR + <br> 1.29%), 5.20%, 10/15/32<sup>(a)(b)</sup><br>|  | 3606 | 3609605 |
| Madison Park Funding XXXV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-35A, Class BR, (3-mo. CME Term <br> SOFR + 1.66%), 5.55%, 04/20/32<sup>(a)(b)</sup><br>|  | 720 | 721036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-35A, Class CR, (3-mo. CME Term <br> SOFR + 2.16%), 6.05%, 04/20/32<sup>(a)(b)</sup><br>|  | 1500 | 1503758 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding XXXVII Ltd., Series 2019-<br> 37A, Class AR2, (3-mo. CME Term SOFR + <br> 1.53%), 5.44%, 04/15/37<sup>(a)(b)</sup><br>|  | 570 | 572009 |
| Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 03/20/36<sup>(a)</sup> |  | 700 | 689181 |
| &nbsp;&nbsp;&nbsp; Series 2021-AA, Class B, 2.33%, 03/20/36<sup>(a)</sup> |  | 1620 | 1572334 |
| &nbsp;&nbsp;&nbsp; Series 2021-AA, Class C, 2.96%, 03/20/36<sup>(a)</sup> |  | 2850 | 2761258 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 2.66%, 11/20/36<sup>(a)</sup> |  | 4403 | 4196170 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class E, 4.68%, 11/20/36<sup>(a)</sup> |  | 3620 | 3407440 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class A, 5.13%, 09/22/36<sup>(a)</sup> |  | 4126 | 4180942 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class D, 6.77%, 09/22/36<sup>(a)</sup> |  | 1969 | 2017060 |
| &nbsp;&nbsp;&nbsp; Series 2024-AA, Class E, 9.02%, 09/22/36<sup>(a)</sup> |  | 2800 | 2891979 |
| &nbsp;&nbsp;&nbsp; Series 2024-BA, Class A, 4.91%, 11/20/38<sup>(a)</sup> |  | 10404 | 10549212 |
| &nbsp;&nbsp;&nbsp; Series 2024-BA, Class D, 6.36%, 11/20/38<sup>(a)</sup> |  | 1083 | 1108963 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class A, 4.98%, 05/20/38<sup>(a)</sup> |  | 9101 | 9216599 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class B, 5.33%, 05/20/38<sup>(a)</sup> |  | 1224 | 1240191 |
| &nbsp;&nbsp;&nbsp; Series 2025-AA, Class C, 5.69%, 05/20/38<sup>(a)</sup> |  | 3732 | 3790814 |
| &nbsp;&nbsp;&nbsp; Series 2025-BA, Class A, 4.59%, 11/22/38<sup>(a)</sup> |  | 6752 | 6773625 |
| MASTR Asset-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-WF1, Class M8, (1-mo. CME Term <br> SOFR + 1.97%), 5.71%, 06/25/35<sup>(b)</sup><br>|  | 1119 | 1164585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AM2, Class A4, (1-mo. CME Term <br> SOFR + 0.63%), 4.37%, 06/25/36<sup>(a)(b)</sup><br>|  | 208 | 196597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WMC2, Class A4, (1-mo. CME <br> Term SOFR + 0.41%), 4.15%, 04/25/36<sup>(b)</sup><br>|  | 3160 | 635171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A4, (1-mo. CME Term <br> SOFR + 0.67%), 4.41%, 05/25/37<sup>(b)</sup><br>|  | 83 | 72071 |
| &nbsp;&nbsp;&nbsp; MASTR Specialized Loan Trust, Series 2006-3, <br> Class A, (1-mo. CME Term SOFR + 0.63%), <br> 4.37%, 06/25/46<sup>(a)(b)</sup><br>|  | 9 | 8300 |
| &nbsp;&nbsp;&nbsp; MERIT Securities Corp., Series 13, Class M2, <br> 7.88%, 12/28/33<sup>(c)</sup><br>|  | 835 | 823408 |
| Merrill Lynch First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A2C, (1-mo. CME Term <br> SOFR + 0.59%), 4.33%, 05/25/37<sup>(b)</sup><br>|  | 872 | 639683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class 1A2, (1-mo. CME Term <br> SOFR + 3.61%), 7.35%, 10/25/37<sup>(b)</sup><br>|  | 2016 | 1978643 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, <br> Series 2006-OPT1, Class M1, (1-mo. CME Term <br> SOFR + 0.50%), 4.24%, 08/25/37<sup>(b)</sup><br>|  | 1764 | 1743879 |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL10, Class A, (1-mo. CME Term <br> SOFR + 2.64%), 6.37%, 09/17/37<sup>(a)(b)</sup><br>|  | 349 | 348886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL9, Class A, (1-mo. CME Term <br> SOFR + 2.15%), 5.88%, 06/19/37<sup>(a)(b)</sup><br>|  | 2353 | 2353442 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; MFA Trust, Series 2024-NPL1, Class A1, 6.33%, <br> 09/25/54<sup>(a)(c)</sup><br>| USD  | 5005 | $5011807 |
| &nbsp;&nbsp;&nbsp; MidOcean Credit CLO XII Ltd., Series 2023-12A, <br> Class A1RR, (3-mo. CME Term SOFR + 1.34%), <br> 5.22%, 07/18/38<sup>(a)(b)</sup><br>|  | 12690 | 12729325 |
| &nbsp;&nbsp;&nbsp; Milford Park CLO Ltd., Series 2022-1A, Class AR, <br> (3-mo. CME Term SOFR + 1.16%), 5.04%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 2680 | 2678609 |
| Mill City Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 4.34%, 03/20/43<sup>(a)</sup> |  | 825 | 777076 |
| &nbsp;&nbsp;&nbsp; Series 2019-2GS, Class A, 3.69%, 07/20/43<sup>(a)</sup> |  | 1430 | 1303750 |
| Milos CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.33%), 5.22%, 10/20/30<sup>(a)(b)</sup><br>|  | 283 | 282524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.81%), 5.70%, 10/20/30<sup>(a)(b)</sup><br>|  | 250 | 250054 |
| Morgan Stanley ABS Capital I, Inc. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE8, Class A2FP, (1-mo. CME <br> Term SOFR + 0.18%), 3.92%, 10/25/36<sup>(b)</sup><br>|  | 1251 | 547452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC1, Class A2D, (1-mo. CME Term <br> SOFR + 0.33%), 4.07%, 11/25/36<sup>(b)</sup><br>|  | 4649 | 2219939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA1, Class 2A1, (1-mo. CME <br> Term SOFR + 3.91%), 7.65%, 02/25/47<sup>(a)(b)</sup><br>|  | 22 | 21469 |
| Morgan Stanley Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A4, 6.51%, 10/25/36<sup>(c)</sup> |  | 2266 | 478031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A6A, 6.23%, <br> 10/25/36<sup>(c)</sup><br>|  | 555 | 145028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16AX, Class 2A3, (1-mo. CME <br> Term SOFR + 0.61%), 4.35%, 11/25/36<sup>(b)</sup><br>|  | 588 | 161122 |
| Mosaic Solar Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-2GS, Class A, 4.20%, 02/22/44<sup>(a)</sup> |  | 726 | 681999 |
| &nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 4.37%, 12/21/43<sup>(a)</sup> |  | 1115 | 1054814 |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.88%, 09/20/40<sup>(a)</sup> |  | 195 | 173403 |
| &nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 2.21%, 08/20/46<sup>(a)</sup> |  | 978 | 815068 |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.05%, 12/20/46<sup>(a)</sup> |  | 285 | 230081 |
| &nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.09%, 04/22/47<sup>(a)</sup> |  | 2714 | 2118297 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.32%, 06/20/53<sup>(a)</sup> |  | 198 | 188555 |
| &nbsp;&nbsp;&nbsp; Nationstar Home Equity Loan Trust, Series 2007-B, <br> Class M1, (1-mo. CME Term SOFR + 0.73%), <br> 4.46%, 04/25/37<sup>(b)</sup><br>|  | 380 | 363265 |
| &nbsp;&nbsp;&nbsp; Navient Education Loan Trust, Series 2025-A, <br> Class D, 6.03%, 07/15/55<sup>(a)</sup><br>|  | 1410 | 1420864 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-DA, Class A2A, 4.00%, 12/15/59<sup>(a)</sup> |  | 366 | 364502 |
| &nbsp;&nbsp;&nbsp; Series 2019-D, Class A2A, 3.01%, 12/15/59<sup>(a)</sup> |  | 1528 | 1492888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CA, Class A2B, (1-mo. CME Term <br> SOFR + 1.71%), 5.47%, 11/15/68<sup>(a)(b)</sup><br>|  | 1568 | 1580616 |
| &nbsp;&nbsp;&nbsp; Series 2020-IA, Class B, 2.95%, 04/15/69<sup>(a)</sup> |  | 1880 | 1636346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class A, (Prime Rate + <br> (1.99)%), 4.76%, 04/15/60<sup>(a)(b)</sup><br>|  | 365 | 361635 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.61%, 04/15/60<sup>(a)</sup> |  | 522 | 470328 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.48%, 04/15/60<sup>(a)</sup> |  | 2459 | 2308163 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.66%, 10/15/72<sup>(a)</sup> |  | 7128 | 7304078 |
| Navient Refinance Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-B, Class A, 4.72%, 09/15/55<sup>(a)</sup> |  | 6545 | 6550250 |
| &nbsp;&nbsp;&nbsp; Series 2025-C, Class A, 4.80%, 10/15/55<sup>(a)</sup> |  | 4582 | 4591155 |
| &nbsp;&nbsp;&nbsp; Navient Student Loan Trust, Series 2019-BA, <br> Class A2A, 3.39%, 12/15/59<sup>(a)</sup><br>|  | 582 | 573981 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A1, (1-mo. CME Term <br> SOFR + 0.91%), 4.65%, 04/20/62<sup>(a)(b)</sup><br>|  | 735 | 733996 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2, (1-mo. CME Term <br> SOFR + 1.14%), 4.88%, 04/20/62<sup>(a)(b)</sup><br>| USD  | 2680 | $2681327 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup> |  | 1094 | 1033957 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B1, 2.85%, 04/20/62<sup>(a)</sup> |  | 1979 | 1777309 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class B2, 2.85%, 04/20/62<sup>(a)</sup> |  | 1640 | 1472858 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 3.75%, 04/20/62<sup>(a)</sup> |  | 124 | 110505 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 4.93%, 04/20/62<sup>(a)</sup> |  | 735 | 675543 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class B, 2.68%, 04/20/62<sup>(a)</sup> |  | 8450 | 7591051 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 3.57%, 04/20/62<sup>(a)</sup> |  | 386 | 342474 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class D, 4.75%, 04/20/62<sup>(a)</sup> |  | 8380 | 7611223 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class B, 2.53%, 04/20/62<sup>(a)</sup> |  | 5370 | 4719528 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class C, 3.36%, 04/20/62<sup>(a)</sup> |  | 2770 | 2413045 |
| &nbsp;&nbsp;&nbsp; Series 2021-CA, Class D, 4.44%, 04/20/62<sup>(a)</sup> |  | 5590 | 4966932 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.90%, 04/20/62<sup>(a)</sup> |  | 5408 | 4882505 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.50%, 04/20/62<sup>(a)</sup> |  | 2700 | 2356490 |
| &nbsp;&nbsp;&nbsp; Series 2021-DA, Class D, 4.38%, 04/20/62<sup>(a)</sup> |  | 680 | 597038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-PL1A, Class A1A, (SOFR (30-day) <br> + 2.25%), 6.12%, 11/25/53<sup>(a)(b)</sup><br>|  | 1372 | 1390229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class A1B, (SOFR (30-day) + <br> 1.10%), 5.08%, 03/15/57<sup>(a)(b)</sup><br>|  | 10315 | 10277028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BA, Class A1B, (SOFR (30-day) + <br> 1.35%), 5.33%, 05/17/55<sup>(a)(b)</sup><br>|  | 14140 | 14234183 |
| &nbsp;&nbsp;&nbsp; Series 2025-BA, Class B, 4.98%, 05/17/55<sup>(a)</sup> |  | 7080 | 7093337 |
| &nbsp;&nbsp;&nbsp; Series 2025-BA, Class C, 5.38%, 05/17/55<sup>(a)</sup> |  | 4045 | 4057493 |
| &nbsp;&nbsp;&nbsp; Series 2025-BA, Class D, 6.04%, 05/17/55<sup>(a)</sup> |  | 3646 | 3639534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CA, Class A1B, (SOFR (30-day) + <br> 1.35%), 5.27%, 06/22/65<sup>(a)(b)</sup><br>|  | 7132 | 7181844 |
| &nbsp;&nbsp;&nbsp; Series 2025-CA, Class D, 5.82%, 06/22/65<sup>(a)</sup> |  | 4242 | 4184248 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XVII Ltd., Series 2014-<br> 17A, Class AR3, (3-mo. CME Term SOFR + <br> 1.40%), 5.26%, 07/22/38<sup>(a)(b)</sup><br>|  | 500 | 501733 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO XXI Ltd., Series 2016-<br> 21A, Class A1R3, (3-mo. CME Term SOFR + <br> 1.32%), 5.20%, 01/20/39<sup>(a)(b)</sup><br>|  | 6990 | 7017191 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 34 Ltd., <br> Series 2019-34A, Class BR2, (3-mo. CME Term <br> SOFR + 1.65%), 5.53%, 07/20/39<sup>(a)(b)</sup><br>|  | 5500 | 5518272 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 36R Ltd., <br> Series 2020-36RA, Class A, (3-mo. CME Term <br> SOFR + 1.27%), 5.55%, 07/20/39<sup>(a)(b)</sup><br>|  | 11757 | 11788740 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 46 Ltd., <br> Series 2021-46A, Class BR, (3-mo. CME Term <br> SOFR + 1.50%), 5.38%, 01/20/37<sup>(a)(b)</sup><br>|  | 1220 | 1222001 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 2 Ltd., Series CLO-2A, <br> Class A1R, (3-mo. CME Term SOFR + 1.36%), <br> 5.27%, 01/15/38<sup>(a)(b)</sup><br>|  | 3120 | 3131425 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 3 Ltd., Series CLO-3A, <br> Class A1R, (3-mo. CME Term SOFR + 1.33%), <br> 5.21%, 10/20/38<sup>(a)(b)</sup><br>|  | 1430 | 1433973 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 7 Ltd., Series CLO-7A, <br> Class A1, (3-mo. CME Term SOFR + 1.20%), <br> 5.08%, 03/31/38<sup>(a)(b)</sup><br>|  | 1000 | 999894 |
| &nbsp;&nbsp;&nbsp; New Mountain CLO 8 Ltd., Series CLO-8A, <br> Class A1, (3-mo. CME Term SOFR + 1.27%), <br> 5.13%, 10/20/38<sup>(a)(b)</sup><br>|  | 940 | 942288 |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.44%, 02/17/39<sup>(a)</sup> |  | 502 | 491352 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class F, 4.00%, 09/04/39<sup>(a)</sup> |  | 3692 | 3582952 |
| &nbsp;&nbsp;&nbsp; Newark BSL CLO 2 Ltd., Series 2017-1A, <br> Class A2R, (3-mo. CME Term SOFR + 1.66%), <br> 5.52%, 07/25/30<sup>(a)(b)</sup><br>|  | 440 | 440050 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan <br> Trust, Series 2006-S5, Class A1, (1-mo. CME <br> Term SOFR + 0.51%), 4.25%, 10/25/36<sup>(a)(b)</sup><br>| USD  | 82 | $166415 |
| &nbsp;&nbsp;&nbsp; NovaStar Mortgage Funding Trust, Series 2006-5, <br> Class A2D, (1-mo. CME Term SOFR + 0.59%), <br> 4.33%, 11/25/36<sup>(b)</sup><br>|  | 3579 | 1078539 |
| &nbsp;&nbsp;&nbsp; Oak Hill Credit Partners X-R Ltd., Series 2014-<br> 10RA, Class AR2, (3-mo. CME Term SOFR + <br> 1.13%), 5.01%, 04/20/38<sup>(a)(b)</sup><br>|  | 2290 | 2286671 |
| Oaktree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BRR, (3-mo. CME Term <br> SOFR + 1.55%), 5.46%, 01/15/38<sup>(a)(b)</sup><br>|  | 820 | 821402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class AR, (3-mo. CME Term <br> SOFR + 0.97%), 4.88%, 01/15/35<sup>(a)(b)</sup><br>|  | 1950 | 1947078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class A2, (3-mo. CME Term <br> SOFR + 1.57%), 5.43%, 10/22/37<sup>(a)(b)</sup><br>|  | 610 | 612425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class D1, (3-mo. CME Term <br> SOFR + 3.00%), 6.86%, 10/22/37<sup>(a)(b)</sup><br>|  | 320 | 319193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-31A, Class A, (3-mo. CME Term <br> SOFR + 1.32%), 5.60%, 07/15/38<sup>(a)(b)</sup><br>|  | 1300 | 1304157 |
| Oakwood Mortgage Investors, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 1999-C, Class A2, 7.48%, 08/15/27 |  | 1198 | 865175 |
| &nbsp;&nbsp;&nbsp; Series 2001-D, Class A2, 5.26%, 01/15/19<sup>(b)</sup> |  | 22 | 6984 |
| &nbsp;&nbsp;&nbsp; Series 2002-A, Class M1, 7.76%, 03/15/32<sup>(b)</sup> |  | 1330 | 1354754 |
| &nbsp;&nbsp;&nbsp; Series 2002-C, Class M1, 6.89%, 11/15/32<sup>(b)</sup> |  | 1390 | 1402355 |
| OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-10A, Class AR3, (3-mo. CME Term <br> SOFR + 1.31%), 5.17%, 01/26/38<sup>(a)(b)</sup><br>|  | 4000 | 4014084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class A1R3, (3-mo. CME <br> Term SOFR + 1.37%), 5.25%, 10/18/37<sup>(a)(b)</sup><br>|  | 2500 | 2509080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class BAR3, (3-mo. CME <br> Term SOFR + 1.68%), 5.56%, 10/18/37<sup>(a)(b)</sup><br>|  | 5360 | 5375963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class AR2, (3-mo. CME Term <br> SOFR + 1.34%), 5.21%, 11/26/37<sup>(a)(b)</sup><br>|  | 9329 | 9364683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class B1R2, (3-mo. CME <br> Term SOFR + 1.70%), 5.57%, 11/26/37<sup>(a)(b)</sup><br>|  | 430 | 431434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class X, (3-mo. CME Term <br> SOFR + 1.10%), 4.97%, 11/26/37<sup>(a)(b)</sup><br>|  | 623 | 622502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15A, Class AR, (3-mo. CME Term <br> SOFR + 1.25%), 5.13%, 01/20/38<sup>(a)(b)</sup><br>|  | 4500 | 4508900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-16A, Class AR, (3-mo. CME Term <br> SOFR + 1.26%), 5.19%, 04/10/33<sup>(a)(b)</sup><br>|  | 1127 | 1127336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17A, Class AR2, (3-mo. CME Term <br> SOFR + 1.40%), 5.28%, 07/20/37<sup>(a)(b)</sup><br>|  | 1680 | 1685846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class D1R2, (3-mo. CME <br> Term SOFR + 3.10%), 6.98%, 07/20/37<sup>(a)(b)</sup><br>|  | 360 | 358996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-19A, Class D1R2, (3-mo. CME <br> Term SOFR + 2.70%), 6.58%, 04/20/38<sup>(a)(b)</sup><br>|  | 970 | 972803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class B1R, (3-mo. CME Term <br> SOFR + 1.95%), 5.83%, 04/18/37<sup>(a)(b)</sup><br>|  | 370 | 371067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class AR2, (3-mo. CME Term <br> SOFR + 1.22%), 5.10%, 10/17/38<sup>(a)(b)</sup><br>|  | 3025 | 3029836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class B1R2, (3-mo. CME <br> Term SOFR + 1.55%), 5.43%, 10/17/38<sup>(a)(b)</sup><br>|  | 730 | 731698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class CR2, (3-mo. CME Term <br> SOFR + 1.80%), 5.68%, 10/17/38<sup>(a)(b)</sup><br>|  | 250 | 250708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-21A, Class AR, (3-mo. CME Term <br> SOFR + 1.18%), 5.06%, 01/20/38<sup>(a)(b)</sup><br>|  | 1500 | 1499400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-22A, Class AR, (3-mo. CME Term <br> SOFR + 1.35%), 5.23%, 10/20/37<sup>(a)(b)</sup><br>|  | 1820 | 1827766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-22A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 10/20/37<sup>(a)(b)</sup><br>|  | 340 | 341137 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-34A, Class D1, (3-mo. CME Term <br> SOFR + 2.90%), 6.81%, 10/15/37<sup>(a)(b)</sup><br>| USD  | 410 | $409750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-36A, Class B1, (3-mo. CME Term <br> SOFR + 1.70%), 5.59%, 10/16/37<sup>(a)(b)</sup><br>|  | 2973 | 2982886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class A1, (3-mo. CME Term <br> SOFR + 1.36%), 5.27%, 10/15/37<sup>(a)(b)</sup><br>|  | 2180 | 2187894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class B1, (3-mo. CME Term <br> SOFR + 1.68%), 5.59%, 10/15/37<sup>(a)(b)</sup><br>|  | 2180 | 2186598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-38A, Class A, (3-mo. CME Term <br> SOFR + 1.33%), 5.20%, 01/21/38<sup>(a)(b)</sup><br>|  | 590 | 592236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-42A, Class A, (3-mo. CME Term <br> SOFR + 1.25%), 5.58%, 05/21/38<sup>(a)(b)</sup><br>|  | 1990 | 1994922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-44A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.91%, 10/24/38<sup>(a)(b)</sup><br>|  | 3000 | 3007804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-45A, Class A, (3-mo. CME Term <br> SOFR + 1.23%), 5.10%, 10/15/38<sup>(a)(b)</sup><br>|  | 1240 | 1242033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-46A, Class A, (3-mo. CME Term <br> SOFR + 1.20%), 5.05%, 10/15/38<sup>(a)(b)</sup><br>|  | 2180 | 2182952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-46A, Class C, (3-mo. CME Term <br> SOFR + 1.70%), 5.55%, 10/15/38<sup>(a)(b)</sup><br>|  | 1340 | 1341133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-46A, Class D1, (3-mo. CME Term <br> SOFR + 2.45%), 6.30%, 10/15/38<sup>(a)(b)</sup><br>|  | 890 | 906414 |
| &nbsp;&nbsp;&nbsp; Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. <br> CME Term SOFR + 1.91%), 5.82%, <br> 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250475 |
| &nbsp;&nbsp;&nbsp; Octagon 75 Ltd., Series 2025-1A, Class A1, (3-mo. <br> CME Term SOFR + 1.20%), 5.06%, <br> 01/22/38<sup>(a)(b)</sup><br>|  | 1000 | 999905 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners 18-R Ltd., <br> Series 2018-18A, Class A1A, (3-mo. CME Term <br> SOFR + 1.22%), 5.12%, 04/16/31<sup>(a)(b)</sup><br>|  | 201 | 201319 |
| Octagon Investment Partners 39 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class AR, (3-mo. CME Term <br> SOFR + 1.15%), 5.03%, 10/20/30<sup>(a)(b)</sup><br>|  | 307 | 307330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 5.68%, 10/20/30<sup>(a)(b)</sup><br>|  | 5640 | 5641228 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 10-R Ltd., Series 2021-10RA, <br> Class A1, (3-mo. CME Term SOFR + 1.26%), <br> 5.54%, 07/18/37<sup>(a)(b)</sup><br>|  | 3190 | 3193247 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 17 Ltd., Series 2024-17A, <br> Class A, (3-mo. CME Term SOFR + 1.48%), <br> 5.36%, 04/20/37<sup>(a)(b)</sup><br>|  | 2140 | 2147578 |
| OHA Credit Funding 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR2, (3-mo. CME Term <br> SOFR + 1.24%), 5.11%, 01/21/38<sup>(a)(b)</sup><br>|  | 2610 | 2615467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class B1R2, (3-mo. CME Term <br> SOFR + 1.55%), 5.42%, 01/21/38<sup>(a)(b)</sup><br>|  | 250 | 250930 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 4 Ltd., Series 2019-4A, <br> Class AR2, (3-mo. CME Term SOFR + 1.29%), <br> 5.15%, 01/22/38<sup>(a)(b)</sup><br>|  | 670 | 672086 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 5 Ltd., Series 2020-5A, <br> Class B1R, (3-mo. CME Term SOFR + 1.70%), <br> 5.58%, 10/18/37<sup>(a)(b)</sup><br>|  | 2600 | 2611697 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 6 Ltd., Series 2020-6A, <br> Class AR2, (3-mo. CME Term SOFR + 1.33%), <br> 5.21%, 10/20/37<sup>(a)(b)</sup><br>|  | 670 | 672714 |
| &nbsp;&nbsp;&nbsp; OHA Credit Funding 7 Ltd., Series 2020-7A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.28%), <br> 5.16%, 07/19/38<sup>(a)(b)</sup><br>|  | 7459 | 7479806 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OHA Credit Funding 9 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class A1R, (3-mo. CME Term <br> SOFR + 1.35%), 5.23%, 10/19/37<sup>(a)(b)</sup><br>| USD  | 3890 | $3903506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class B1R, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 10/19/37<sup>(a)(b)</sup><br>|  | 1890 | 1898683 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners VII Ltd., Series 2012-7A, <br> Class AR4, (3-mo. CME Term SOFR + 1.14%), <br> 5.03%, 02/20/38<sup>(a)(b)</sup><br>|  | 690 | 688997 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XI Ltd., Series 2015-11A, <br> Class A1R2, (3-mo. CME Term SOFR + 1.46%), <br> 5.34%, 04/20/37<sup>(a)(b)</sup><br>|  | 3845 | 3858979 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XVI, Series 2021-16A, <br> Class AR, (3-mo. CME Term SOFR + 1.35%), <br> 5.23%, 10/18/37<sup>(a)(b)</sup><br>|  | 5340 | 5358919 |
| OHA Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class AR2, (3-mo. CME Term <br> SOFR + 1.22%), 5.35%, 10/20/38<sup>(a)(b)</sup><br>|  | 16515 | 16525693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class A1R4, (3-mo. CME Term <br> SOFR + 1.25%), 5.13%, 10/19/38<sup>(a)(b)</sup><br>|  | 1360 | 1363390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.46%), 5.34%, 07/20/37<sup>(a)(b)</sup><br>|  | 2640 | 2648754 |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.95%, 06/16/36<sup>(a)</sup> |  | 4700 | 4449959 |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 2.22%, 06/16/36<sup>(a)</sup> |  | 4680 | 4403123 |
| &nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.52%, 09/15/36<sup>(a)</sup> |  | 1720 | 1781948 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.79%, 05/14/41<sup>(a)</sup> |  | 10618 | 11155252 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class D, 5.79%, 07/14/38<sup>(a)</sup> |  | 1842 | 1863828 |
| Option One Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class M3, (1-mo. CME Term <br> SOFR + 0.85%), 4.58%, 11/25/35<sup>(b)</sup><br>|  | 460 | 405946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 1A1, 5.87%, <br> 01/25/37<sup>(c)</sup><br>|  | 3747 | 3230431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 2A1, 5.87%, <br> 01/25/37<sup>(c)</sup><br>|  | 2168 | 1886231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 3A4, 5.86%, <br> 01/25/37<sup>(c)</sup><br>|  | 138 | 136224 |
| Orchard Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.24%, 10/20/37<sup>(a)(b)</sup><br>|  | 14850 | 14904396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B1, (3-mo. CME Term <br> SOFR + 1.70%), 5.58%, 10/20/37<sup>(a)(b)</sup><br>|  | 1340 | 1344849 |
| &nbsp;&nbsp;&nbsp; Origen Manufactured Housing Contract Trust, <br> Series 2007-B, Class A1, (1-mo. CME Term <br> SOFR + 1.31%), 5.07%, 10/15/37<sup>(a)(b)</sup><br>|  | 123 | 122336 |
| &nbsp;&nbsp;&nbsp; Orion CLO Ltd., Series 2023-1A, Class A1R, (3-mo. <br> CME Term SOFR + 1.22%), 5.13%, <br> 10/25/38<sup>(a)(b)</sup><br>|  | 11060 | 11077571 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO III Ltd., Series 2020-3A, Class AR, <br> (3-mo. CME Term SOFR + 1.85%), 5.73%, <br> 04/20/36<sup>(a)(b)</sup><br>|  | 1110 | 1111688 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO V LLC, Series 2020-5A, Class A1R, <br> (3-mo. CME Term SOFR + 1.78%), 5.66%, <br> 04/20/34<sup>(a)(b)</sup><br>|  | 1350 | 1350184 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO VII LLC, Series 2022-7A, Class AR, <br> (3-mo. CME Term SOFR + 1.40%), 5.28%, <br> 04/20/38<sup>(a)(b)</sup><br>|  | 460 | 459201 |
| &nbsp;&nbsp;&nbsp; Owl Rock CLO XVIII LLC, Series 2024-18A, <br> Class A, (3-mo. CME Term SOFR + 1.70%), <br> 5.57%, 07/24/36<sup>(a)(b)</sup><br>|  | 2990 | 2982952 |
| &nbsp;&nbsp;&nbsp; OZLM Funding II Ltd., Series 2012-2A, Class AR4, <br> (3-mo. CME Term SOFR + 1.20%), 5.04%, <br> 07/30/37<sup>(a)(b)</sup><br>|  | 2530 | 2531771 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; OZLM XIX Ltd., Series 2017-19A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.35%), 5.26%, <br> 01/15/35<sup>(a)(b)</sup><br>| USD  | 3540 | $3541622 |
| &nbsp;&nbsp;&nbsp; OZLM XVIII Ltd., Series 2018-18A, Class B, (3-mo. <br> CME Term SOFR + 1.81%), 5.72%, <br> 04/15/31<sup>(a)(b)</sup><br>|  | 2650 | 2653962 |
| &nbsp;&nbsp;&nbsp; OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. <br> CME Term SOFR + 1.76%), 5.64%, <br> 01/17/31<sup>(a)(b)</sup><br>|  | 359 | 359114 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust, <br> Series 2023-1, Class F, 3.60%, 10/25/40<sup>(a)</sup><br>|  | 1000 | 853375 |
| Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.25%), 5.10%, 08/14/38<sup>(a)(b)</sup><br>|  | 1450 | 1453495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME Term <br> SOFR + 1.32%), 5.23%, 07/15/38<sup>(a)(b)</sup><br>|  | 660 | 662433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.61%, 07/15/38<sup>(a)(b)</sup><br>|  | 1740 | 1743175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1R, (3-mo. CME Term <br> SOFR + 1.35%), 5.23%, 07/20/37<sup>(a)(b)</sup><br>|  | 1480 | 1485117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class B1R, (3-mo. CME Term <br> SOFR + 1.60%), 5.48%, 07/20/37<sup>(a)(b)</sup><br>|  | 250 | 250742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D1R, (3-mo. CME Term <br> SOFR + 2.95%), 6.83%, 07/20/37<sup>(a)(b)</sup><br>|  | 450 | 449653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.25%), 5.13%, 01/20/38<sup>(a)(b)</sup><br>|  | 2000 | 2004305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.53%, 07/20/37<sup>(a)(b)</sup><br>|  | 2300 | 2306742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class A, (3-mo. CME Term <br> SOFR + 1.27%), 5.23%, 10/20/38<sup>(a)(b)</sup><br>|  | 1980 | 1985178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class B, (3-mo. CME Term <br> SOFR + 1.60%), 5.56%, 10/20/38<sup>(a)(b)</sup><br>|  | 2660 | 2666119 |
| Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1BR, (3-mo. CME Term <br> SOFR + 1.40%), 5.31%, 04/15/31<sup>(a)(b)</sup><br>|  | 250 | 249993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A2R, (3-mo. CME Term <br> SOFR + 1.60%), 5.51%, 04/15/31<sup>(a)(b)</sup><br>|  | 10380 | 10395399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class BR, (3-mo. CME Term <br> SOFR + 2.00%), 5.91%, 04/15/31<sup>(a)(b)</sup><br>|  | 2880 | 2881645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.45%), 5.36%, 10/15/32<sup>(a)(b)</sup><br>|  | 1150 | 1150937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.80%), 5.71%, 10/15/32<sup>(a)(b)</sup><br>|  | 530 | 530859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A2, (3-mo. CME Term <br> SOFR + 1.65%), 5.52%, 08/08/32<sup>(a)(b)</sup><br>|  | 1870 | 1874591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A1, (3-mo. CME Term <br> SOFR + 0.95%), 4.66%, 01/15/34<sup>(a)(b)</sup><br>|  | 7930 | 7928558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, (3-mo. CME Term <br> SOFR + 2.40%), 6.11%, 01/15/34<sup>(a)(b)</sup><br>|  | 440 | 441174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class D, (3-mo. CME Term <br> SOFR + 4.40%), 8.11%, 01/15/34<sup>(a)(b)</sup><br>|  | 480 | 479924 |
| Park Blue CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.42%), 5.30%, 07/20/37<sup>(a)(b)</sup><br>|  | 430 | 431585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 5.68%, 07/20/37<sup>(a)(b)</sup><br>|  | 500 | 501483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class A1, (3-mo. CME Term <br> SOFR + 1.34%), 5.20%, 01/25/38<sup>(a)(b)</sup><br>|  | 1420 | 1425511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-10A, Class A1, (3-mo. CME Term <br> SOFR + 1.28%), 4.95%, 01/20/39<sup>(a)(b)</sup><br>|  | 5840 | 5840000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-10A, Class D1, (3-mo. CME Term <br> SOFR + 2.90%), 6.57%, 01/20/39<sup>(a)(b)</sup><br>|  | 1260 | 1260000 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Park Blue CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-7A, Class A1, (3-mo. CME Term <br> SOFR + 1.22%), 5.08%, 04/25/38<sup>(a)(b)</sup><br>| USD  | 4500 | $4506937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-8A, Class A1, (3-mo. CME Term <br> SOFR + 1.31%), 5.26%, 10/25/38<sup>(a)(b)</sup><br>|  | 1050 | 1052090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-9A, Class A1, (3-mo. CME Term <br> SOFR + 1.35%), 5.43%, 10/20/38<sup>(a)(b)</sup><br>|  | 6250 | 6268184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-9A, Class C, (3-mo. CME Term <br> SOFR + 2.00%), 6.08%, 10/20/38<sup>(a)(b)</sup><br>|  | 3250 | 3265204 |
| &nbsp;&nbsp;&nbsp; PFS Financing Corp., Series 2022-E, Class B, <br> 5.54%, 10/30/26<sup>(a)(e)</sup><br>|  | 9000 | 9050400 |
| &nbsp;&nbsp;&nbsp; Pikes Peak CLO 12 Ltd., Series 2023-12A, <br> Class AR, (3-mo. CME Term SOFR + 1.22%), <br> 5.10%, 04/20/38<sup>(a)(b)</sup><br>|  | 500 | 500814 |
| &nbsp;&nbsp;&nbsp; Pikes Peak CLO 15 Ltd., Series 2023-15A, <br> Class AR, (3-mo. CME Term SOFR + 1.22%), <br> 5.10%, 10/20/38<sup>(a)(b)</sup><br>|  | 1040 | 1041582 |
| &nbsp;&nbsp;&nbsp; Planet Fitness Master Issuer LLC, Series 2025-1A, <br> Class A2II, 5.65%, 12/06/55<sup>(a)</sup><br>|  | 6430 | 6427584 |
| &nbsp;&nbsp;&nbsp; Point Au Roche Park CLO Ltd., Series 2021-1A, <br> Class A, (3-mo. CME Term SOFR + 1.34%), <br> 5.23%, 07/20/34<sup>(a)(b)</sup><br>|  | 580 | 580538 |
| &nbsp;&nbsp;&nbsp; Point Broadband & Funding LLC, Series 2025-1A, <br> Class C, 8.16%, 07/20/55<sup>(a)</sup><br>|  | 8114 | 8282540 |
| &nbsp;&nbsp;&nbsp; Popular ABS Mortgage Pass-Through Trust, <br> Series 2006-B, Class M1, (1-mo. CME Term <br> SOFR + 0.65%), 4.39%, 05/25/36<sup>(b)</sup><br>|  | 2613 | 2504744 |
| Post CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.30%), 5.16%, 10/20/38<sup>(a)(b)</sup><br>|  | 2020 | 2025546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.56%, 10/20/38<sup>(a)(b)</sup><br>|  | 2250 | 2258274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D1R, (3-mo. CME Term <br> SOFR + 2.85%), 6.71%, 10/20/38<sup>(a)(b)</sup><br>|  | 1420 | 1429681 |
| &nbsp;&nbsp;&nbsp; Post CLO VI Ltd., Series 2024-2A, Class A1, (3-<br> mo. CME Term SOFR + 1.42%), 5.30%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 2000 | 2008154 |
| Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, (1-mo. CME Term <br> SOFR + 2.61%), 6.34%, 07/25/51<sup>(a)(b)</sup><br>|  | 475 | 472713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, (1-mo. CME Term <br> SOFR + 3.86%), 7.59%, 07/25/51<sup>(a)(b)</sup><br>|  | 475 | 472659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (1-mo. CME Term <br> SOFR + 6.01%), 9.74%, 07/25/51<sup>(a)(b)</sup><br>|  | 355 | 354718 |
| Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class E2, 3.67%, <br> 12/17/40<sup>(a)</sup><br>|  | 824 | 792736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class F, 4.61%, <br> 12/17/40<sup>(a)</sup><br>|  | 3330 | 3278842 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR5, Class F, 3.16%, 07/17/38<sup>(a)</sup> |  | 1808 | 1786203 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class F, 3.42%, 07/17/38<sup>(a)</sup> |  | 3577 | 3542083 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class F, 3.18%, 10/17/38<sup>(a)</sup> |  | 4500 | 4431694 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR9, Class F, 4.05%, 11/17/40<sup>(a)</sup> |  | 2400 | 2323306 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.88%, 02/17/41<sup>(a)</sup> |  | 5000 | 4880019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E1, 3.40%, <br> 04/17/41<sup>(a)(b)</sup><br>|  | 2000 | 1878580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E2, 3.65%, <br> 04/17/41<sup>(a)(b)</sup><br>|  | 2000 | 1883152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class E1, 3.33%, <br> 07/17/41<sup>(a)</sup><br>|  | 5640 | 5265732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class E2, 3.40%, <br> 07/17/41<sup>(a)</sup><br>|  | 5000 | 4646100 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; QTS Issuer ABS II LLC, Series 2025-1A, Class A2, <br> 5.04%, 10/05/55<sup>(a)</sup><br>| USD  | 7517 | $7450676 |
| &nbsp;&nbsp;&nbsp; Quest Trust, Series 2004-X2, Class M3, (1-mo. <br> CME Term SOFR + 3.34%), 7.07%, <br> 06/25/34<sup>(a)(b)</sup><br>|  | 2031 | 1868287 |
| &nbsp;&nbsp;&nbsp; RAAC Trust, Series 2006-SP3, Class M3, (1-mo. <br> CME Term SOFR + 1.46%), 5.20%, 08/25/36<sup>(b)</sup><br>|  | 1662 | 1730117 |
| &nbsp;&nbsp;&nbsp; Rad CLO 14 Ltd., Series 2021-14A, Class A, (3-<br> mo. CME Term SOFR + 1.43%), 5.34%, <br> 01/15/35<sup>(a)(b)</sup><br>|  | 4550 | 4554553 |
| &nbsp;&nbsp;&nbsp; Rad CLO 15 Ltd., Series 2021-15A, Class A1AR, <br> (3-mo. CME Term SOFR + 1.36%), 5.24%, <br> 07/20/40<sup>(a)(b)</sup><br>|  | 2930 | 2940831 |
| &nbsp;&nbsp;&nbsp; Rad CLO 18 Ltd., Series 2023-18A, Class A1R, <br> (3-mo. CME Term SOFR + 1.40%), 5.31%, <br> 07/15/37<sup>(a)(b)</sup><br>|  | 250 | 250679 |
| Rad CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-21A, Class A1R, (3-mo. CME Term <br> SOFR + 1.07%), 4.93%, 01/25/37<sup>(a)(b)</sup><br>|  | 4140 | 4133890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-21A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.41%, 01/25/37<sup>(a)(b)</sup><br>|  | 2000 | 2003939 |
| &nbsp;&nbsp;&nbsp; Rad CLO 23 Ltd., Series 2024-23A, Class B1, (3-<br> mo. CME Term SOFR + 2.05%), 5.93%, <br> 04/20/37<sup>(a)(b)</sup><br>|  | 1090 | 1094850 |
| &nbsp;&nbsp;&nbsp; Rad CLO 27 Ltd., Series 2024-27A, Class A1, (3-<br> mo. CME Term SOFR + 1.32%), 5.23%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 6320 | 6343188 |
| &nbsp;&nbsp;&nbsp; Rad CLO 6 Ltd., Series 2019-6A, Class A1R, (3-<br> mo. CME Term SOFR + 1.39%), 5.27%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 4670 | 4687507 |
| &nbsp;&nbsp;&nbsp; RAMP Trust, Series 2007-RS1, Class A4, (1-mo. <br> CME Term SOFR + 0.67%), 4.41%, 02/25/37<sup>(b)</sup><br>|  | 2074 | 474225 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2024-CES2, <br> Class B2, 9.58%, 04/25/44<sup>(a)(b)</sup><br>|  | 737 | 757711 |
| &nbsp;&nbsp;&nbsp; Regatta 30 Funding Ltd., Series 2024-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.32%), <br> 5.18%, 01/25/38<sup>(a)(b)</sup><br>|  | 6150 | 6169491 |
| &nbsp;&nbsp;&nbsp; Regatta 31 Funding Ltd., Series 2025-1A, <br> Class A2, (3-mo. CME Term SOFR + 1.60%), <br> 5.46%, 03/25/38<sup>(a)(b)</sup><br>|  | 1630 | 1635300 |
| &nbsp;&nbsp;&nbsp; Regatta 32 Funding Ltd., Series 2025-4A, <br> Class A1, (3-mo. CME Term SOFR + 1.34%), <br> 5.44%, 07/25/38<sup>(a)(b)</sup><br>|  | 2900 | 2911039 |
| &nbsp;&nbsp;&nbsp; Regatta 35 Funding Ltd., Series 2025-5A, <br> Class A1, (3-mo. CME Term SOFR + 1.29%), <br> 5.58%, 10/15/38<sup>(a)(b)</sup><br>|  | 8200 | 8223623 |
| &nbsp;&nbsp;&nbsp; Regatta VI Funding Ltd., Series 2016-1A, <br> Class A1R3, (3-mo. CME Term SOFR + 1.25%), <br> 5.21%, 10/20/38<sup>(a)(b)</sup><br>|  | 4667 | 4678135 |
| Regatta XI Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.40%), 5.28%, 07/17/37<sup>(a)(b)</sup><br>|  | 2660 | 2668661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.63%, 07/17/37<sup>(a)(b)</sup><br>|  | 4650 | 4667849 |
| &nbsp;&nbsp;&nbsp; Regatta XII Funding Ltd., Series 2019-1A, <br> Class ARR, (3-mo. CME Term SOFR + 1.39%), <br> 5.30%, 10/15/37<sup>(a)(b)</sup><br>|  | 5370 | 5391014 |
| &nbsp;&nbsp;&nbsp; Regatta XIX Funding Ltd., Series 2022-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.24%), <br> 5.12%, 10/20/38<sup>(a)(b)</sup><br>|  | 250 | 250521 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Regatta XVI Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.70%), 5.61%, 01/15/33<sup>(a)(b)</sup><br>| USD  | 2080 | $2083637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class CR, (3-mo. CME Term <br> SOFR + 1.90%), 5.81%, 01/15/33<sup>(a)(b)</sup><br>|  | 1760 | 1764033 |
| &nbsp;&nbsp;&nbsp; Regatta XVII Funding Ltd., Series 2020-1A, <br> Class AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.29%, 10/15/37<sup>(a)(b)</sup><br>|  | 1260 | 1264813 |
| &nbsp;&nbsp;&nbsp; Regatta XXIV Funding Ltd., Series 2021-5A, <br> Class AR, (3-mo. CME Term SOFR + 1.32%), <br> 5.20%, 01/20/38<sup>(a)(b)</sup><br>|  | 1800 | 1805751 |
| &nbsp;&nbsp;&nbsp; Regatta XXV Funding Ltd., Series 2023-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.34%), <br> 5.25%, 07/15/38<sup>(a)(b)</sup><br>|  | 7650 | 7679596 |
| &nbsp;&nbsp;&nbsp; Regatta XXVII Funding Ltd., Series 2024-1A, <br> Class A1, (3-mo. CME Term SOFR + 1.53%), <br> 5.39%, 04/26/37<sup>(a)(b)</sup><br>|  | 3440 | 3452172 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 2.35%, 08/15/33<sup>(a)</sup> |  | 1098 | 1034371 |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class C, 3.23%, 08/15/33<sup>(a)</sup> |  | 820 | 774721 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 3.88%, 10/17/33<sup>(a)(e)</sup> |  | 10210 | 9980275 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 3.07%, 03/15/32<sup>(a)</sup> |  | 272 | 271922 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 3.71%, 03/15/32<sup>(a)</sup> |  | 5452 | 5429351 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class C, 4.46%, 03/15/32<sup>(a)</sup> |  | 1111 | 1106055 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 6.72%, 03/15/32<sup>(a)</sup> |  | 2072 | 2079769 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class D, 7.46%, 07/15/36<sup>(a)</sup> |  | 1637 | 1686197 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> |  | 1418 | 1429003 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.33%, 12/15/33<sup>(a)</sup> |  | 1665 | 1681363 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A, 4.59%, 11/16/37<sup>(a)</sup> |  | 9558 | 9542152 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust, <br> Series 2005-3, Class AF4, 5.64%, 11/25/35<sup>(c)</sup><br>|  | 246 | 245522 |
| Republic Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 5.23%, 12/22/31<sup>(a)</sup> |  | 3550 | 3541894 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 6.47%, 08/20/32<sup>(a)</sup> |  | 4430 | 4527081 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 7.28%, 08/20/32<sup>(a)</sup> |  | 1794 | 1847097 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class D, 9.49%, 08/20/32<sup>(a)</sup> |  | 4072 | 4184599 |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A, 4.59%, 11/20/34<sup>(a)</sup> |  | 8391 | 8418053 |
| &nbsp;&nbsp;&nbsp; Retained Vantage Data Centers Issuer LLC, <br> Series 2025-1A, Class A2A, 5.09%, 08/15/50<sup>(a)</sup><br>|  | 6258 | 6200318 |
| &nbsp;&nbsp;&nbsp; Riserva CLO Ltd., Series 2016-3A, Class AR3, <br> (3-mo. CME Term SOFR + 1.05%), 4.93%, <br> 01/18/34<sup>(a)(b)</sup><br>|  | 4610 | 4610456 |
| Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR2, (3-mo. CME Term <br> SOFR + 1.36%), 5.25%, 04/20/34<sup>(a)(b)</sup><br>|  | 500 | 500234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A, (3-mo. CME Term <br> SOFR + 1.45%), 5.34%, 10/20/30<sup>(a)(b)</sup><br>|  | 290 | 290446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class C, (3-mo. CME Term <br> SOFR + 2.06%), 5.95%, 10/20/30<sup>(a)(b)</sup><br>|  | 400 | 401119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.25%, 05/20/31<sup>(a)(b)</sup><br>|  | 301 | 301241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A, (3-mo. CME Term <br> SOFR + 1.42%), 5.31%, 10/20/31<sup>(a)(b)</sup><br>|  | 71 | 70614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term <br> SOFR + 2.06%), 5.95%, 10/20/31<sup>(a)(b)</sup><br>|  | 620 | 620595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class D, (3-mo. CME Term <br> SOFR + 3.36%), 7.25%, 10/20/31<sup>(a)(b)</sup><br>|  | 500 | 500106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class AR2, (3-mo. CME Term <br> SOFR + 1.10%), 4.98%, 04/20/34<sup>(a)(b)</sup><br>|  | 1260 | 1259601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR2, (3-mo. CME Term <br> SOFR + 1.13%), 5.02%, 08/20/32<sup>(a)(b)</sup><br>|  | 466 | 466653 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BR2, (3-mo. CME Term <br> SOFR + 1.65%), 5.54%, 08/20/32<sup>(a)(b)</sup><br>| USD  | 1750 | $1749103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.43%), 5.32%, 07/20/34<sup>(a)(b)</sup><br>|  | 3500 | 3501831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, (3-mo. CME Term <br> SOFR + 1.91%), 5.80%, 07/20/34<sup>(a)(b)</sup><br>|  | 1156 | 1156440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A1, (3-mo. CME Term <br> SOFR + 1.30%), 4.96%, 03/31/38<sup>(a)(b)</sup><br>|  | 3270 | 3269882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class D1, (3-mo. CME Term <br> SOFR + 3.17%), 6.83%, 03/31/38<sup>(a)(b)</sup><br>|  | 950 | 945201 |
| &nbsp;&nbsp;&nbsp; Romark CLO II Ltd., Series 2018-2A, Class A1R, <br> (3-mo. CME Term SOFR + 1.14%), 5.00%, <br> 07/25/31<sup>(a)(b)</sup><br>|  | 192 | 192387 |
| &nbsp;&nbsp;&nbsp; Romark CLO Ltd., Series 2017-1A, Class A1R, <br> (3-mo. CME Term SOFR + 1.29%), 5.15%, <br> 10/23/30<sup>(a)(b)</sup><br>|  | 90 | 90121 |
| &nbsp;&nbsp;&nbsp; RR 12 Ltd., Series 2020-12A, Class A2R3, (3-mo. <br> CME Term SOFR + 1.60%), 5.51%, <br> 01/15/36<sup>(a)(b)</sup><br>|  | 1210 | 1210002 |
| &nbsp;&nbsp;&nbsp; RR 19 Ltd., Series 2021-19A, Class A2R, (3-mo. <br> CME Term SOFR + 1.55%), 5.46%, <br> 04/15/40<sup>(a)(b)</sup><br>|  | 250 | 250787 |
| &nbsp;&nbsp;&nbsp; RR 28 Ltd., Series 2024-28RA, Class A1R, (3-mo. <br> CME Term SOFR + 1.55%), 5.46%, <br> 04/15/37<sup>(a)(b)</sup><br>|  | 250 | 250889 |
| &nbsp;&nbsp;&nbsp; RR 29 Ltd., Series 2024-29RA, Class A1R, (3-mo. <br> CME Term SOFR + 1.39%), 5.30%, <br> 07/15/39<sup>(a)(b)</sup><br>|  | 250 | 250995 |
| RR 32 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-32RA, Class A1R, (3-mo. CME <br> Term SOFR + 1.36%), 5.27%, 10/15/39<sup>(a)(b)</sup><br>|  | 11850 | 11891969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-32RA, Class A2R, (3-mo. CME <br> Term SOFR + 1.70%), 5.61%, 10/15/39<sup>(a)(b)</sup><br>|  | 2690 | 2700180 |
| &nbsp;&nbsp;&nbsp; RR 36 Ltd., Series 2024-36RA, Class A1R, (3-mo. <br> CME Term SOFR + 1.29%), 5.20%, <br> 01/15/40<sup>(a)(b)</sup><br>|  | 500 | 501321 |
| &nbsp;&nbsp;&nbsp; RR 41 Ltd., Series 2025-41A, Class A1A, (3-mo. <br> CME Term SOFR + 1.25%), 5.21%, <br> 10/15/40<sup>(a)(b)</sup><br>|  | 1180 | 1182836 |
| &nbsp;&nbsp;&nbsp; RR 5 Ltd., Series 2018-5A, Class A1R, (3-mo. CME <br> Term SOFR + 1.50%), 5.41%, 07/15/39<sup>(a)(b)</sup><br>|  | 880 | 882859 |
| &nbsp;&nbsp;&nbsp; RR 7 Ltd., Series 2019-7A, Class A2B, (3-mo. CME <br> Term SOFR + 1.85%), 5.76%, 01/15/37<sup>(a)(b)</sup><br>|  | 480 | 480905 |
| &nbsp;&nbsp;&nbsp; RR 8 Ltd., Series 2020-8A, Class A1A2, (3-mo. <br> CME Term SOFR + 1.23%), 4.98%, <br> 01/15/39<sup>(a)(b)</sup><br>|  | 1480 | 1482830 |
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO 10 Ltd., Series 2025-10A, <br> Class A1, (3-mo. CME Term SOFR + 1.35%), <br> 5.23%, 10/20/38<sup>(a)(b)</sup><br>|  | 13480 | 13520228 |
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO 8 Ltd., Series 2024-8A, <br> Class A1, (3-mo. CME Term SOFR + 1.39%), <br> 5.23%, 01/30/38<sup>(a)(b)</sup><br>|  | 3670 | 3683764 |
| &nbsp;&nbsp;&nbsp; Sagard-Halseypoint CLO 9 Ltd., Series 2025-9A, <br> Class A, (3-mo. CME Term SOFR + 1.29%), <br> 5.17%, 04/20/38<sup>(a)(b)</sup><br>|  | 1900 | 1904754 |
| Sandstone Peak II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.41%), 5.29%, 07/20/38<sup>(a)(b)</sup><br>|  | 3050 | 3062087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.75%), 5.63%, 07/20/38<sup>(a)(b)</sup><br>|  | 1620 | 1624055 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Sandstone Peak III Ltd., Series 2024-1A, Class A1, <br> (3-mo. CME Term SOFR + 1.63%), 5.49%, <br> 04/25/37<sup>(a)(b)</sup><br>| USD  | 1400 | $1404613 |
| Sandstone Peak IV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.29%), 4.95%, 01/20/39<sup>(a)(b)</sup><br>|  | 4630 | 4642438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class C1, (3-mo. CME Term <br> SOFR + 2.05%), 5.71%, 01/20/39<sup>(a)(b)</sup><br>|  | 1430 | 1436659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class D1, (3-mo. CME Term <br> SOFR + 3.10%), 6.76%, 01/20/39<sup>(a)(b)</sup><br>|  | 1430 | 1430649 |
| Sandstone Peak Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.28%), 5.19%, 10/15/34<sup>(a)(b)</sup><br>|  | 500 | 500018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME Term <br> SOFR + 1.68%), 5.59%, 10/15/34<sup>(a)(b)</sup><br>|  | 3360 | 3369334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B1R, (3-mo. CME Term <br> SOFR + 1.83%), 5.74%, 10/15/34<sup>(a)(b)</sup><br>|  | 1630 | 1630026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class DR, (3-mo. CME Term <br> SOFR + 3.35%), 7.26%, 10/15/34<sup>(a)(b)</sup><br>|  | 1390 | 1398130 |
| &nbsp;&nbsp;&nbsp; Saxon Asset Securities Trust, Series 2004-2, <br> Class MF5, 2.83%, 08/25/35<sup>(c)</sup><br>|  | 397 | 309250 |
| Securitized Asset-Backed Receivables LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2A, (1-mo. CME Term <br> SOFR + 0.33%), 4.07%, 02/25/37<sup>(b)</sup><br>|  | 369 | 149029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2B, (1-mo. CME Term <br> SOFR + 0.65%), 4.39%, 02/25/37<sup>(b)</sup><br>|  | 1965 | 794260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC2, Class A2C, (1-mo. CME Term <br> SOFR + 0.55%), 4.29%, 01/25/37<sup>(b)</sup><br>|  | 446 | 341209 |
| Service Experts Issuer LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.67%, 02/02/32<sup>(a)</sup> |  | 804 | 792504 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.39%, 11/20/35<sup>(a)</sup> |  | 1928 | 1975457 |
| SESAC Finance LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 6.42%, 01/25/54<sup>(a)</sup> |  | 662 | 671665 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 5.50%, 07/25/55<sup>(a)</sup> |  | 5960 | 5923013 |
| &nbsp;&nbsp;&nbsp; SG Mortgage Securities Trust, Series 2006-FRE2, <br> Class A2C, (1-mo. CME Term SOFR + 0.43%), <br> 4.17%, 07/25/36<sup>(b)</sup><br>|  | 182 | 37457 |
| Shackleton CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class BR, (3-mo. CME Term <br> SOFR + 1.81%), 5.72%, 07/15/30<sup>(a)(b)</sup><br>|  | 358 | 358364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4RA, Class A1A, (3-mo. CME Term <br> SOFR + 1.26%), 5.17%, 04/13/31<sup>(a)(b)</sup><br>|  | 32 | 32387 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 11 Ltd., Series 2024-11A, <br> Class A1, (3-mo. CME Term SOFR + 1.45%), <br> 5.33%, 07/18/37<sup>(a)(b)</sup><br>|  | 1720 | 1726010 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 12 Ltd., Series 2022-12A, <br> Class A1R, (3-mo. CME Term SOFR + 1.40%), <br> 5.28%, 07/18/37<sup>(a)(b)</sup><br>|  | 980 | 983363 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 14 Ltd., Series 2024-14A, <br> Class A, (3-mo. CME Term SOFR + 1.30%), <br> 5.16%, 01/22/38<sup>(a)(b)</sup><br>|  | 9930 | 9962660 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 3 Ltd., Series 2016-3A, <br> Class AR3, (3-mo. CME Term SOFR + 1.59%), <br> 5.45%, 01/23/37<sup>(a)(b)</sup><br>|  | 890 | 893129 |
| Signal Peak CLO 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class A1R, (3-mo. CME Term <br> SOFR + 1.55%), 5.41%, 04/25/37<sup>(a)(b)</sup><br>|  | 1810 | 1816044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class BR, (3-mo. CME Term <br> SOFR + 2.20%), 6.06%, 04/25/37<sup>(a)(b)</sup><br>|  | 390 | 390281 |
| Signal Peak CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.42%), 5.30%, 10/20/37<sup>(a)(b)</sup><br>|  | 600 | 602192 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Signal Peak CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.80%), 5.68%, 10/20/37<sup>(a)(b)</sup><br>| USD  | 480 | $480476 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 8 Ltd., Series 2020-8A, <br> Class A1R, (3-mo. CME Term SOFR + 1.39%), <br> 5.27%, 10/20/37<sup>(a)(b)</sup><br>|  | 1230 | 1234461 |
| &nbsp;&nbsp;&nbsp; Signal Peak CLO 9 Ltd., Series 2021-9A, <br> Class A1R, (3-mo. CME Term SOFR + 1.36%), <br> 5.23%, 01/21/38<sup>(a)(b)</sup><br>|  | 1050 | 1053512 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 1 Ltd., Series 2022-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.32%), <br> 5.20%, 01/20/38<sup>(a)(b)</sup><br>|  | 2070 | 2077460 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 12 Ltd., Series 2025-12A, <br> Class A1, (3-mo. CME Term SOFR + 1.31%), <br> 5.29%, 10/15/38<sup>(a)(b)</sup><br>|  | 3710 | 3719275 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 13 Ltd., Series 2025-13A, <br> Class A1, (3-mo. CME Term SOFR + 1.25%), <br> 5.18%, 10/15/38<sup>(a)(b)</sup><br>|  | 6760 | 6772511 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 3 Ltd., Series 2023-3A, <br> Class A1R, (3-mo. CME Term SOFR + 1.26%), <br> 5.01%, 01/18/39<sup>(a)(b)</sup><br>|  | 1030 | 1032382 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 5 Ltd., Series 2024-5A, Class A1, <br> (3-mo. CME Term SOFR + 1.40%), 5.28%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 970 | 971941 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 7 Ltd., Series 2024-7A, Class A1, <br> (3-mo. CME Term SOFR + 1.36%), 5.27%, <br> 01/15/38<sup>(a)(b)</sup><br>|  | 760 | 762709 |
| &nbsp;&nbsp;&nbsp; Silver Point CLO 8 Ltd., Series 2025-8A, Class A1, <br> (3-mo. CME Term SOFR + 1.21%), 5.12%, <br> 04/15/38<sup>(a)(b)</sup><br>|  | 6130 | 6138921 |
| &nbsp;&nbsp;&nbsp; Sixth Street CLO IX Ltd., Series 2017-9A, <br> Class AR, (3-mo. CME Term SOFR + 1.38%), <br> 5.25%, 07/21/37<sup>(a)(b)</sup><br>|  | 1546 | 1551709 |
| Sixth Street CLO XIV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-14A, Class A1R2, (3-mo. CME <br> Term SOFR + 1.15%), 5.02%, 01/20/38<sup>(a)(b)</sup><br>|  | 1950 | 1948872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-14A, Class ER2, (3-mo. CME Term <br> SOFR + 4.65%), 8.52%, 01/20/38<sup>(a)(b)</sup><br>|  | 1250 | 1238089 |
| &nbsp;&nbsp;&nbsp; Sixth Street CLO XVIII Ltd., Series 2021-18A, <br> Class A1R, (3-mo. CME Term SOFR + 1.25%), <br> 5.13%, 10/17/38<sup>(a)(b)</sup><br>|  | 1480 | 1482820 |
| SLM Private Credit Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A4, (3-mo. CME Term <br> SOFR + 0.57%), 4.30%, 12/15/38<sup>(b)</sup><br>|  | 607 | 599270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-B, Class A4, (3-mo. CME Term <br> SOFR + 0.59%), 4.32%, 06/15/39<sup>(b)</sup><br>|  | 493 | 480946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-BW, Class A5, (3-mo. CME Term <br> SOFR + 0.46%), 4.19%, 12/15/39<sup>(b)</sup><br>|  | 1013 | 984664 |
| &nbsp;&nbsp;&nbsp; SLM Private Education Loan Trust, Series 2010-C, <br> Class A5, (1-mo. CME Term SOFR + 4.86%), <br> 8.62%, 10/15/41<sup>(a)(b)</sup><br>|  | 1980 | 2081017 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-C, Class B, 3.50%, 09/15/43<sup>(a)</sup> |  | 142 | 141763 |
| &nbsp;&nbsp;&nbsp; Series 2017-B, Class A2A, 2.82%, 10/15/35<sup>(a)</sup> |  | 58 | 57723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-B, Class A2B, (1-mo. CME Term <br> SOFR + 0.86%), 4.62%, 10/15/35<sup>(a)(b)</sup><br>|  | 95 | 95049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-A, Class A2B, (1-mo. CME Term <br> SOFR + 0.91%), 4.67%, 02/15/36<sup>(a)(b)</sup><br>|  | 511 | 510734 |
| &nbsp;&nbsp;&nbsp; Series 2019-B, Class A2A, 2.84%, 06/15/37<sup>(a)</sup> |  | 994 | 976674 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 2.99%, 01/15/53<sup>(a)</sup> |  | 2100 | 1857443 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D1, 3.86%, 01/15/53<sup>(a)</sup> |  | 398 | 362099 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class D2, 3.86%, 01/15/53<sup>(a)</sup> |  | 271 | 246709 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.31%, 07/17/51<sup>(a)</sup> | USD  | 1355 | $1283248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A2, (1-mo. CME Term <br> SOFR + 0.91%), 4.67%, 01/15/53<sup>(a)(b)</sup><br>|  | 907 | 900379 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class APT1, 1.39%, 01/15/53<sup>(a)</sup> |  | 818 | 754267 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.30%, 01/15/53<sup>(a)</sup> |  | 432 | 421548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1B, (SOFR (30-day) + <br> 1.45%), 5.43%, 03/15/56<sup>(a)(b)</sup><br>|  | 4564 | 4606305 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.88%, 03/15/56<sup>(a)</sup> |  | 2415 | 2481266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-C, Class A1B, (SOFR (30-day) + <br> 1.10%), 5.07%, 06/17/52<sup>(a)(b)</sup><br>|  | 2112 | 2108187 |
| SoFi Consumer Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> |  | 9411 | 9445841 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 5.12%, 02/27/34<sup>(a)</sup> |  | 1373 | 1388171 |
| SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class R1, 0.00%, 11/12/30<sup>(a)</sup> |  | 43 | 885794 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> |  | 1672 | 1690954 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class R1, 0.00%, 02/12/31<sup>(a)</sup> |  | 136 | 2310847 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> |  | 1834 | 1820655 |
| &nbsp;&nbsp;&nbsp; SoFi Professional Loan Program LLC, <br> Series 2019-B, Class A2FX, 3.09%, 08/17/48<sup>(a)</sup><br>|  | 156 | 153399 |
| SoFi Professional Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-B, Class BFX, 3.83%, 08/25/47<sup>(a)</sup> |  | 153 | 148859 |
| &nbsp;&nbsp;&nbsp; Series 2018-D, Class BFX, 4.14%, 02/25/48<sup>(a)</sup> |  | 100 | 97106 |
| &nbsp;&nbsp;&nbsp; Series 2020-A, Class BFX, 3.12%, 05/15/46<sup>(a)</sup> |  | 226 | 202968 |
| &nbsp;&nbsp;&nbsp; Sound Point CLO II Ltd., Series 2013-1A, <br> Class A1R, (3-mo. CME Term SOFR + 1.33%), <br> 5.19%, 01/26/31<sup>(a)(b)</sup><br>|  | 18 | 17809 |
| &nbsp;&nbsp;&nbsp; Sound Point CLO IX Ltd., Series 2015-2A, <br> Class BRRR, (3-mo. CME Term SOFR + <br> 2.06%), 5.95%, 07/20/32<sup>(a)(b)</sup><br>|  | 2500 | 2512549 |
| Soundview Home Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-WMC1, Class M2, (1-mo. CME <br> Term SOFR + 0.91%), 4.64%, 01/25/35<sup>(b)</sup><br>|  | 82 | 71329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-OPT3, Class M4, (1-mo. CME Term <br> SOFR + 1.13%), 4.87%, 11/25/35<sup>(b)</sup><br>|  | 313 | 265112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NS1, Class M1, (1-mo. CME Term <br> SOFR + 0.64%), 4.37%, 01/25/37<sup>(b)</sup><br>|  | 447 | 456934 |
| &nbsp;&nbsp;&nbsp; SpringCastle America Funding LLC, Series 2020-<br> AA, Class A, 1.97%, 09/25/37<sup>(a)</sup><br>|  | 615 | 580698 |
| &nbsp;&nbsp;&nbsp; Stratus CLO Ltd., Series 2021-1A, Class SUB, <br> 0.00%, 12/29/29<sup>(a)(b)(e)</sup><br>|  | 1000 |  |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust, Series 2025-1A, <br> Class A, 5.05%, 09/15/45<sup>(a)</sup><br>|  | 2786 | 2813434 |
| &nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust, <br> Series 2004-10, Class A11, (1-mo. CME Term <br> SOFR + 1.61%), 5.35%, 11/25/34<sup>(b)</sup><br>|  | 57 | 66273 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-GEL1, Class A3, (1-mo. CME Term <br> SOFR + 0.71%), 4.45%, 01/25/37<sup>(a)(b)</sup><br>|  | 1390 | 1145234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-GEL2, Class M1, (1-mo. CME Term <br> SOFR + 1.16%), 4.90%, 05/25/37<sup>(a)(b)</sup><br>|  | 1645 | 1374553 |
| &nbsp;&nbsp;&nbsp; Subway Funding LLC, Series 2024-1A, Class A2II, <br> 6.27%, 07/30/54<sup>(a)</sup><br>|  | 3570 | 3645026 |
| &nbsp;&nbsp;&nbsp; Summit Issuer LLC, Series 2025-1A, Class A2, <br> 5.21%, 11/20/55<sup>(a)</sup><br>|  | 5682 | 5694279 |
| Sycamore Tree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.39%), 5.27%, 01/20/38<sup>(a)(b)</sup><br>|  | 2500 | 2509967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class BR, (3-mo. CME Term <br> SOFR + 2.15%), 6.03%, 04/20/37<sup>(a)(b)</sup><br>|  | 1000 | 1002852 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Symphony CLO 38 Ltd., Series 2023-38A, <br> Class BR, (3-mo. CME Term SOFR + 1.95%), <br> 5.82%, 07/24/38<sup>(a)(b)</sup><br>| USD  | 2510 | $2517668 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 40 Ltd., Series 2023-40A, <br> Class AR, (3-mo. CME Term SOFR + 1.31%), <br> 5.22%, 01/05/38<sup>(a)(b)</sup><br>|  | 730 | 732713 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 43 Ltd., Series 2024-43A, <br> Class A1, (3-mo. CME Term SOFR + 1.52%), <br> 5.43%, 04/15/37<sup>(a)(b)</sup><br>|  | 930 | 933211 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 46 Ltd., Series 2024-46A, <br> Class A2, (3-mo. CME Term SOFR + 1.59%), <br> 5.47%, 01/20/38<sup>(a)(b)</sup><br>|  | 420 | 420969 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XIX Ltd., Series 2018-19A, <br> Class A, (3-mo. CME Term SOFR + 1.22%), <br> 5.12%, 04/16/31<sup>(a)(b)</sup><br>|  | 324 | 324327 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XVI Ltd., Series 2015-16A, <br> Class ARR, (3-mo. CME Term SOFR + 1.20%), <br> 5.11%, 10/15/31<sup>(a)(b)</sup><br>|  | 615 | 615875 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XX Ltd., Series 2018-20A, <br> Class BR2, (3-mo. CME Term SOFR + 1.55%), <br> 5.44%, 01/16/32<sup>(a)(b)</sup><br>|  | 640 | 640632 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXI Ltd., Series 2019-21A, <br> Class AR2, (3-mo. CME Term SOFR + 0.90%), <br> 4.81%, 07/15/32<sup>(a)(b)</sup><br>|  | 1203 | 1202612 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXIX Ltd., Series 2021-29A, <br> Class BR, (3-mo. CME Term SOFR + 1.65%), <br> 5.93%, 10/15/35<sup>(a)(b)</sup><br>|  | 3300 | 3307616 |
| &nbsp;&nbsp;&nbsp; Symphony CLO XXVI Ltd., Series 2021-26A, <br> Class AR, (3-mo. CME Term SOFR + 1.34%), <br> 5.23%, 04/20/33<sup>(a)(b)</sup><br>|  | 408 | 408398 |
| &nbsp;&nbsp;&nbsp; Taco Bell Funding LLC, Series 2025-1A, Class A2I, <br> 4.82%, 08/25/55<sup>(a)</sup><br>|  | 7703 | 7659799 |
| TCI-Symphony CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class AR2, (3-mo. CME Term <br> SOFR + 1.28%), 5.19%, 10/13/32<sup>(a)(b)</sup><br>|  | 1037 | 1038236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BR, (3-mo. CME Term <br> SOFR + 1.81%), 5.72%, 07/15/30<sup>(a)(b)</sup><br>|  | 1000 | 1000307 |
| &nbsp;&nbsp;&nbsp; TCW CLO Ltd., Series 2019-2A, Class A1R2, (3-<br> mo. CME Term SOFR + 1.27%), 5.15%, <br> 01/20/38<sup>(a)(b)</sup><br>|  | 1200 | 1202534 |
| &nbsp;&nbsp;&nbsp; Terwin Mortgage Trust, Series 2005-10HE, <br> Class M5, (1-mo. CME Term SOFR + 1.13%), <br> 4.87%, 06/25/36<sup>(b)</sup><br>|  | 257 | 239943 |
| &nbsp;&nbsp;&nbsp; Thayer Park CLO Ltd., Series 2017-1A, <br> Class A1RR, (3-mo. CME Term SOFR + 1.00%), <br> 4.87%, 04/20/34<sup>(a)(b)</sup><br>|  | 2830 | 2826341 |
| TICP CLO VI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-6A, Class AR2, (3-mo. CME Term <br> SOFR + 1.38%), 5.29%, 01/15/34<sup>(a)(b)</sup><br>|  | 4500 | 4501398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-6A, Class BR2, (3-mo. CME Term <br> SOFR + 1.76%), 5.67%, 01/15/34<sup>(a)(b)</sup><br>|  | 320 | 320651 |
| TICP CLO VII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class ASR2, (3-mo. CME Term <br> SOFR + 1.30%), 5.21%, 04/15/33<sup>(a)(b)</sup><br>|  | 1287 | 1288306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class BR2, (3-mo. CME Term <br> SOFR + 1.90%), 5.81%, 04/15/33<sup>(a)(b)</sup><br>|  | 2740 | 2742890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class ER, (3-mo. CME Term <br> SOFR + 7.31%), 11.22%, 04/15/33<sup>(a)(b)</sup><br>|  | 600 | 599671 |
| TICP CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class AR, (3-mo. CME Term <br> SOFR + 1.53%), 5.39%, 04/25/37<sup>(a)(b)</sup><br>|  | 250 | 250891 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| TICP CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class BR, (3-mo. CME Term <br> SOFR + 2.05%), 5.91%, 04/25/37<sup>(a)(b)</sup><br>| USD  | 2760 | $2766951 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust, Series 2019-HY2, <br> Class A1, (1-mo. CME Term SOFR + 1.11%), <br> 4.85%, 05/25/58<sup>(a)(b)</sup><br>|  | 539 | 549239 |
| &nbsp;&nbsp;&nbsp; Trestles CLO III Ltd., Series 2020-3A, Class A1R, <br> (3-mo. CME Term SOFR + 1.39%), 5.27%, <br> 10/20/37<sup>(a)(b)</sup><br>|  | 1190 | 1194440 |
| &nbsp;&nbsp;&nbsp; Trestles CLO IV Ltd., Series 2021-4A, Class AR1, <br> (3-mo. CME Term SOFR + 1.28%), 5.07%, <br> 10/30/38<sup>(a)(b)</sup><br>|  | 2060 | 2065270 |
| &nbsp;&nbsp;&nbsp; Trestles CLO IX Ltd., Series 2025-9A, Class A1, <br> (3-mo. CME Term SOFR + 1.26%), 5.13%, <br> 01/15/39<sup>(a)(b)</sup><br>|  | 4970 | 4981186 |
| &nbsp;&nbsp;&nbsp; Trestles CLO Ltd., Series 2017-1A, Class A1RR, <br> (3-mo. CME Term SOFR + 1.46%), 5.32%, <br> 07/25/37<sup>(a)(b)</sup><br>|  | 1910 | 1916731 |
| &nbsp;&nbsp;&nbsp; Trestles CLO V Ltd., Series 2021-5A, Class A1R, <br> (3-mo. CME Term SOFR + 1.25%), 5.13%, <br> 10/20/34<sup>(a)(b)</sup><br>|  | 520 | 519971 |
| &nbsp;&nbsp;&nbsp; Trestles CLO VI Ltd., Series 2023-6A, Class A1R, <br> (3-mo. CME Term SOFR + 1.18%), 5.04%, <br> 04/25/38<sup>(a)(b)</sup><br>|  | 2150 | 2149091 |
| &nbsp;&nbsp;&nbsp; Trestles CLO VII Ltd., Series 2024-7A, Class A1, <br> (3-mo. CME Term SOFR + 1.38%), 5.24%, <br> 10/25/37<sup>(a)(b)</sup><br>|  | 1500 | 1505310 |
| &nbsp;&nbsp;&nbsp; Trestles CLO VIII Ltd., Series 2025-8A, Class A1, <br> (3-mo. CME Term SOFR + 1.33%), 5.63%, <br> 06/11/35<sup>(a)(b)</sup><br>|  | 2340 | 2342562 |
| &nbsp;&nbsp;&nbsp; Tricon American Homes Trust, Series 2019-SFR1, <br> Class E, 3.40%, 03/17/38<sup>(a)</sup><br>|  | 2000 | 1990097 |
| Tricon Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.69%, 07/17/38<sup>(a)</sup> |  | 3250 | 3216277 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class G, 4.13%, 07/17/38<sup>(a)</sup> |  | 2099 | 2077698 |
| Trimaran CAVU Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class AR, (3-mo. CME Term <br> SOFR + 1.42%), 5.28%, 07/23/37<sup>(a)(b)</sup><br>|  | 1880 | 1886614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D1, (3-mo. CME Term <br> SOFR + 3.51%), 7.37%, 10/25/34<sup>(a)(b)</sup><br>|  | 300 | 300354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.27%), 5.15%, 03/20/38<sup>(a)(b)</sup><br>|  | 1850 | 1854116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.38%), 5.24%, 01/25/38<sup>(a)(b)</sup><br>|  | 830 | 832992 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, <br> (3-mo. CME Term SOFR + 1.66%), 5.55%, <br> 10/18/31<sup>(a)(b)</sup><br>|  | 119 | 119511 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO VII Ltd., Series 2017-7A, Class A1R2, <br> (3-mo. CME Term SOFR + 1.06%), 4.92%, <br> 01/25/35<sup>(a)(b)</sup><br>|  | 2344 | 2341199 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XVIII Ltd., Series 2021-18A, <br> Class A1R, (3-mo. CME Term SOFR + 1.22%), <br> 5.10%, 01/20/35<sup>(a)(b)</sup><br>|  | 250 | 250176 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XXIX Ltd., Series 2024-29A, Class A1, <br> (3-mo. CME Term SOFR + 1.49%), 5.35%, <br> 07/23/37<sup>(a)(b)</sup><br>|  | 440 | 441518 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XXVIII Ltd., Series 2024-28A, <br> Class A1, (3-mo. CME Term SOFR + 1.55%), <br> 5.41%, 04/25/37<sup>(a)(b)</sup><br>|  | 1450 | 1454852 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XXX Ltd., Series 2024-30A, Class A1, <br> (3-mo. CME Term SOFR + 1.37%), 5.23%, <br> 10/23/37<sup>(a)(b)</sup><br>|  | 460 | 461652 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XXXII Ltd., Series 2025-32A, <br> Class A1, (3-mo. CME Term SOFR + 1.33%), <br> 5.60%, 07/23/38<sup>(a)(b)</sup><br>| USD  | 1250 | $1253789 |
| &nbsp;&nbsp;&nbsp; Truist Bank Auto Credit-Linked Notes, <br> Series 2025-1, Class B, 4.73%, 09/26/33<sup>(a)</sup><br>|  | 6550 | 6560797 |
| &nbsp;&nbsp;&nbsp; UPG HI Issuer Trust, Series 2025-2, Class A, <br> 5.00%, 09/25/47<sup>(a)</sup><br>|  | 3016 | 3014708 |
| Upgrade Master Pass-Thru Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-ST4, Class A, 5.50%, 08/16/32<sup>(a)</sup> |  | 2710 | 2724669 |
| &nbsp;&nbsp;&nbsp; Series 2025-ST5, Class B, 5.25%, 09/15/32<sup>(a)</sup> |  | 5754 | 5777126 |
| &nbsp;&nbsp;&nbsp; Series 2025-ST6, Class A, 4.61%, 10/15/32<sup>(a)</sup> |  | 2155 | 2158456 |
| &nbsp;&nbsp;&nbsp; Series 2025-ST7, Class A, 4.55%, 11/15/32<sup>(a)</sup> |  | 2668 | 2666897 |
| &nbsp;&nbsp;&nbsp; Series 2025-ST7, Class B, 4.98%, 11/15/32<sup>(a)</sup> |  | 2229 | 2231973 |
| &nbsp;&nbsp;&nbsp; Series 2025-ST8, Class C, 5.25%, 12/15/33<sup>(a)</sup> |  | 9433 | 9452676 |
| &nbsp;&nbsp;&nbsp; Upland CLO Ltd., Series 2016-1A, Class A2R, (3-<br> mo. CME Term SOFR + 1.91%), 5.80%, <br> 04/20/31<sup>(a)(b)</sup><br>|  | 2340 | 2341215 |
| &nbsp;&nbsp;&nbsp; UPX HIL Issuer Trust, Series 2025-1, Class A, <br> 5.16%, 01/25/47<sup>(a)</sup><br>|  | 7767 | 7827367 |
| &nbsp;&nbsp;&nbsp; Valley Stream Park CLO Ltd., Series 2022-1A, <br> Class ARR, (3-mo. CME Term SOFR + 1.19%), <br> 5.07%, 01/20/37<sup>(a)(b)</sup><br>|  | 5400 | 5402375 |
| Verdelite Static CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.13%), 5.01%, 07/20/32<sup>(a)(b)</sup><br>|  | 1182 | 1182152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.53%, 07/20/32<sup>(a)(b)</sup><br>|  | 290 | 290148 |
| &nbsp;&nbsp;&nbsp; Vista Point Securitization Trust, Series 2025-CES3, <br> Class A1, 5.30%, 11/25/55<sup>(a)(c)</sup><br>|  | 2341 | 2343874 |
| &nbsp;&nbsp;&nbsp; VOLT CVI LLC, Series 2021-NP12, Class A1, <br> 6.73%, 12/26/51<sup>(a)(c)</sup><br>|  | 5854 | 5860832 |
| Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.23%), 5.09%, 04/25/31<sup>(a)(b)</sup><br>|  | 482 | 482340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.41%), 5.30%, 10/18/31<sup>(a)(b)</sup><br>|  | 120 | 120254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3A, Class A3R4, (3-mo. CME Term <br> SOFR + 1.45%), 5.33%, 10/20/31<sup>(a)(b)</sup><br>|  | 500 | 500122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R, (3-mo. CME Term <br> SOFR + 1.33%), 5.22%, 01/20/31<sup>(a)(b)</sup><br>|  | 124 | 124445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1, (3-mo. CME Term <br> SOFR + 1.21%), 5.10%, 04/19/31<sup>(a)(b)</sup><br>|  | 679 | 679135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term <br> SOFR + 1.56%), 5.45%, 04/19/31<sup>(a)(b)</sup><br>|  | 250 | 250021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1, (3-mo. CME Term <br> SOFR + 1.26%), 5.17%, 07/15/31<sup>(a)(b)</sup><br>|  | 59 | 59033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR, (3-mo. CME Term <br> SOFR + 1.20%), 5.08%, 07/20/32<sup>(a)(b)</sup><br>|  | 2767 | 2768613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1RR, (3-mo. CME Term <br> SOFR + 1.31%), 5.19%, 01/20/38<sup>(a)(b)</sup><br>|  | 3000 | 3009205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1R, (3-mo. CME Term <br> SOFR + 1.17%), 5.05%, 04/20/38<sup>(a)(b)</sup><br>|  | 615 | 614814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class BR, (3-mo. CME Term <br> SOFR + 1.55%), 5.43%, 04/20/38<sup>(a)(b)</sup><br>|  | 810 | 812103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7A, Class A1, (3-mo. CME Term <br> SOFR + 1.31%), 5.19%, 01/20/38<sup>(a)(b)</sup><br>|  | 1260 | 1263792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class A1, (3-mo. CME Term <br> SOFR + 1.29%), 5.20%, 10/15/38<sup>(a)(b)</sup><br>|  | 500 | 501462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class B, (3-mo. CME Term <br> SOFR + 1.70%), 5.61%, 10/15/38<sup>(a)(b)</sup><br>|  | 1235 | 1239948 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Warwick Capital CLO 5 Ltd., Series 2024-5A, <br> Class A1, (3-mo. CME Term SOFR + 1.36%), <br> 5.24%, 01/20/38<sup>(a)(b)</sup><br>| USD  | 450 | $451526 |
| &nbsp;&nbsp;&nbsp; Warwick Capital CLO 7 Ltd., Series 2025-7A, <br> Class A1, (3-mo. CME Term SOFR + 1.30%), <br> 5.25%, 10/21/38<sup>(a)(b)</sup><br>|  | 960 | 962646 |
| Washington Mutual Asset-Backed Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE3, Class 1A, (1-mo. CME Term <br> SOFR + 0.42%), 3.80%, 08/25/36<sup>(b)</sup><br>|  | 5147 | 4893594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class 2A2, (1-mo. CME Term <br> SOFR + 0.47%), 4.14%, 09/25/36<sup>(b)</sup><br>|  | 194 | 48957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class 1A, (1-mo. CME Term <br> SOFR + 0.42%), 4.11%, 10/25/36<sup>(b)</sup><br>|  | 2222 | 1713204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A1, (1-mo. CME Term <br> SOFR + 0.23%), 3.73%, 11/25/36<sup>(b)</sup><br>|  | 195 | 61080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class 2A2, (1-mo. CME Term <br> SOFR + 0.45%), 3.73%, 11/25/36<sup>(b)</sup><br>|  | 1731 | 544306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 2A3, (1-mo. CME Term <br> SOFR + 0.35%), 4.09%, 05/25/37<sup>(b)</sup><br>|  | 94 | 84705 |
| &nbsp;&nbsp;&nbsp; Wellington Management CLO 4 Ltd., Series 2025-<br> 4A, Class A, (3-mo. CME Term SOFR + 1.15%), <br> 5.03%, 04/18/38<sup>(a)(b)</sup><br>|  | 1520 | 1518144 |
| Wellington Management CLO 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5A, Class A, (3-mo. CME Term <br> SOFR + 1.29%), 5.25%, 10/18/38<sup>(a)(b)</sup><br>|  | 1360 | 1363465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5A, Class B, (3-mo. CME Term <br> SOFR + 1.65%), 5.61%, 10/18/38<sup>(a)(b)</sup><br>|  | 1750 | 1752762 |
| &nbsp;&nbsp;&nbsp; Whitebox CLO I Ltd., Series 2019-1A, Class A1R3, <br> (3-mo. CME Term SOFR + 1.18%), 5.02%, <br> 01/24/37<sup>(a)(b)</sup><br>|  | 5040 | 5037864 |
| Whitebox CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1R2, (3-mo. CME Term <br> SOFR + 1.38%), 5.25%, 10/24/37<sup>(a)(b)</sup><br>|  | 12041 | 12083714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class BR2, (3-mo. CME Term <br> SOFR + 1.75%), 5.62%, 10/24/37<sup>(a)(b)</sup><br>|  | 410 | 410616 |
| &nbsp;&nbsp;&nbsp; Whitebox CLO III Ltd., Series 2021-3A, Class A1R, <br> (3-mo. CME Term SOFR + 1.27%), 5.18%, <br> 10/15/35<sup>(a)(b)</sup><br>|  | 4109 | 4108897 |
| &nbsp;&nbsp;&nbsp; Whitebox CLO V Ltd., Series 2025-5A, Class B, <br> (3-mo. CME Term SOFR + 1.70%), 5.95%, <br> 07/20/38<sup>(a)(b)</sup><br>|  | 1000 | 1002942 |
| Wildwood Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term <br> SOFR + 1.36%), 5.24%, 10/20/37<sup>(a)(b)</sup><br>|  | 3110 | 3121579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class E, (3-mo. CME Term <br> SOFR + 5.75%), 9.63%, 10/20/37<sup>(a)(b)</sup><br>|  | 250 | 252437 |
| &nbsp;&nbsp;&nbsp; Wireless PropCo Funding LLC, Series 2025-1A, <br> Class C, 8.51%, 06/25/55<sup>(a)</sup><br>|  | 4744 | 4853805 |
| &nbsp;&nbsp;&nbsp; Yale Mortgage Loan Trust, Series 2007-1, Class A, <br> (1-mo. CME Term SOFR + 0.51%), 4.25%, <br> 06/25/37<sup>(a)(b)</sup><br>|  | 395 | 120835 |
| **Total Asset-Backed Securities — 49.6%** <br>**(Cost: $2,419,864,181)** | **Total Asset-Backed Securities — 49.6%** <br>**(Cost: $2,419,864,181)** | **Total Asset-Backed Securities — 49.6%** <br>**(Cost: $2,419,864,181)** | 2392980564 |
| **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>(e)(f)(g)(h)</sup> |  | 500 |  |
| &nbsp;&nbsp;&nbsp; 0.00%<sup>(e)(f)(g)(h)</sup> |  | 250 |  |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** | **Insurance — 0.0%** |
| Ambac Assurance Corp., 5.10%<sup>(a)(h)</sup> | USD  | 58 | $75065 |
| **Total Corporate Bonds — 0.0%** <br>**(Cost: $75,211)** | **Total Corporate Bonds — 0.0%** <br>**(Cost: $75,211)** | **Total Corporate Bonds — 0.0%** <br>**(Cost: $75,211)** | 75065 |
| **Floating Rate Loan Interests**<sup>(b)(e)</sup> | **Floating Rate Loan Interests**<sup>(b)(e)</sup> | **Floating Rate Loan Interests**<sup>(b)(e)</sup> | **Floating Rate Loan Interests**<sup>(b)(e)</sup> |
| **Financial Services — 0.3%** | **Financial Services — 0.3%** | **Financial Services — 0.3%** | **Financial Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; CTP-02 Propco LLC, Term Loan, (1-mo. CME Term <br> SOFR at 0.00% Floor + 3.25%), 6.93%, <br> 12/06/27<br>|  | 3085 | 3084120 |
| &nbsp;&nbsp;&nbsp; Macerich Crabtree LP, Initial Advance, (1-mo. CME <br> Term SOFR at 0.00% Floor + 2.50%), 6.17%, <br> 08/06/29<br>|  | 3329 | 3330762 |
| &nbsp;&nbsp;&nbsp; Promontoria Beech DAC, 1st Lien Term Loan, (1-<br> mo. EURIBOR at 0.00% Floor + 3.75%), 5.62%, <br> 05/17/27<br>| EUR  | 2121 | 2492802 |
| &nbsp;&nbsp;&nbsp; Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at <br> 0.00% Floor + 3.00%), 5.90%, 10/20/29<br>|  | 5920 | 6957233 |
|  |  |  | 15864917 |
| **Transportation Infrastructure — 0.2%** | **Transportation Infrastructure — 0.2%** | **Transportation Infrastructure — 0.2%** | **Transportation Infrastructure — 0.2%** |
| One Frio Holdco BV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Term Loan, (1-day SONIA at 0.00% Floor + <br> 0.00%), 6.87%, 08/15/30<br>| GBP  | 1298 | 1748206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Term Loan, (3-mo. EURIBOR at 0.00% Floor + <br> 0.00%), 5.17%, 08/15/30<br>| EUR  | 4274 | 5018146 |
|  |  |  | 6766352 |
| **Total Floating Rate Loan Interests — 0.5%** <br>**(Cost: $21,960,133)** | **Total Floating Rate Loan Interests — 0.5%** <br>**(Cost: $21,960,133)** | **Total Floating Rate Loan Interests — 0.5%** <br>**(Cost: $21,960,133)** | 22631269 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 22.6%** | **Collateralized Mortgage Obligations — 22.6%** | **Collateralized Mortgage Obligations — 22.6%** | **Collateralized Mortgage Obligations — 22.6%** |
| A&D Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM5, Class A1, 7.05%, <br> 11/25/68<sup>(a)(c)</sup><br>| USD  | 4391 | 4441738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class A1, 5.70%, <br> 11/25/69<sup>(a)</sup><br>|  | 4149 | 4176995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class M1, 6.52%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 4238 | 4292196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.79%, <br> 06/25/70<sup>(a)(b)</sup><br>|  | 5511 | 5563609 |
| &nbsp;&nbsp;&nbsp; ACRA Trust, Series 2024-NQM1, Class A1, 5.61%, <br> 10/25/64<sup>(a)(c)</sup><br>|  | 6716 | 6745059 |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust, Series 2006-2, <br> Class 4A1, 4.15%, 05/25/36<sup>(b)</sup><br>|  | 4059 | 3037514 |
| Agate Bay Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-1, Class B5, 3.62%, 01/25/45<sup>(a)(b)</sup> |  | 723 | 467766 |
| &nbsp;&nbsp;&nbsp; Series 2015-3, Class B5, 3.44%, 04/25/45<sup>(a)(b)</sup> |  | 832 | 532303 |
| &nbsp;&nbsp;&nbsp; Series 2015-4, Class B5, 3.48%, 06/25/45<sup>(a)(b)</sup> |  | 580 | 356850 |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-D, Class B, 0.00%, 12/25/57<sup>(a)(b)</sup> |  | 6 | 1931 |
| &nbsp;&nbsp;&nbsp; Series 2020-C, Class C, 0.00%, 09/27/60<sup>(a)</sup> |  | 6 | 87 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 6.12%, 01/25/61<sup>(a)(c)</sup> |  | 1520 | 1519810 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 6.72%, 01/25/61<sup>(a)(c)</sup> |  | 875 | 866737 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 0.00%, 01/25/61<sup>(a)</sup> |  | 2007 | 2082585 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class A, 5.00%, 03/25/60<sup>(a)(c)</sup> |  | 3808 | 3806904 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class B, 7.00%, 03/25/60<sup>(a)(b)</sup> |  | 1706 | 1879315 |
| &nbsp;&nbsp;&nbsp; Series 2021-D, Class C, 0.00%, 03/25/60<sup>(a)(b)</sup> |  | 2324 | 2876047 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class A1, 1.74%, 12/25/60<sup>(a)(b)</sup> |  | 9277 | 8206651 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class A2, 2.69%, 12/25/60<sup>(a)(b)</sup> |  | 1770 | 1371186 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class B1, 3.73%, 12/25/60<sup>(a)(b)</sup> |  | 1068 | 752708 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class B3, 3.90%, 12/25/60<sup>(a)(b)</sup> | USD  | 630 | $342157 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class M1, 2.94%, 12/25/60<sup>(a)(b)</sup> |  | 698 | 504344 |
| &nbsp;&nbsp;&nbsp; Series 2021-E, Class SA, 0.00%, 12/25/60<sup>(a)(b)</sup> |  | 4 | 1848 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class A, 4.88%, 06/25/61<sup>(a)(c)</sup> |  | 14409 | 14401609 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class B, 6.75%, 06/25/61<sup>(a)(c)</sup> |  | 4682 | 4656187 |
| &nbsp;&nbsp;&nbsp; Series 2021-F, Class C, 0.00%, 06/25/61<sup>(a)</sup> |  | 6778 | 6680264 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A2, 3.00%, 10/25/61<sup>(a)(b)</sup> |  | 478 | 445499 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A3, 3.00%, 10/25/61<sup>(a)(b)</sup> |  | 255 | 236889 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 3.00%, 10/25/61<sup>(a)</sup> |  | 1912 | 1538873 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class C, 3.00%, 10/25/61<sup>(a)</sup> |  | 901 | 1133386 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M1, 3.00%, 10/25/61<sup>(a)</sup> |  | 279 | 257816 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M2, 3.00%, 10/25/61<sup>(a)</sup> |  | 1251 | 1042529 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class M3, 3.00%, 10/25/61<sup>(a)</sup> |  | 80 | 65840 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A2, 3.00%, 03/27/62<sup>(a)(b)</sup> |  | 376 | 349466 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.00%, 03/27/62<sup>(a)(b)</sup> |  | 322 | 298654 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class B, 3.00%, 03/27/62<sup>(a)</sup> |  | 1789 | 1449417 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class C, 3.00%, 03/27/62<sup>(a)</sup> |  | 1828 | 1455157 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class M1, 3.00%, 03/27/62<sup>(a)</sup> |  | 242 | 222937 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class M2, 3.00%, 03/27/62<sup>(a)</sup> |  | 1199 | 1065553 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, 3.50%, 07/25/62<sup>(a)(c)</sup> |  | 8303 | 7960222 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A2, 3.00%, 07/25/62<sup>(a)(b)</sup> |  | 515 | 471880 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 292 | 259978 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 1717 | 1331069 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class C, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 1416 | 1157171 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class M1, 2.50%, 07/25/62<sup>(a)(b)</sup> |  | 884 | 778545 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A1, 3.50%, 05/25/63<sup>(a)(c)</sup> |  | 10177 | 9887498 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A2, 3.00%, 05/25/63<sup>(a)(b)</sup> |  | 789 | 720592 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 421 | 373357 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class C, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 3779 | 2034668 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class M1, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 368 | 324740 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class M2, 2.50%, 05/25/63<sup>(a)(b)</sup> |  | 2284 | 1891092 |
| American Home Mortgage Assets Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A12, (1-mo. CME Term <br> SOFR + 0.32%), 4.06%, 10/25/46<sup>(b)</sup><br>|  | 76 | 37950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6, Class A1A, (1-mo. CME Term <br> SOFR + 0.30%), 4.04%, 12/25/46<sup>(b)</sup><br>|  | 3828 | 3339243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A1, (12-mo. Federal <br> Reserve Cumulative Average US + 0.70%), <br> 4.73%, 02/25/47<sup>(b)</sup><br>|  | 30 | 10369 |
| &nbsp;&nbsp;&nbsp; American Home Mortgage Investment Trust, <br> Series 2006-2, Class 2A2, (1-mo. CME Term <br> SOFR + 1.74%), 5.61%, 05/25/36<sup>(b)</sup><br>|  | 15106 | 1219055 |
| Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-5, Class B1, 3.96%, 10/25/49<sup>(a)(b)</sup> |  | 405 | 381712 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B1, 3.20%, 01/20/65<sup>(a)(b)</sup> |  | 200 | 142683 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup> |  | 209 | 199978 |
| &nbsp;&nbsp;&nbsp; Series 2023-7, Class A1, 4.80%, 11/25/67<sup>(a)(c)</sup> |  | 6227 | 6210302 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.21%, 08/25/68<sup>(a)(c)</sup> |  | 866 | 867333 |
| &nbsp;&nbsp;&nbsp; Series 2024-10, Class A1, 5.35%, 10/25/69<sup>(a)(c)</sup> |  | 1956 | 1965719 |
| &nbsp;&nbsp;&nbsp; Series 2024-11, Class A1, 5.70%, 08/25/69<sup>(a)(c)</sup> |  | 2325 | 2346280 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(c)</sup> |  | 4496 | 4537415 |
| &nbsp;&nbsp;&nbsp; Series 2025-5, Class A1, 5.57%, 04/25/70<sup>(a)(c)</sup> |  | 10980 | 11080133 |
| &nbsp;&nbsp;&nbsp; Series 2025-8, Class A1, 5.41%, 07/25/70<sup>(a)(c)</sup> |  | 3294 | 3319153 |
| &nbsp;&nbsp;&nbsp; APS Resecuritization Trust, Series 2016-1, <br> Class 1MZ, 2.97%, 07/31/57<sup>(a)(b)</sup><br>|  | 2230 | 831149 |
| Banc of America Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 3CB1, (1-mo. CME Term <br> SOFR + 0.91%), 4.65%, 05/25/46<sup>(b)</sup><br>|  | 383 | 332980 |
| &nbsp;&nbsp;&nbsp; Series 2006-7, Class A4, 6.50%, 10/25/36<sup>(c)</sup> |  | 2223 | 571826 |
| Banc of America Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A6, 5.75%, 01/25/37 |  | 77 | 65901 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Banc of America Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-R2, Class 1C, 0.00%, 11/26/36<sup>(a)(b)</sup> | USD  | 6886 | $2389876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R3, Class 1A2, 2.63%, <br> 03/27/36<sup>(a)(b)</sup><br>|  | 1988 | 1704213 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust, Series 2007-4, <br> Class 1A1, 6.25%, 12/28/37<br>|  | 664 | 491399 |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A, 5.00%, <br> 11/25/51<sup>(a)(c)</sup><br>|  | 4374 | 4373860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class B, 7.63%, <br> 11/25/51<sup>(a)(c)</sup><br>|  | 1105 | 1106243 |
| &nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class C, 0.00%, 11/25/51<sup>(a)</sup> |  | 2187 | 3062487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 4.55%, <br> 07/25/52<sup>(a)(c)</sup><br>|  | 2728 | 2713475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class A, 4.25%, <br> 02/25/28<sup>(a)(c)</sup><br>|  | 5172 | 5160916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class B, 4.25%, <br> 02/25/28<sup>(a)(c)</sup><br>|  | 1242 | 1239270 |
| &nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class C, 0.00%, 02/25/28<sup>(a)</sup> |  | 2082 | 754556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class SA, 0.00%, <br> 02/25/28<sup>(a)</sup><br>|  | 10 | 9130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.90%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 9576 | 9683472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A2, 7.36%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 1525 | 1543861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A3, 7.69%, <br> 10/25/63<sup>(a)(c)</sup><br>|  | 921 | 932657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B1, 7.95%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 681 | 691048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B2, 7.95%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 573 | 576367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B3, 7.95%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 1567 | 1530786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class M1, 7.95%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 1135 | 1153719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class SA, 0.00%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 0 <br><sup>(i)</sup><br>| 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.90%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 1301 | 1310459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A2, 6.11%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 887 | 892646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A3, 6.31%, <br> 01/25/64<sup>(a)(c)</sup><br>|  | 677 | 681964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.09%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 512 | 520567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B2, 8.65%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 469 | 476327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B3, 8.65%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 1007 | 992064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class M1, 6.80%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 879 | 887666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class SA, 0.00%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 2 | 1359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A1, 6.04%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 12599 | 12720978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A2, 6.30%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 993 | 1003087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A3, 6.50%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 1733 | 1750952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.50%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1109 | 1127588 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B2, 8.01%, <br> 06/25/64<sup>(a)(b)</sup><br>| USD  | 1016 | $1021168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B3, 8.01%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 2779 | 2695606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class M1, 6.41%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 1617 | 1632368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class SA, 0.00%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 2 | 1986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A1, 4.79%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 23544 | 23543556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A2, 5.10%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 2215 | 2213054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A3, 5.25%, <br> 12/26/64<sup>(a)(c)</sup><br>|  | 2481 | 2482316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B1, 6.96%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1145 | 1152640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B2, 7.50%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 873 | 874504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B3, 7.50%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1999 | 1928105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class M1, 6.31%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 1883 | 1906019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class SA, 0.00%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 4 | 3257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.66%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 23011 | 23238190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A2, 5.87%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 2100 | 2122643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A3, 5.97%, <br> 01/25/65<sup>(a)(c)</sup><br>|  | 2000 | 2021520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B1, 6.94%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 1321 | 1332108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B2, 7.78%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 1148 | 1155374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B3, 7.78%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 2546 | 2477363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1, 6.49%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 2125 | 2161694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class SA, 0.00%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 4 | 4167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.76%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 22570 | 22957645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A2, 5.94%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 1787 | 1817720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A3, 6.04%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 3511 | 3571271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B1, 7.68%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 1176 | 1210163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B2, 7.68%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 467 | 466686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class B3, 7.68%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 87 | 78054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class M1, 6.71%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 2387 | 2437321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class SA, 0.00%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 1 | 511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class B1, 7.60%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 627 | 638631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class PT2, 0.00%, <br> 07/25/65<sup>(a)(b)</sup><br>|  | 44756 | 45972303 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class PT2, 0.00%, <br> 10/25/55<sup>(a)(b)</sup><br>| USD  | 45640 | $45429362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM7, Class PT2, 5.23%, <br> 12/25/64<sup>(a)(b)</sup><br>|  | 49852 | 51229381 |
| BCAP LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-RR4, Class 3A6, 4.87%, <br> 07/26/36<sup>(a)(b)</sup><br>|  | 1005 | 1015432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-RR5, Class 11A5, (1-mo. CME Term <br> SOFR + 0.26%), 3.91%, 05/28/36<sup>(a)(b)</sup><br>|  | 156 | 151649 |
| Bear Stearns ALT-A Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-7, Class 26A1, 4.64%, 09/25/35<sup>(b)</sup> |  | 1306 | 435561 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class 21A1, 4.73%, 01/25/47<sup>(b)</sup> |  | 2624 | 1256580 |
| Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC1, Class 1A2, 6.25%, <br> 02/25/36<sup>(c)</sup><br>|  | 113 | 116793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC2, Class 1A1, (1-mo. CME Term <br> SOFR + 0.46%), 4.20%, 03/25/36<sup>(b)</sup><br>|  | 1800 | 452759 |
| Bear Stearns Mortgage Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A1, (1-mo. CME Term <br> SOFR + 0.39%), 4.13%, 08/25/36<sup>(b)</sup><br>|  | 205 | 204190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR2, Class A1, (1-mo. CME Term <br> SOFR + 0.45%), 4.19%, 03/25/37<sup>(b)</sup><br>|  | 156 | 143364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR4, Class 2A1, (1-mo. CME Term <br> SOFR + 0.32%), 4.06%, 06/25/37<sup>(b)</sup><br>|  | 14 | 13233 |
| BRAVO Residential Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class B1, 3.17%, <br> 02/25/49<sup>(a)(b)</sup><br>|  | 1427 | 1174286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class M1, 2.32%, <br> 02/25/49<sup>(a)(b)</sup><br>|  | 320 | 269707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class B1, 7.98%, <br> 09/25/63<sup>(a)(b)</sup><br>|  | 1500 | 1516673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.04%, <br> 12/01/63<sup>(a)</sup><br>|  | 566 | 575342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 8.10%, <br> 03/25/64<sup>(a)(b)</sup><br>|  | 845 | 864795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM6, Class B2, 8.01%, <br> 08/01/64<sup>(a)(b)</sup><br>|  | 250 | 254595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, <br> 11/25/64<sup>(a)(c)</sup><br>|  | 5484 | 5536799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.50%, <br> 02/25/65<sup>(a)(b)</sup><br>|  | 3568 | 3596941 |
| &nbsp;&nbsp;&nbsp; CAFL Issuer LLC, Series 2024-RTL1, Class A1, <br> 6.75%, 11/28/31<sup>(a)(c)</sup><br>|  | 3330 | 3374886 |
| CFMT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M2, 3.00%, <br> 06/25/34<sup>(a)(b)</sup><br>|  | 192 | 185390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M3, 3.00%, <br> 06/25/34<sup>(a)(b)</sup><br>|  | 473 | 453942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB15, Class M2, 4.00%, <br> 08/25/34<sup>(a)(b)</sup><br>|  | 358 | 349810 |
| &nbsp;&nbsp;&nbsp; Series 2024-R1, Class A1, 4.00%, 10/25/54<sup>(a)(c)</sup> |  | 1137 | 1125228 |
| &nbsp;&nbsp;&nbsp; Series 2024-R1, Class A2, 4.00%, 10/25/54<sup>(a)(c)</sup> |  | 177 | 172800 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Corp., Series 2016-SH1, <br> Class M4, 3.72%, 04/25/45<sup>(a)(b)</sup><br>|  | 401 | 365878 |
| Chase Mortgage Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-S2, Class 1A16, 6.25%, 10/25/36 |  | 2678 | 957810 |
| &nbsp;&nbsp;&nbsp; Series 2007-S6, Class 1A1, 6.00%, 12/25/37 |  | 9039 | 3518544 |
| CHNGE Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 3.01%, 01/25/67<sup>(a)(b)</sup> |  | 1889 | 1829021 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.76%, 03/25/67<sup>(a)(b)</sup> |  | 6100 | 6009693 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| CIM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-J2, Class B4, 3.76%, 10/25/49<sup>(a)(b)</sup> | USD  | 814 | $666360 |
| &nbsp;&nbsp;&nbsp; Series 2023-I1, Class B1, 7.05%, 04/25/58<sup>(a)(b)</sup> |  | 1876 | 1888006 |
| &nbsp;&nbsp;&nbsp; Series 2023-I2, Class A2, 6.85%, 12/25/67<sup>(a)(c)</sup> |  | 624 | 626905 |
| &nbsp;&nbsp;&nbsp; Series 2023-I2, Class B1, 6.78%, 12/25/67<sup>(a)(b)</sup> |  | 2140 | 2151148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NR1, Class A1, 5.00%, <br> 06/25/64<sup>(a)(c)</sup><br>|  | 11725 | 11577925 |
| Citicorp Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-4, Class 1A14, 6.00%, 05/25/37 |  | 341 | 299293 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class 1A1, 6.25%, 12/25/37 |  | 1427 | 1360330 |
| &nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A1, 6.50%, 06/25/38 |  | 220 | 189550 |
| Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A2A, 3.95%, 03/25/37<sup>(b)</sup> |  | 3165 | 2289882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 2A1, (1-mo. CME Term <br> SOFR + 0.61%), 4.35%, 05/25/37<sup>(b)</sup><br>|  | 925 | 860893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class 5A2, 4.42%, <br> 07/25/37<sup>(a)(b)</sup><br>|  | 5142 | 2154235 |
| &nbsp;&nbsp;&nbsp; Series 2014-C, Class B2, 4.25%, 02/25/54<sup>(a)(b)</sup> |  | 317 | 312357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-RP1, Class A1, 3.50%, <br> 01/25/66<sup>(a)(b)</sup><br>|  | 846 | 832325 |
| CitiMortgage Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2007-A3, Class 1A5, 6.00%, 03/25/37 |  | 1274 | 1143854 |
| &nbsp;&nbsp;&nbsp; Series 2007-A6, Class 1A21, 5.50%, 06/25/37 |  | 770 | 688316 |
| COLT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-5, Class A1, 1.73%, 11/26/66<sup>(a)(b)</sup> |  | 1802 | 1639611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B1, 3.11%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 1471 | 1115147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B2, 3.86%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 1000 | 786587 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B2, 4.10%, 12/27/66<sup>(a)(b)</sup> |  | 227 | 194678 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.21%, 02/25/67<sup>(a)(b)</sup> |  | 3500 | 3095164 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class A1, 5.39%, 11/25/69<sup>(a)(c)</sup> |  | 2759 | 2774091 |
| &nbsp;&nbsp;&nbsp; Series 2025-11, Class A1, 5.05%, 11/25/70<sup>(a)(b)</sup> |  | 5449 | 5463023 |
| &nbsp;&nbsp;&nbsp; Series 2025-11, Class B1, 6.90%, 11/25/70<sup>(a)(b)</sup> |  | 586 | 587496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-12, Class A1LC, 5.09%, <br> 01/26/71<sup>(a)(c)</sup><br>|  | 1000 | 999912 |
| &nbsp;&nbsp;&nbsp; Series 2025-12, Class B1, 6.86%, 01/26/71<sup>(a)(b)</sup> |  | 854 | 849455 |
| &nbsp;&nbsp;&nbsp; Series 2025-7, Class A1, 5.47%, 06/25/70<sup>(a)(c)</sup> |  | 3395 | 3428292 |
| &nbsp;&nbsp;&nbsp; Series 2025-8, Class A1, 5.48%, 08/25/70<sup>(a)(c)</sup> |  | 1982 | 1999631 |
| &nbsp;&nbsp;&nbsp; Series 2025-8, Class B1, 7.10%, 08/25/70<sup>(a)(b)</sup> |  | 684 | 691808 |
| Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-11CB, Class 2A1, 5.50%, 06/25/35 |  | 64 | 51473 |
| &nbsp;&nbsp;&nbsp; Series 2005-11CB, Class 2A6, 5.50%, 06/25/25 |  | 553 | 441401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A1, (1-mo. CME Term <br> SOFR + 0.46%), 4.20%, 06/25/35<sup>(b)</sup><br>|  | 982 | 872175 |
| &nbsp;&nbsp;&nbsp; Series 2005-29CB, Class A6, 5.50%, 07/25/35 |  | 209 | 117570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-51, Class 3A3A, (1-mo. CME Term <br> SOFR + 0.75%), 4.49%, 11/20/35<sup>(b)</sup><br>|  | 341 | 309578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55CW, Class 2A3, (1-mo. CME <br> Term SOFR + 0.46%), 4.42%, 11/25/35<sup>(b)</sup><br>|  | 400 | 287911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class 1A1, (1-mo. CME Term <br> SOFR + 0.77%), 4.51%, 11/20/35<sup>(b)</sup><br>|  | 792 | 776664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-76, Class 2A1, (12-mo. Federal <br> Reserve Cumulative Average US + 1.00%), <br> 5.03%, 02/25/36<sup>(b)</sup><br>|  | 316 | 292592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9CB, Class 1A1, (1-mo. CME Term <br> SOFR + 0.61%), 4.35%, 05/25/35<sup>(b)</sup><br>|  | 958 | 849141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J4, Class B1, (1-mo. CME Term <br> SOFR + 2.14%), 5.87%, 07/25/35<sup>(b)</sup><br>|  | 128 | 126800 |
| &nbsp;&nbsp;&nbsp; Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 |  | 980 | 435148 |
| &nbsp;&nbsp;&nbsp; Series 2006-13T1, Class A3, 6.00%, 05/25/36 |  | 1637 | 768403 |
| &nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A14, 6.25%, 10/25/36 |  | 639 | 303168 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *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 2006-29T1, Class 2A6, 6.50%, 10/25/36 | USD  | 2176 | $1261816 |
| &nbsp;&nbsp;&nbsp; Series 2006-6CB, Class 2A10, 6.00%, 05/25/36 |  | 172 | 62338 |
| &nbsp;&nbsp;&nbsp; Series 2006-J4, Class 2A1, 6.00%, 07/25/36 |  | 3235 | 1791151 |
| &nbsp;&nbsp;&nbsp; Series 2006-J7, Class 1A2, 6.25%, 11/25/36 |  | 2846 | 1295017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA11, Class A4, (1-mo. CME Term <br> SOFR + 0.49%), 4.23%, 09/25/46<sup>(b)</sup><br>|  | 188 | 179119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC1, Class 1A1, (1-mo. CME Term <br> SOFR + 0.57%), 4.31%, 03/25/36<sup>(b)</sup><br>|  | 551 | 543788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC10, Class 2A3, (1-mo. CME <br> Term SOFR + 0.57%), 4.31%, 11/25/36<sup>(b)</sup><br>|  | 458 | 421748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC7, Class 2A3, (1-mo. CME Term <br> SOFR + 0.61%), 4.35%, 07/25/46<sup>(b)</sup><br>|  | 2447 | 2263581 |
| &nbsp;&nbsp;&nbsp; Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 |  | 1117 | 481960 |
| &nbsp;&nbsp;&nbsp; Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 |  | 163 | 73854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA2, Class 1A1, (12-mo. Federal <br> Reserve Cumulative Average US + 0.84%), <br> 4.87%, 03/25/47<sup>(b)</sup><br>|  | 113 | 99088 |
| &nbsp;&nbsp;&nbsp; Countrywide Home Loan Mortgage Pass-Through <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J2, Class 3A9, (1-mo. CME Term <br> SOFR + 1.51%), 5.25%, 08/25/35<sup>(b)</sup><br>|  | 2151 | 1350735 |
| &nbsp;&nbsp;&nbsp; Series 2006-17, Class A6, 6.00%, 12/25/36 |  | 196 | 85244 |
| &nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, 6.00%, 03/25/37 |  | 204 | 87550 |
| &nbsp;&nbsp;&nbsp; Series 2007-14, Class A18, 6.00%, 09/25/37 |  | 5878 | 2791482 |
| &nbsp;&nbsp;&nbsp; Series 2007-15, Class 2A2, 6.50%, 09/25/37 |  | 622 | 218175 |
| &nbsp;&nbsp;&nbsp; Series 2007-16, Class A1, 6.50%, 10/25/37 |  | 4250 | 1708719 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class A1, 5.75%, 07/25/37 |  | 727 | 322930 |
| &nbsp;&nbsp;&nbsp; Series 2007-9, Class A11, 5.75%, 07/25/37 |  | 397 | 176482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HYB1, Class 3A1, 4.17%, <br> 03/25/37<sup>(b)</sup><br>|  | 1088 | 933137 |
| &nbsp;&nbsp;&nbsp; Series 2007-J1, Class 2A1, 6.00%, 02/25/37 |  | 1039 | 364648 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities <br> Corp., Series 2005-11, Class 1A1, 6.50%, <br> 12/25/35<br>|  | 2842 | 1215777 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Mortgage Capital Certificates, <br> Series 2009-12R, Class 3A1, 6.50%, <br> 10/27/37<sup>(a)</sup><br>|  | 39 | 14763 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A3, 6.00%, 05/25/36 |  | 368 | 188735 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 4A1, 7.00%, 05/25/36 |  | 5026 | 1245292 |
| &nbsp;&nbsp;&nbsp; Series 2007-5, Class 1A11, 7.00%, 08/25/37<sup>(b)</sup> |  | 1851 | 844040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10R, Class 5A2, 4.50%, <br> 05/27/36<sup>(a)(b)</sup><br>|  | 862 | 274361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-9R, Class 9A1, (1-mo. CME Term <br> SOFR + 0.23%), 4.31%, 08/27/36<sup>(a)(b)</sup><br>|  | 55 | 45737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SAF1, Class B5, 3.85%, <br> 03/25/44<sup>(a)(b)</sup><br>|  | 1573 | 1202018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-6R, Class 5A2, (1-mo. CME Term <br> SOFR + 0.29%), 3.35%, 03/27/36<sup>(a)(b)</sup><br>|  | 1073 | 851526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SPT1, Class B2, 3.39%, <br> 04/25/65<sup>(a)(b)</sup><br>|  | 8400 | 7254673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class M1, 2.13%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 3299 | 2654513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM8, Class M1, 3.26%, <br> 10/25/66<sup>(a)(b)</sup><br>|  | 590 | 454714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL9, Class A1, 3.87%, <br> 02/25/61<sup>(a)(b)</sup><br>|  | 3261 | 3248347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 2.27%, <br> 11/25/66<sup>(a)(b)</sup><br>|  | 4139 | 3794239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM3, Class A1B, 4.27%, <br> 03/25/67<sup>(a)(b)</sup><br>|  | 2291 | 2276432 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM6, Class PT, 8.83%, <br> 12/25/67<sup>(a)(b)</sup><br>| USD  | 6948 | $6963346 |
| Cross Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-H2, Class A1A, 7.14%, <br> 11/25/68<sup>(a)(c)</sup><br>|  | 1046 | 1058868 |
| &nbsp;&nbsp;&nbsp; Series 2024-H7, Class A1, 5.59%, 11/25/69<sup>(a)(b)</sup> |  | 9011 | 9079790 |
| &nbsp;&nbsp;&nbsp; Series 2025-H1, Class A1, 5.74%, 02/25/70<sup>(a)(b)</sup> |  | 3282 | 3314257 |
| &nbsp;&nbsp;&nbsp; Series 2025-H1, Class M1, 6.48%, 02/25/70<sup>(a)(b)</sup> |  | 1405 | 1422348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H10, Class B1, 7.13%, <br> 01/25/71<sup>(a)(b)</sup><br>|  | 496 | 490436 |
| &nbsp;&nbsp;&nbsp; Series 2025-H2, Class A1, 5.36%, 03/25/70<sup>(a)(b)</sup> |  | 9738 | 9792048 |
| &nbsp;&nbsp;&nbsp; Series 2025-H4, Class A1, 5.60%, 06/25/70<sup>(a)(b)</sup> |  | 5717 | 5769047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H8, Class A1A, 5.00%, <br> 11/25/70<sup>(a)(c)</sup><br>|  | 4630 | 4640104 |
| Deephaven Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class B2, 3.96%, 05/25/65<sup>(a)(b)</sup> |  | 150 | 136496 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M1, 2.09%, 05/25/65<sup>(a)(b)</sup> |  | 1620 | 1507383 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class B1, 3.27%, 08/25/66<sup>(a)(b)</sup> |  | 3671 | 2797814 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 4.31%, 03/25/67<sup>(a)(b)</sup> |  | 884 | 788327 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 5.28%, 07/25/67<sup>(a)(b)</sup> |  | 1349 | 1229479 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class M1, 5.28%, 07/25/67<sup>(a)(b)</sup> |  | 2742 | 2678281 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.74%, 07/25/69<sup>(a)(c)</sup> |  | 3961 | 3991049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV1, Class A1, 5.09%, <br> 11/25/60<sup>(a)(c)</sup><br>|  | 5525 | 5536304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV1, Class B1, 6.68%, <br> 11/25/60<sup>(a)(b)</sup><br>|  | 1238 | 1238154 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-B Securities Mortgage Loan Trust, <br> Series 2006-AB3, Class A8, 6.36%, 07/25/36<sup>(b)</sup><br>|  | 13 | 11365 |
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities, Inc. Mortgage Loan <br> Trust, Series 2006-PR1, Class CWA1, 6.00%, <br> 06/25/35<sup>(a)(b)</sup><br>|  | 982 | 479821 |
| &nbsp;&nbsp;&nbsp; Easy Street Mortgage Loan Trust, Series 2025-<br> RTL2, Class A1, 5.61%, 10/25/40<sup>(a)(c)</sup><br>|  | 2063 | 2084175 |
| Ellington Financial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class B2, 5.89%, 09/25/67<sup>(a)(b)</sup> |  | 1629 | 1612638 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class B1, 6.69%, 02/25/68<sup>(a)(b)</sup> |  | 2600 | 2605147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1A, 5.71%, <br> 11/25/69<sup>(a)(c)</sup><br>|  | 7215 | 7276559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV1, Class A1, 5.63%, <br> 03/25/70<sup>(a)(c)</sup><br>|  | 9123 | 9212649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV2, Class A1, 5.39%, <br> 05/26/70<sup>(a)(c)</sup><br>|  | 8329 | 8392584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV3, Class A1, 5.44%, <br> 07/25/70<sup>(a)(c)</sup><br>|  | 4910 | 4953139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 0.00%, <br> 11/25/70<sup>(a)(b)</sup><br>|  | 4768 | 4777245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1A, 5.00%, <br> 12/25/70<sup>(a)(c)</sup><br>|  | 4542 | 4552893 |
| First Horizon Alternative Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AA12, Class 2A1, 4.84%, <br> 02/25/36<sup>(b)</sup><br>|  | 91 | 54115 |
| &nbsp;&nbsp;&nbsp; Series 2006-AA7, Class A1, 4.79%, 01/25/37<sup>(b)</sup> |  | 2513 | 1963554 |
| &nbsp;&nbsp;&nbsp; GAEA Mortgage Loan Trust, Series 2025-A, <br> Class A, 6.75%, 02/25/30<sup>(a)(b)</sup><br>|  | 1314 | 1286999 |
| GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM2, Class B1, 4.85%, <br> 04/25/65<sup>(a)(b)</sup><br>|  | 2533 | 2415574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM3, Class B1, 3.47%, <br> 05/25/66<sup>(a)(b)</sup><br>|  | 1151 | 874098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HX1, Class A1, 2.89%, <br> 12/27/66<sup>(a)(b)</sup><br>|  | 232 | 218083 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM2, Class M1, 4.20%, <br> 02/25/67<sup>(a)(b)</sup><br>| USD  | 711 | $598499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM4, Class A1, 4.25%, <br> 05/25/67<sup>(a)(b)</sup><br>|  | 3372 | 3220179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 0.00%, <br> 06/25/70<sup>(a)(c)</sup><br>|  | 2636 | 2659513 |
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust, Series 2006-<br> AR2, Class 4A1, (12-mo. Federal Reserve <br> Cumulative Average US + 2.00%), 6.03%, <br> 03/25/36<sup>(b)</sup><br>|  | 13 | 12011 |
| GS Mortgage-Backed Securities Corp. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PJ2, Class A4, 4.00%, <br> 11/25/49<sup>(a)(b)</sup><br>|  | 185 | 174012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PJ2, Class B4, 3.55%, <br> 07/25/50<sup>(a)(b)</sup><br>|  | 1027 | 870309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 0.05%, <br> 11/25/29<sup>(a)(c)</sup><br>|  | 6276 | 6271564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class B1, 6.60%, <br> 11/25/29<sup>(a)(b)</sup><br>|  | 750 | 746977 |
| GS Mortgage-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A4, 4.00%, <br> 05/25/62<sup>(a)(b)</sup><br>|  | 290 | 271037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DSC2, Class A1, 5.04%, <br> 01/25/66<sup>(a)(c)</sup><br>|  | 1888 | 1891275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.01%, <br> 07/25/65<sup>(a)(c)</sup><br>|  | 3348 | 3351698 |
| GSMPS Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, (1-mo. CME Term <br> SOFR + 0.51%), 4.25%, 06/25/34<sup>(a)(b)</sup><br>|  | 2359 | 2127917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, (1-mo. CME Term <br> SOFR + 0.46%), 4.20%, 03/25/35<sup>(a)(b)</sup><br>|  | 41 | 38709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 2A1, 4.35%, <br> 09/25/35<sup>(a)(b)</sup><br>|  | 2152 | 1857294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP1, Class 1AF1, (1-mo. CME <br> Term SOFR + 0.46%), 4.20%, 01/25/36<sup>(a)(b)</sup><br>|  | 35 | 28164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 2A1, 4.60%, <br> 04/25/36<sup>(a)(b)</sup><br>|  | 1846 | 1526764 |
| &nbsp;&nbsp;&nbsp; GSMSC Resecuritization Trust, Series 2015-5R, <br> Class 1D, (1-mo. CME Term SOFR + 0.25%), <br> 3.55%, 04/26/37<sup>(a)(b)</sup><br>|  | 3566 | 2020375 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust, Series 2006-AR2, <br> Class 3A1, 5.83%, 04/25/36<sup>(b)</sup><br>|  | 1595 | 899860 |
| HarborView Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A, (1-mo. CME Term <br> SOFR + 0.75%), 4.49%, 03/19/35<sup>(b)</sup><br>|  | 874 | 422770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3, Class 1A1A, (1-mo. CME Term <br> SOFR + 0.51%), 4.25%, 05/19/37<sup>(b)</sup><br>|  | 994 | 831883 |
| HOMES Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 5.72%, <br> 10/25/69<sup>(a)(c)</sup><br>|  | 3012 | 3037785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AFC4, Class A1A, 5.15%, <br> 11/25/60<sup>(a)(c)</sup><br>|  | 2144 | 2147987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.43%, <br> 02/25/70<sup>(a)(c)</sup><br>|  | 14026 | 14117191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.03%, <br> 09/25/70<sup>(a)(b)</sup><br>|  | 5240 | 5245122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class B1, 6.79%, <br> 09/25/70<sup>(a)(b)</sup><br>|  | 1164 | 1171791 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust, Series 2006-3, <br> Class A1, (1-mo. CME Term SOFR + 0.45%), <br> 4.19%, 11/25/36<sup>(b)</sup><br>|  | 1211 | 1119099 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| IndyMac Index Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR27, Class 2A2, (1-mo. CME <br> Term SOFR + 0.51%), 4.25%, 10/25/36<sup>(b)</sup><br>| USD  | 169 | $155373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR35, Class 2A1A, (1-mo. CME <br> Term SOFR + 0.45%), 4.19%, 01/25/37<sup>(b)</sup><br>|  | 295 | 268976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR41, Class A3, (1-mo. CME Term <br> SOFR + 0.47%), 4.21%, 02/25/37<sup>(b)</sup><br>|  | 308 | 299958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR19, Class 3A1, 3.83%, <br> 09/25/37<sup>(b)</sup><br>|  | 590 | 381378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX2, Class A1A, (1-mo. CME <br> Term SOFR + 0.43%), 4.17%, 04/25/37<sup>(b)</sup><br>|  | 3677 | 3335924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX5, Class 2A2, (1-mo. CME Term <br> SOFR + 0.59%), 4.33%, 08/25/37<sup>(b)</sup><br>|  | 2197 | 2047930 |
| &nbsp;&nbsp;&nbsp; JPMorgan Alternative Loan Trust, Series 2006-S2, <br> Class A5, 6.88%, 05/25/36<sup>(c)</sup><br>|  | 3226 | 2902767 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-A4, Class B1, 5.58%, 07/25/35<sup>(b)</sup> |  | 168 | 161917 |
| &nbsp;&nbsp;&nbsp; Series 2020-5, Class B3, 3.57%, 12/25/50<sup>(a)(b)</sup> |  | 3470 | 3033928 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B4, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 308 | 247101 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B5, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 231 | 182163 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class B6, 2.90%, 08/25/51<sup>(a)(b)</sup> |  | 337 | 146331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 12193 | 11029371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4A, 2.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 6218 | 4282056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B1, 3.27%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 3544 | 3075935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B2, 3.27%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 832 | 713082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B3, 3.27%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 1157 | 982169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B4, 3.27%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 615 | 517498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B5, 3.27%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 253 | 210079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B6, 3.06%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 828 | 433512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS1, Class B2, 8.06%, <br> 07/25/64<sup>(a)(b)</sup><br>|  | 1000 | 1006805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS2, Class B1, 7.71%, <br> 11/25/64<sup>(a)(b)</sup><br>|  | 3289 | 3341575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.57%, <br> 09/25/65<sup>(a)(b)</sup><br>|  | 5843 | 5895096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1LC, 5.02%, <br> 05/25/65<sup>(a)(c)</sup><br>|  | 1580 | 1576369 |
| &nbsp;&nbsp;&nbsp; Lehman XS Trust, Series 2007-20N, Class A1, <br> (1-mo. CME Term SOFR + 2.41%), 6.15%, <br> 12/25/37<sup>(b)</sup><br>|  | 18 | 17906 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust, Series 2005-1, <br> Class 1A3, 7.00%, 08/25/34<sup>(a)</sup><br>|  | 1722 | 1173045 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust, Series 2008-1, <br> Class A1, 6.00%, 09/27/37<sup>(a)(b)</sup><br>|  | 756 | 485869 |
| MCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Cert, 0.00%, <br> 09/25/31<sup>(d)(e)</sup><br>|  | 1784 | 1437552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Note, 2.50%, <br> 09/25/31<sup>(e)</sup><br>|  | 2232 | 2140283 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust, <br> Series 2006-AF2, Class AV1, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 09/25/37<sup>(b)</sup><br>|  | 489 | 241639 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class M1, 2.29%, <br> 01/25/56<sup>(a)(b)</sup><br>| USD  | 700 | $664102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CHM1, Class A1, 4.88%, <br> 09/25/56<sup>(a)(c)</sup><br>|  | 4678 | 4620653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class M1, 4.27%, <br> 12/25/66<sup>(a)(b)</sup><br>|  | 2112 | 1934037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 7.09%, <br> 02/25/29<sup>(a)(c)</sup><br>|  | 3231 | 3243293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.26%, <br> 08/25/70<sup>(a)(c)</sup><br>|  | 4963 | 4975850 |
| &nbsp;&nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2023-NQM1, <br> Class A1, 6.05%, 10/25/67<sup>(a)(c)</sup><br>|  | 3454 | 3450498 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, Series 2006-<br> 11, Class 1A3, 6.92%, 08/25/36<sup>(c)</sup><br>|  | 4206 | 678941 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-1A, Class B3, 5.88%, 06/25/44<sup>(a)(b)</sup> |  | 198 | 199396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM1, Class B1, 7.36%, <br> 09/25/68<sup>(a)(b)</sup><br>|  | 100 | 100891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DSC2, Class A1, 5.44%, <br> 07/25/70<sup>(a)(b)</sup><br>|  | 5977 | 6034808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.53%, <br> 05/25/70<sup>(a)(b)</sup><br>|  | 12130 | 12215418 |
| &nbsp;&nbsp;&nbsp; Mortgage Loan Resecuritization Trust, Series 2009-<br> RS1, Class A85, (1-mo. CME Term SOFR + <br> 0.45%), 4.33%, 04/16/36<sup>(a)(b)</sup><br>|  | 103 | 101287 |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1, 4.25%, 12/25/57<sup>(a)(b)</sup> |  | 830 | 817480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.15%, <br> 11/25/64<sup>(a)(b)</sup><br>|  | 1596 | 1627999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.35%, <br> 07/25/65<sup>(a)(b)</sup><br>|  | 2383 | 2401464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class B1, 7.02%, <br> 07/25/65<sup>(a)(b)</sup><br>|  | 700 | 699131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.11%, <br> 08/25/65<sup>(a)(b)</sup><br>|  | 4065 | 4077224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 5.09%, <br> 10/25/65<sup>(a)(b)</sup><br>|  | 7177 | 7198918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM7, Class A1LC, 5.16%, <br> 10/26/65<sup>(a)(c)</sup><br>|  | 875 | 877285 |
| New York Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-INV1, Class A1, 5.38%, <br> 06/25/69<sup>(a)(b)</sup><br>|  | 839 | 844322 |
| &nbsp;&nbsp;&nbsp; Series 2024-RR1, Class A, 7.38%, 05/25/64<sup>(a)(c)</sup> |  | 5141 | 5111633 |
| &nbsp;&nbsp;&nbsp; NMLT Trust, Series 2021-INV1, Class B1, 3.61%, <br> 05/25/56<sup>(a)(b)</sup><br>|  | 922 | 728472 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AP1, Class 2A4, 6.05%, <br> 02/25/35<sup>(c)</sup><br>|  | 273 | 263005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A4, (1-mo. CME Term <br> SOFR + 0.95%), 4.69%, 06/25/37<sup>(b)</sup><br>|  | 466 | 393275 |
| &nbsp;&nbsp;&nbsp; OBX Trust, Series 2025-NQM3, Class A1, 5.65%, <br> 12/01/64<sup>(a)(c)</sup><br>|  | 3136 | 3167290 |
| Preston Ridge Partners Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1A, 5.18%, <br> 10/25/70<sup>(a)(c)</sup><br>|  | 4608 | 4618049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 4.99%, <br> 12/25/70<sup>(a)(b)</sup><br>|  | 5781 | 5774977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1LC, 5.12%, <br> 12/25/70<sup>(a)(c)</sup><br>|  | 258 | 257754 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Preston Ridge Partners Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class B1, 6.96%, <br> 12/25/70<sup>(a)(b)</sup><br>| USD  | 760 | $755466 |
| PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, <br> 11/25/56<sup>(a)(b)</sup><br>|  | 947 | 848562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC1, Class A1A, 4.10%, <br> 04/25/57<sup>(a)(b)</sup><br>|  | 361 | 360870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC2, Class A1, 5.34%, <br> 08/25/57<sup>(a)(b)</sup><br>|  | 5066 | 5061881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-AFC1, Class B1, 7.40%, <br> 02/25/58<sup>(a)(b)</sup><br>|  | 4666 | 4650751 |
| PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class B1, 5.40%, <br> 08/25/67<sup>(a)(b)</sup><br>|  | 336 | 327364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 7.40%, <br> 12/25/68<sup>(a)(b)</sup><br>|  | 2067 | 2085729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, <br> 11/25/69<sup>(a)(c)</sup><br>|  | 8334 | 8403472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1A, 6.65%, <br> 11/25/69<sup>(a)(b)</sup><br>|  | 2636 | 2679046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.69%, <br> 04/25/70<sup>(a)(c)</sup><br>|  | 11488 | 11576011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.61%, <br> 05/25/70<sup>(a)(b)</sup><br>|  | 5147 | 5183601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RCF2, Class A1, 4.00%, <br> 10/25/64<sup>(a)(c)</sup><br>|  | 2551 | 2511134 |
| &nbsp;&nbsp;&nbsp; Radian Mortgage Capital Trust, Series 2024-J2, <br> Class A8, 5.50%, 03/25/55<sup>(a)(b)</sup><br>|  | 1383 | 1381946 |
| &nbsp;&nbsp;&nbsp; Rain City Mortgage Trust, Series 2024-RTL1, <br> Class A1, 6.53%, 09/25/29<sup>(a)(b)</sup><br>|  | 1256 | 1270844 |
| RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA10, Class A21, 4.66%, <br> 09/25/35<sup>(b)</sup><br>|  | 4694 | 1672648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QO2, Class A1, (12-mo. Federal <br> Reserve Cumulative Average US + 1.36%), <br> 5.39%, 09/25/45<sup>(b)</sup><br>|  | 587 | 509591 |
| &nbsp;&nbsp;&nbsp; Series 2005-QS15, Class 3A, 6.00%, 10/25/35 |  | 3726 | 3304975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QA10, Class A2, (1-mo. CME Term <br> SOFR + 0.47%), 4.21%, 12/25/36<sup>(b)</sup><br>|  | 1220 | 1098540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO1, Class 3A1, (1-mo. CME Term <br> SOFR + 0.65%), 4.39%, 02/25/46<sup>(b)</sup><br>|  | 1630 | 580614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO10, Class A1, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 01/25/37<sup>(b)</sup><br>|  | 1443 | 1318278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QH3, Class A1, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 04/25/37<sup>(b)</sup><br>|  | 4253 | 4200254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QO2, Class A1, (1-mo. CME Term <br> SOFR + 0.26%), 4.00%, 02/25/47<sup>(b)</sup><br>|  | 2654 | 795797 |
| RCKT Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class B4, 3.47%, 02/25/50<sup>(a)(b)</sup> |  | 859 | 776126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CES8, Class A1A, 5.49%, <br> 11/25/44<sup>(a)(c)</sup><br>|  | 3223 | 3246429 |
| Reperforming Loan REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R1, Class 1AF1, (1-mo. CME Term <br> SOFR + 0.47%), 4.21%, 03/25/35<sup>(a)(b)</sup><br>|  | 829 | 802072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R2, Class 1AF1, (1-mo. CME Term <br> SOFR + 0.45%), 4.19%, 06/25/35<sup>(a)(b)</sup><br>|  | 154 | 149929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R3, Class AF, (1-mo. CME Term <br> SOFR + 0.51%), 4.25%, 09/25/35<sup>(a)(b)</sup><br>|  | 261 | 217153 |
| Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class B2, 6.04%, 05/25/59<sup>(a)(b)</sup> |  | 656 | 651614 |
| &nbsp;&nbsp;&nbsp; Series 2019-3, Class B2, 5.66%, 09/25/59<sup>(a)(b)</sup> |  | 3102 | 3108679 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class B2, 4.67%, 01/26/60<sup>(a)(b)</sup> | USD  | 622 | $581808 |
| RFMSI Series Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-SA4, Class 2A1, 5.23%, <br> 09/25/35<sup>(b)</sup><br>|  | 1688 | 938664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA2, Class 2A1, 5.52%, <br> 08/25/36<sup>(b)</sup><br>|  | 386 | 255086 |
| &nbsp;&nbsp;&nbsp; Series 2006-SA4, Class 2A1, 5.43%, 11/25/36<sup>(b)</sup> |  | 185 | 155745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SA4, Class 3A1, 5.73%, <br> 10/25/37<sup>(b)</sup><br>|  | 4239 | 2551952 |
| RMF Buyout Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M3, 3.69%, <br> 11/25/31<sup>(a)(b)</sup><br>|  | 3379 | 3235790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M6, 6.00%, <br> 11/25/31<sup>(a)(b)</sup><br>|  | 1316 | 1180842 |
| Saluda Grade Alternative Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL4, Class A1, 7.50%, <br> 02/25/30<sup>(a)(c)</sup><br>|  | 5668 | 5675909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 7.76%, <br> 04/25/30<sup>(a)(c)</sup><br>|  | 4013 | 4041728 |
| Santander Mortgage Asset Receivable Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.73%, <br> 02/25/65<sup>(a)(c)</sup><br>|  | 3133 | 3165674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 5.14%, <br> 11/25/65<sup>(a)(b)</sup><br>|  | 3714 | 3723843 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Trust, <br> Series 2020-3, Class M1, 4.75%, 04/26/60<sup>(a)(b)</sup><br>|  | 284 | 281937 |
| SG Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(c)</sup> |  | 600 | 599560 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class B1, 5.28%, 08/25/62<sup>(a)(b)</sup> |  | 3715 | 3672599 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 5.28%, 08/25/62<sup>(a)(b)</sup> |  | 3313 | 3293159 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A1, 5.10%, 12/25/65<sup>(a)(b)</sup> |  | 1259 | 1258502 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class ALCF, 5.23%, 12/25/65<sup>(a)</sup> |  | 780 | 779928 |
| Spruce Hill Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SH2, Class B1, 5.00%, <br> 06/25/55<sup>(a)(b)</sup><br>|  | 1465 | 1444829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SH1, Class A3, 4.10%, <br> 07/25/57<sup>(a)(c)</sup><br>|  | 629 | 606640 |
| Starwood Mortgage Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-3, Class B1, 4.75%, 04/25/65<sup>(a)(b)</sup> |  | 2820 | 2652585 |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class B1, 3.26%, 11/25/55<sup>(a)</sup> |  | 260 | 241308 |
| &nbsp;&nbsp;&nbsp; Series 2020-INV1, Class M1, 2.50%, 11/25/55<sup>(a)</sup> |  | 2688 | 2549612 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class B1, 3.52%, 05/25/65<sup>(a)(b)</sup> |  | 648 | 575239 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust, <br> Series 2006-AR5, Class 2A1, (1-mo. CME Term <br> SOFR + 0.53%), 4.27%, 05/25/46<sup>(b)</sup><br>|  | 25 | 17847 |
| Structured Asset Securities Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF3, Class 1A, (1-mo. CME Term <br> SOFR + 0.46%), 4.20%, 06/25/35<sup>(a)(b)</sup><br>|  | 573 | 492269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF5, Class 2A, 4.44%, <br> 07/25/35<sup>(a)(b)</sup><br>|  | 1361 | 1285722 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RF3, Class 1A2, 6.00%, <br> 10/25/36<sup>(a)</sup><br>|  | 4312 | 2321630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RF4, Class 2A1, 6.00%, <br> 10/25/36<sup>(a)</sup><br>|  | 1237 | 599230 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust, <br> Series 2006-3, Class A1, 3.80%, 06/25/46<sup>(b)</sup><br>|  | 958 | 550627 |
| Toorak Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class B1, 3.29%, <br> 07/25/56<sup>(a)(b)</sup><br>|  | 657 | 537379 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Toorak Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV2, Class B1, 4.10%, <br> 11/25/56<sup>(a)(b)</sup><br>| USD  | 5929 | $4966707 |
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust, Series 2024-2, Class A1, <br> 6.33%, 10/25/31<sup>(a)(c)</sup><br>|  | 1635 | 1642719 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M1, 1.97%, 01/25/66<sup>(a)(b)</sup> |  | 3000 | 2396660 |
| &nbsp;&nbsp;&nbsp; Series 2021-6, Class B1, 4.05%, 10/25/66<sup>(a)(b)</sup> |  | 169 | 136383 |
| &nbsp;&nbsp;&nbsp; Series 2021-6, Class M1, 2.94%, 10/25/66<sup>(a)(b)</sup> |  | 462 | 356195 |
| &nbsp;&nbsp;&nbsp; Series 2021-8, Class A1, 2.82%, 11/25/66<sup>(a)(b)</sup> |  | 1644 | 1525016 |
| &nbsp;&nbsp;&nbsp; Series 2021-R1, Class M1, 2.34%, 10/25/63<sup>(a)</sup> |  | 3250 | 3069055 |
| &nbsp;&nbsp;&nbsp; Series 2021-R2, Class B1, 3.25%, 02/25/64<sup>(a)(b)</sup> |  | 265 | 217073 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 4.01%, 01/25/67<sup>(a)(b)</sup> |  | 1507 | 1201332 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.05%, 02/25/67<sup>(a)(b)</sup> |  | 2188 | 1730468 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class B1, 7.42%, 03/25/68<sup>(a)(b)</sup> |  | 4333 | 4335738 |
| &nbsp;&nbsp;&nbsp; Series 2023-3, Class B1, 7.71%, 03/25/68<sup>(a)(b)</sup> |  | 415 | 416036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-INV1, Class B1, 7.45%, <br> 02/25/68<sup>(a)(b)</sup><br>|  | 3200 | 3190299 |
| &nbsp;&nbsp;&nbsp; Series 2024-7, Class B1, 6.50%, 09/25/69<sup>(a)(b)</sup> |  | 648 | 652959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-12, Class A1LC, 5.11%, <br> 12/25/70<sup>(a)(c)</sup><br>|  | 2915 | 2922460 |
| &nbsp;&nbsp;&nbsp; Series 2025-12, Class B1, 6.56%, 12/25/70<sup>(a)(b)</sup> |  | 1000 | 1002791 |
| &nbsp;&nbsp;&nbsp; Series 2025-5, Class A1, 5.43%, 06/25/70<sup>(a)(c)</sup> |  | 3455 | 3483079 |
| &nbsp;&nbsp;&nbsp; Series 2025-6, Class A1, 5.42%, 07/25/70<sup>(a)(c)</sup> |  | 8543 | 8614772 |
| Visio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class B1, 3.91%, 11/25/54<sup>(a)(b)</sup> |  | 100 | 93821 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 5.92%, 08/25/57<sup>(a)(b)</sup> |  | 1718 | 1710756 |
| Vista Point Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 2.50%, 04/25/65<sup>(a)(b)</sup> |  | 61 | 59064 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 4.90%, 04/25/65<sup>(a)(b)</sup> |  | 2763 | 2713142 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class B2, 5.16%, 04/25/65<sup>(a)(b)</sup> |  | 1100 | 1069486 |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 3.40%, 04/25/65<sup>(a)(b)</sup> |  | 170 | 162491 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through <br> Certificates Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class A1, 5.75%, 01/25/36 |  | 1004 | 858958 |
| &nbsp;&nbsp;&nbsp; Series 2005-11, Class A7, 5.75%, 01/25/36 |  | 2042 | 1746514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class 5A6, (1-mo. CME Term <br> SOFR + 0.66%), 4.40%, 11/25/35<sup>(b)</sup><br>|  | 317 | 239115 |
| &nbsp;&nbsp;&nbsp; Series 2005-9, Class 5A9, 5.50%, 11/25/35 |  | 130 | 107104 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 6.00%, 04/25/36 |  | 121 | 114397 |
| &nbsp;&nbsp;&nbsp; Series 2006-4, Class 3A1, 7.00%, 05/25/36<sup>(c)</sup> |  | 79 | 69685 |
| &nbsp;&nbsp;&nbsp; Series 2006-6, Class 3CB1, 7.00%, 08/25/36 |  | 3770 | 1472656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR1, Class A1A, (1-mo. CME Term <br> SOFR + 0.61%), 4.35%, 02/25/36<sup>(b)</sup><br>|  | 1035 | 883503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR3, Class A1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.97%), <br> 5.00%, 05/25/46<sup>(b)</sup><br>|  | 2560 | 2299344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR5, Class A1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.99%), <br> 5.02%, 06/25/46<sup>(b)</sup><br>|  | 132 | 122702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR9, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 1.00%), <br> 5.03%, 08/25/46<sup>(b)</sup><br>|  | 2105 | 1952531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY1, Class A2A, (1-mo. CME Term <br> SOFR + 0.43%), 4.17%, 02/25/37<sup>(b)</sup><br>|  | 410 | 323548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY3, Class 4A1, 4.95%, <br> 03/25/37<sup>(b)</sup><br>|  | 16 | 14904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.71%), <br> 4.74%, 12/25/46<sup>(b)</sup><br>|  | 2100 | 1943928 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through <br> Certificates Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.72%), <br> 4.75%, 12/25/46<sup>(b)</sup><br>| USD  | 126 | $104712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA3, Class 5A, (12-mo. Federal <br> Reserve Cumulative Average US + 1.25%), <br> 5.28%, 04/25/47<sup>(b)</sup><br>|  | 499 | 441178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA4, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.80%), <br> 4.83%, 05/25/47<sup>(b)</sup><br>|  | 1896 | 1627923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 1A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.75%), <br> 4.78%, 06/25/47<sup>(b)</sup><br>|  | 409 | 351328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 2A, (12-mo. Federal <br> Reserve Cumulative Average US + 0.80%), <br> 4.83%, 06/25/47<sup>(b)</sup><br>|  | 1411 | 1195334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OC2, Class A3, (1-mo. CME Term <br> SOFR + 0.73%), 4.47%, 06/25/37<sup>(b)</sup><br>|  | 628 | 604111 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage Backed Securities Trust, <br> Series 2006-AR15, Class A1, 6.76%, <br> 10/25/36<sup>(b)</sup><br>|  | 602 | 577049 |
| Western Alliance Bank |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M1, (SOFR (30-day) + <br> 3.15%), 7.02%, 07/25/59<sup>(a)(b)</sup><br>|  | 3499 | 3651049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M2, (SOFR (30-day) + <br> 3.70%), 7.57%, 07/25/59<sup>(a)(b)</sup><br>|  | 5003 | 5299787 |
| &nbsp;&nbsp;&nbsp; WinWater Mortgage Loan Trust, Series 2014-3, <br> Class B5, 4.00%, 11/20/44<sup>(a)(b)</sup><br>|  | 923 | 696721 |
|  |  |  | 1093162611 |
| **Commercial Mortgage-Backed Securities — 25.2%** | **Commercial Mortgage-Backed Securities — 25.2%** | **Commercial Mortgage-Backed Securities — 25.2%** | **Commercial Mortgage-Backed Securities — 25.2%** |
| 1301 Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1301, Class A, 5.06%, <br> 08/11/42<sup>(a)(b)</sup><br>|  | 1750 | 1771575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1301, Class E, 7.24%, <br> 08/11/42<sup>(a)(b)</sup><br>|  | 1232 | 1241640 |
| &nbsp;&nbsp;&nbsp; Series 2025-1301, Class F, 8.10%, 08/11/42<sup>(a)(b)</sup> |  | 15045 | 15397009 |
| 1345 Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class A, (1-mo. CME Term <br> SOFR + 1.60%), 5.35%, 06/15/42<sup>(a)(b)</sup><br>|  | 11519 | 11554837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class E, (1-mo. CME Term <br> SOFR + 4.50%), 8.25%, 06/15/42<sup>(a)(b)</sup><br>|  | 3853 | 3882435 |
| 245 Park Avenue Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-245P, Class A, 3.51%, 06/05/37<sup>(a)</sup> |  | 5000 | 4923212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class C, 3.66%, <br> 06/05/37<sup>(a)(b)</sup><br>|  | 3000 | 2930026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class E, 3.66%, <br> 06/05/37<sup>(a)(b)</sup><br>|  | 1151 | 1101557 |
| 280 Park Avenue Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class A, (1-mo. CME Term <br> SOFR + 1.18%), 4.96%, 09/15/34<sup>(a)(b)</sup><br>|  | 5792 | 5773003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class B, (1-mo. CME Term <br> SOFR + 1.38%), 5.16%, 09/15/34<sup>(a)(b)</sup><br>|  | 585 | 581512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class E, (1-mo. CME Term <br> SOFR + 2.42%), 6.20%, 09/15/34<sup>(a)(b)</sup><br>|  | 2159 | 2132986 |
| &nbsp;&nbsp;&nbsp; 3650R Commercial Mortgage Trust, Series 2022-<br> PF2, Class A5, 5.29%, 11/15/55<sup>(b)</sup><br>|  | 600 | 613774 |
| &nbsp;&nbsp;&nbsp; A10 Issuer LLC, Series 2025-FL6, Class A, (1-mo. <br> CME Term SOFR + 1.47%), 5.52%, <br> 05/15/42<sup>(a)(b)</sup><br>|  | 2109 | 2105054 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; ACRES LLC, Series 2025-FL3, Class A, (1-mo. <br> CME Term SOFR + 1.62%), 5.35%, <br> 08/18/40<sup>(a)(b)</sup><br>| USD  | 7859 | $7869400 |
| &nbsp;&nbsp;&nbsp; Alen Mortgage Trust, Series 2021-ACEN, Class A, <br> (1-mo. CME Term SOFR + 1.26%), 5.02%, <br> 04/15/34<sup>(a)(b)</sup><br>|  | 644 | 613211 |
| &nbsp;&nbsp;&nbsp; Angel Oak SB Commercial Mortgage Trust, <br> Series 2020-SBC1, Class A1, 2.07%, <br> 05/25/50<sup>(a)(b)</sup><br>|  | 2011 | 1962202 |
| &nbsp;&nbsp;&nbsp; Arbor Multifamily Mortgage Securities Trust, <br> Series 2021-MF3, Class A5, 2.58%, 10/15/54<sup>(a)</sup><br>|  | 1504 | 1357912 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Collateralized Loan Obligation Ltd., <br> Series 2025-BTR1, Class A, (1-mo. CME Term <br> SOFR + 1.93%), 5.66%, 01/20/41<sup>(a)(b)</sup><br>|  | 4810 | 4824355 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes LLC, <br> Series 2025-FL1, Class A, (1-mo. CME Term <br> SOFR + 1.35%), 5.09%, 01/20/43<sup>(a)(b)</sup><br>|  | 4854 | 4844191 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd., <br> Series 2022-FL1, Class A, (SOFR (30-day) + <br> 1.45%), 5.43%, 01/15/37<sup>(a)(b)</sup><br>|  | 66 | 66514 |
| AREIT CRE Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (1-mo. CME Term <br> SOFR + 2.24%), 5.98%, 06/17/39<sup>(a)(b)</sup><br>|  | 927 | 927169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CRE8, Class A, (1-mo. CME Term <br> SOFR + 2.11%), 5.85%, 08/17/41<sup>(a)(b)</sup><br>|  | 718 | 717714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CRE9, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 05/17/41<sup>(a)(b)</sup><br>|  | 6452 | 6451322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE10, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.35%, 12/17/29<sup>(a)(b)</sup><br>|  | 1400 | 1398482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE11, Class A, (1-mo. CME Term <br> SOFR + 1.55%), 5.55%, 07/25/43<sup>(a)(b)</sup><br>|  | 4098 | 4104054 |
| ARES Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 07/15/41<sup>(a)(b)</sup><br>|  | 5730 | 5737080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 10/15/34<sup>(a)(b)</sup><br>|  | 9250 | 9255704 |
| &nbsp;&nbsp;&nbsp; ARZ Trust, Series 2024-BILT, Class A, 5.77%, <br> 06/11/39<sup>(a)</sup><br>|  | 2710 | 2785700 |
| &nbsp;&nbsp;&nbsp; Ashford Hospitality Trust, Series 2018-ASHF, <br> Class D, (1-mo. CME Term SOFR + 2.27%), <br> 6.02%, 04/15/35<sup>(a)(b)</sup><br>|  | 1128 | 1119510 |
| Atrium Hotel Portfolio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class A, 5.41%, <br> 11/10/29<sup>(a)(b)</sup><br>|  | 6510 | 6640449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class E, 9.21%, <br> 11/10/29<sup>(a)(b)</sup><br>|  | 2001 | 2037100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ATRM, Class A, (1-mo. CME Term <br> SOFR + 1.65%), 5.40%, 08/15/42<sup>(a)(b)</sup><br>|  | 2336 | 2338429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ATRM, Class F, (1-mo. CME Term <br> SOFR + 5.50%), 9.25%, 08/15/42<sup>(a)(b)</sup><br>|  | 4960 | 4952294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ATRM, Class G, (1-mo. CME Term <br> SOFR + 6.75%), 10.50%, 08/15/42<sup>(a)(b)</sup><br>|  | 930 | 928590 |
| BAHA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class A, 5.97%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 28280 | 29270609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class B, 6.84%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 894 | 935621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class C, 7.52%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 4400 | 4609025 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Banc of America Merrill Lynch Commercial <br> Mortgage Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BHP, Class A, (1-mo. CME Term <br> SOFR + 2.35%), 6.10%, 08/15/39<sup>(a)(b)</sup><br>| USD  | 820 | $821354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class A, (1-mo. CME Term <br> SOFR + 1.85%), 5.60%, 02/15/42<sup>(a)(b)</sup><br>|  | 8471 | 8470988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class E, (1-mo. CME Term <br> SOFR + 5.25%), 9.00%, 02/15/42<sup>(a)(b)</sup><br>|  | 3454 | 3454306 |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-BN22, Class A4, 2.98%, 11/15/62 |  | 3000 | 2845255 |
| &nbsp;&nbsp;&nbsp; Series 2021-BN35, Class C, 2.90%, 06/15/64<sup>(b)</sup> |  | 2735 | 2328046 |
| &nbsp;&nbsp;&nbsp; BAY Mortgage Trust, Series 2025-LIVN, Class A, <br> (1-mo. CME Term SOFR + 1.80%), 5.55%, <br> 05/15/35<sup>(a)(b)</sup><br>|  | 13237 | 13246202 |
| Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A1, (1-mo. CME Term <br> SOFR + 0.52%), 4.25%, 04/25/36<sup>(a)(b)</sup><br>|  | 4094 | 3877661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A2, (1-mo. CME Term <br> SOFR + 0.65%), 4.39%, 04/25/36<sup>(a)(b)</sup><br>|  | 9 | 8717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4A, Class A2, (1-mo. CME Term <br> SOFR + 0.52%), 4.25%, 12/25/36<sup>(a)(b)</sup><br>|  | 873 | 834098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SP2, Class A, (1-mo. CME Term <br> SOFR + 0.53%), 4.49%, 01/25/37<sup>(a)(b)</sup><br>|  | 893 | 855379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, (1-mo. CME Term <br> SOFR + 0.52%), 4.25%, 03/25/37<sup>(a)(b)</sup><br>|  | 3863 | 3700567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2A, Class A1, (1-mo. CME Term <br> SOFR + 0.52%), 4.25%, 07/25/37<sup>(a)(b)</sup><br>|  | 21 | 19255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4A, Class A1, (1-mo. CME Term <br> SOFR + 0.79%), 4.52%, 09/25/37<sup>(a)(b)</sup><br>|  | 3561 | 3380025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5A, Class A4, (1-mo. CME Term <br> SOFR + 2.36%), 6.10%, 10/25/37<sup>(a)(b)</sup><br>|  | 1927 | 1128683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6A, Class A4A, (1-mo. CME Term <br> SOFR + 2.36%), 6.32%, 12/25/37<sup>(a)(b)</sup><br>|  | 2257 | 2025361 |
| BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SRCH, Class A1, 3.31%, <br> 08/10/35<sup>(a)</sup><br>|  | 135 | 133273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CHRS, Class E, 4.27%, <br> 08/05/38<sup>(a)(b)</sup><br>|  | 650 | 553325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, (1-mo. CME Term <br> SOFR + 0.92%), 4.67%, 03/15/37<sup>(a)(b)</sup><br>|  | 5260 | 4979091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class B, (1-mo. CME Term <br> SOFR + 1.17%), 4.92%, 03/15/37<sup>(a)(b)</sup><br>|  | 781 | 703552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5C23, Class D, 7.46%, <br> 12/15/56<sup>(a)(b)</sup><br>|  | 332 | 328061 |
| &nbsp;&nbsp;&nbsp; Series 2025-C35, Class A5, 5.59%, 07/15/58<sup>(b)</sup> |  | 6768 | 7115858 |
| &nbsp;&nbsp;&nbsp; Series 2025-C35, Class AS, 5.84%, 07/15/58<sup>(b)</sup> |  | 1120 | 1170781 |
| &nbsp;&nbsp;&nbsp; Series 2025-C35, Class D, 4.50%, 07/15/58<sup>(a)</sup> |  | 1236 | 1022782 |
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, Series 2020-B21, <br> Class A5, 1.98%, 12/17/53<br>|  | 769 | 680297 |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EYP, Class E, (1-mo. CME Term <br> SOFR + 3.81%), 7.57%, 10/15/35<sup>(a)(b)</sup><br>|  | 1353 | 16872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.24%, 11/15/41<sup>(a)(b)</sup><br>|  | 3790 | 3792366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class E, (1-mo. CME Term <br> SOFR + 3.64%), 7.39%, 11/15/41<sup>(a)(b)</sup><br>|  | 1723 | 1725738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VICT, Class A, (1-mo. CME Term <br> SOFR + 1.89%), 5.64%, 07/15/41<sup>(a)(b)</sup><br>|  | 2970 | 2982871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5MW, Class A, 4.67%, <br> 10/10/42<sup>(a)(b)</sup><br>|  | 3315 | 3314805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5MW, Class E, 7.91%, <br> 10/10/42<sup>(a)(b)</sup><br>|  | 2599 | 2664434 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5MW, Class F, 9.83%, <br> 10/10/42<sup>(a)(b)</sup><br>| USD  | 12660 | $12962937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.25%, 11/15/42<sup>(a)(b)</sup><br>|  | 3896 | 3906954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class D, (1-mo. CME Term <br> SOFR + 2.75%), 6.50%, 11/15/42<sup>(a)(b)</sup><br>|  | 774 | 777869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class A, (1-mo. CME Term <br> SOFR + 1.55%), 5.30%, 06/15/42<sup>(a)(b)</sup><br>|  | 8457 | 8456986 |
| &nbsp;&nbsp;&nbsp; BHMS Commercial Mortgage Trust, Series 2025-<br> ATLS, Class A, (1-mo. CME Term SOFR + <br> 1.85%), 5.60%, 08/15/42<sup>(a)(b)</sup><br>|  | 8165 | 8195691 |
| &nbsp;&nbsp;&nbsp; BLP Commercial Mortgage Trust, Series 2024-<br> IND2, Class A, (1-mo. CME Term SOFR + <br> 1.34%), 5.09%, 03/15/41<sup>(a)(b)</sup><br>|  | 2547 | 2548406 |
| BMP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF23, Class D, (1-mo. CME Term <br> SOFR + 2.39%), 6.14%, 06/15/41<sup>(a)(b)</sup><br>|  | 8720 | 8741570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF23, Class E, (1-mo. CME Term <br> SOFR + 3.39%), 7.14%, 06/15/41<sup>(a)(b)</sup><br>|  | 1719 | 1721146 |
| &nbsp;&nbsp;&nbsp; BOCA Commercial Mortgage Trust, Series 2025-<br> BOCA, Class A, (1-mo. CME Term SOFR + <br> 1.60%), 5.45%, 12/15/42<sup>(a)(b)</sup><br>|  | 4620 | 4625770 |
| BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class A, (1-mo. CME Term <br> SOFR + 1.16%), 4.92%, 09/15/38<sup>(a)(b)</sup><br>|  | 5500 | 5498310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class E, (1-mo. CME Term <br> SOFR + 3.71%), 7.47%, 09/15/38<sup>(a)(b)</sup><br>|  | 3138 | 3109354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SSP, Class A, (1-mo. CME Term <br> SOFR + 3.00%), 6.75%, 05/15/39<sup>(a)(b)</sup><br>|  | 770 | 769999 |
| &nbsp;&nbsp;&nbsp; Series 2023-STON, Class A, 7.50%, 12/05/39<sup>(a)</sup> |  | 5722 | 5933863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class A, 5.22%, <br> 11/05/39<sup>(a)(b)</sup><br>|  | 1420 | 1447285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class D, 7.00%, <br> 11/05/39<sup>(a)(b)</sup><br>|  | 879 | 914443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PMDW, Class A, 5.36%, <br> 11/05/41<sup>(a)(b)</sup><br>|  | 640 | 654868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-STAR, Class A, 4.95%, <br> 11/05/42<sup>(a)(b)</sup><br>|  | 3090 | 3107992 |
| BRCK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-830B, Class A, 4.96%, <br> 12/10/42<sup>(a)(b)</sup><br>|  | 2826 | 2826745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-830B, Class E, 7.51%, <br> 12/10/42<sup>(a)(b)</sup><br>|  | 4021 | 4017214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-830B, Class F, 8.40%, <br> 12/10/42<sup>(a)(b)</sup><br>|  | 1900 | 1900407 |
| &nbsp;&nbsp;&nbsp; BRES Trust, Series 2025-ATCAP, Class A, (1-mo. <br> CME Term SOFR + 1.49%), 5.24%, <br> 11/15/42<sup>(a)(b)</sup><br>|  | 2058 | 2067399 |
| &nbsp;&nbsp;&nbsp; BSPDF Issuer LLC, Series 2025-FL2, Class A, <br> (1-mo. CME Term SOFR + 1.52%), 5.27%, <br> 12/15/42<sup>(a)(b)</sup><br>|  | 1212 | 1211142 |
| &nbsp;&nbsp;&nbsp; BSTN Commercial Mortgage Trust, Series 2025-<br> 1C, Class A, 5.37%, 06/15/44<sup>(a)(b)</sup><br>|  | 4920 | 5052170 |
| BWAY Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-1515, Class A2, 3.45%, 03/10/33<sup>(a)</sup> |  | 1047 | 991222 |
| &nbsp;&nbsp;&nbsp; Series 2013-1515, Class C, 3.45%, 03/10/33<sup>(a)</sup> |  | 1250 | 1148166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1515, Class F, 3.93%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 338 | 286864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1535, Class A, 6.31%, <br> 05/05/42<sup>(a)(b)</sup><br>|  | 747 | 772665 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV2, Class C, 3.54%, <br> 03/09/44<sup>(a)(b)</sup><br>| USD  | 2204 | $2069007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV3, Class B, 3.54%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 2788 | 2642746 |
| &nbsp;&nbsp;&nbsp; Series 2020-VIV4, Class A, 2.84%, 03/09/44<sup>(a)</sup> |  | 781 | 725109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIV5, Class A, 2.84%, <br> 03/09/44<sup>(a)(b)</sup><br>|  | 1522 | 1413146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-XL2, Class F, (1-mo. CME Term <br> SOFR + 2.36%), 6.11%, 10/15/38<sup>(a)(b)</sup><br>|  | 3544 | 3537513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CSMO, Class B, (1-mo. CME Term <br> SOFR + 3.14%), 6.89%, 06/15/27<sup>(a)(b)</sup><br>|  | 1762 | 1765265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 5.51%, 12/09/40<sup>(a)(b)</sup><br>|  | 4185 | 4188950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class D, (1-mo. CME Term <br> SOFR + 3.59%), 7.34%, 12/09/40<sup>(a)(b)</sup><br>|  | 3279 | 3286421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIR2, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.24%, 10/15/41<sup>(a)(b)</sup><br>|  | 3031 | 3034777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 08/15/41<sup>(a)(b)</sup><br>|  | 7250 | 7263415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class A, (1-mo. CME Term <br> SOFR + 2.88%), 6.61%, 10/15/41<sup>(a)(b)</sup><br>|  | 6200 | 6230703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class B, (1-mo. CME Term <br> SOFR + 3.93%), 7.66%, 10/15/41<sup>(a)(b)</sup><br>|  | 1512 | 1521360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class B, (1-mo. CME Term <br> SOFR + 1.64%), 5.39%, 12/15/39<sup>(a)(b)</sup><br>|  | 1091 | 1093178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-KING, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.29%, 05/15/34<sup>(a)(b)</sup><br>|  | 6307 | 6306970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MDHS, Class A, (1-mo. CME Term <br> SOFR + 1.64%), 5.39%, 05/15/41<sup>(a)(b)</sup><br>|  | 7870 | 7881692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 02/15/39<sup>(a)(b)</sup><br>|  | 615 | 616027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class E, (1-mo. CME Term <br> SOFR + 3.74%), 7.49%, 02/15/39<sup>(a)(b)</sup><br>|  | 1931 | 1935033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 02/15/39<sup>(a)(b)</sup><br>|  | 3660 | 3662424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class D, (1-mo. CME Term <br> SOFR + 3.14%), 6.89%, 02/15/39<sup>(a)(b)</sup><br>|  | 2766 | 2773232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class E, (1-mo. CME Term <br> SOFR + 4.19%), 7.94%, 02/15/39<sup>(a)(b)</sup><br>|  | 1643 | 1652730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL5, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.14%, 03/15/41<sup>(a)(b)</sup><br>|  | 2512 | 2513907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class A, (1-mo. CME Term <br> SOFR + 1.38%), 5.13%, 08/15/42<sup>(a)(b)</sup><br>|  | 3520 | 3524165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class B, (1-mo. CME Term <br> SOFR + 1.55%), 5.30%, 08/15/42<sup>(a)(b)</sup><br>|  | 924 | 923787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class C, (1-mo. CME Term <br> SOFR + 1.90%), 5.65%, 08/15/42<sup>(a)(b)</sup><br>|  | 352 | 352130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class E, (1-mo. CME Term <br> SOFR + 3.50%), 7.25%, 08/15/42<sup>(a)(b)</sup><br>|  | 2897 | 2891122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-JDI, Class A, (1-mo. CME Term <br> SOFR + 1.40%), 5.15%, 11/15/42<sup>(a)(b)</sup><br>|  | 4096 | 4099807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-JDI, Class E, (1-mo. CME Term <br> SOFR + 3.40%), 7.15%, 11/15/42<sup>(a)(b)</sup><br>|  | 1680 | 1684169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SPOT, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 04/15/40<sup>(a)(b)</sup><br>|  | 16955 | 16965704 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AJV, (1-mo. CME Term <br> SOFR + 0.91%), 4.67%, 02/15/36<sup>(a)(b)</sup><br>|  | 1700 | 1697636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AV, (1-mo. CME Term <br> SOFR + 0.91%), 4.67%, 02/15/36<sup>(a)(b)</sup><br>|  | 594 | 593416 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class E, (1-mo. CME Term <br> SOFR + 3.71%), 7.46%, 06/15/36<sup>(a)(b)</sup><br>| USD  | 2542 | $2540983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class F, (1-mo. CME Term <br> SOFR + 4.04%), 7.79%, 06/15/36<sup>(a)(b)</sup><br>|  | 856 | 852234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class B, (1-mo. CME Term <br> SOFR + 1.28%), 5.03%, 01/15/39<sup>(a)(b)</sup><br>|  | 397 | 396759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 04/15/41<sup>(a)(b)</sup><br>|  | 3268 | 3270901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class D, (1-mo. CME Term <br> SOFR + 2.69%), 6.44%, 04/15/41<sup>(a)(b)</sup><br>|  | 1406 | 1413321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class E, (1-mo. CME Term <br> SOFR + 3.69%), 7.44%, 04/15/41<sup>(a)(b)</sup><br>|  | 2138 | 2135193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.29%, 06/15/37<sup>(a)(b)</sup><br>|  | 9566 | 9571933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class B, (1-mo. CME Term <br> SOFR + 1.79%), 5.54%, 06/15/37<sup>(a)(b)</sup><br>|  | 697 | 692535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 5.84%, 03/15/41<sup>(a)(b)</sup><br>|  | 2210 | 2210000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class C, (1-mo. CME Term <br> SOFR + 4.44%), 8.19%, 03/15/41<sup>(a)(b)</sup><br>|  | 4722 | 4738916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class D, (1-mo. CME Term <br> SOFR + 5.39%), 9.14%, 03/15/41<sup>(a)(b)</sup><br>|  | 2263 | 2277415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.24%, 06/15/41<sup>(a)(b)</sup><br>|  | 1303 | 1302592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ARIA, Class A, 5.03%, <br> 12/13/42<sup>(a)(b)</sup><br>|  | 10720 | 10817177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, <br> 06/13/47<sup>(a)(b)</sup><br>|  | 7582 | 7753531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LUNR, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.25%, 06/15/40<sup>(a)(b)</sup><br>|  | 4400 | 4405729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OMG, Class A, (1-mo. CME Term <br> SOFR + 1.35%), 5.10%, 10/15/42<sup>(a)(b)</sup><br>|  | 3874 | 3876415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class E, (1-mo. CME Term <br> SOFR + 2.94%), 6.69%, 03/15/30<sup>(a)(b)</sup><br>|  | 8318 | 8276105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class A, (1-mo. CME Term <br> SOFR + 1.40%), 5.15%, 06/15/35<sup>(a)(b)</sup><br>|  | 1084 | 1084000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class E, (1-mo. CME Term <br> SOFR + 3.30%), 7.05%, 06/15/35<sup>(a)(b)</sup><br>|  | 4418 | 4415028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VLT6, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 03/15/42<sup>(a)(b)</sup><br>|  | 6301 | 6293371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VOLT, Class A, (1-mo. CME Term <br> SOFR + 1.70%), 5.45%, 12/15/44<sup>(a)(b)</sup><br>|  | 4330 | 4332693 |
| BXP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-GM, Class B, 3.43%, 06/13/39<sup>(a)(b)</sup> |  | 265 | 259271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-601L, Class D, 2.78%, <br> 01/15/44<sup>(a)(b)</sup><br>|  | 1120 | 925026 |
| &nbsp;&nbsp;&nbsp; CALI Mortgage Trust, Series 2024-SUN, Class A, <br> (1-mo. CME Term SOFR + 1.89%), 5.67%, <br> 07/15/41<sup>(a)(b)</sup><br>|  | 2390 | 2392953 |
| CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-CD1, Class A3, 2.46%, 08/10/49 |  | 4116 | 4100466 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD6, Class B, 3.91%, 11/13/50<sup>(b)</sup> |  | 336 | 321112 |
| &nbsp;&nbsp;&nbsp; CENT Trust, Series 2025-CITY, Class A, 4.92%, <br> 07/10/40<sup>(a)(b)</sup><br>|  | 6956 | 7040603 |
| &nbsp;&nbsp;&nbsp; CFCRE Commercial Mortgage Trust, Series 2016-<br> C4, Class C, 4.84%, 05/10/58<sup>(b)</sup><br>|  | 130 | 128431 |
| CFK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-FAX, Class D, 4.64%, 01/15/39<sup>(a)(b)</sup> |  | 2500 | 2413532 |
| &nbsp;&nbsp;&nbsp; Series 2019-FAX, Class E, 4.64%, 01/15/39<sup>(a)(b)</sup> |  | 2600 | 2389747 |
| &nbsp;&nbsp;&nbsp; CFSP Mortgage Trust, Series 2024-AHP1, Class A, <br> 6.50%, 04/15/37<br>|  | 6545 | 6365278 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| CHI Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-110W, Class A, 5.10%, <br> 12/13/40<sup>(a)(b)</sup><br>| USD  | 4895 | $4902915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-110W, Class D, 6.63%, <br> 12/13/40<sup>(a)(b)</sup><br>|  | 2491 | 2499867 |
| CIP Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SBAY, Class A, (1-mo. CME Term <br> SOFR + 1.40%), 5.15%, 10/15/37<sup>(a)(b)</sup><br>|  | 4785 | 4789444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SBAY, Class E, (1-mo. CME Term <br> SOFR + 3.75%), 7.50%, 10/15/37<sup>(a)(b)</sup><br>|  | 5990 | 5999266 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-P1, Class D, 3.23%, 09/15/48<sup>(a)</sup> |  | 85 | 82463 |
| &nbsp;&nbsp;&nbsp; Series 2016-P3, Class A4, 3.33%, 04/15/49 |  | 2635 | 2626733 |
| &nbsp;&nbsp;&nbsp; Series 2017-P7, Class A4, 3.71%, 04/14/50 |  | 6000 | 5948260 |
| COAST Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class A, (1-mo. CME Term <br> SOFR + 2.59%), 6.34%, 08/15/36<sup>(a)(b)</sup><br>|  | 1482 | 1481408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class D, (1-mo. CME Term <br> SOFR + 4.44%), 8.19%, 08/15/36<sup>(a)(b)</sup><br>|  | 2600 | 2596753 |
| Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CBM, Class A2, 5.87%, <br> 12/10/41<sup>(a)(b)</sup><br>|  | 630 | 641286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class A, (1-mo. CME Term <br> SOFR + 1.84%), 5.59%, 06/15/41<sup>(a)(b)</sup><br>|  | 5270 | 5276514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class B, (1-mo. CME Term <br> SOFR + 2.59%), 6.34%, 06/15/41<sup>(a)(b)</sup><br>|  | 2007 | 2009474 |
| &nbsp;&nbsp;&nbsp; Series 2025-167G, Class A, 5.50%, 08/10/40<sup>(a)</sup> |  | 1743 | 1748137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-167G, Class E, 8.20%, <br> 08/10/40<sup>(a)(b)</sup><br>|  | 1355 | 1354469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-167G, Class F, 9.16%, <br> 08/10/40<sup>(a)(b)</sup><br>|  | 1175 | 1174486 |
| &nbsp;&nbsp;&nbsp; Series 2025-SBX, Class B, 5.55%, 08/10/41<sup>(a)(b)</sup> |  | 1647 | 1653492 |
| &nbsp;&nbsp;&nbsp; CONE Trust, Series 2024-DFW1, Class E, (1-mo. <br> CME Term SOFR + 3.89%), 7.64%, <br> 08/15/41<sup>(a)(b)</sup><br>|  | 2330 | 2329020 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FACT, Class E, (1-mo. CME Term <br> SOFR + 5.48%), 9.23%, 10/15/37<sup>(a)(b)</sup><br>|  | 1134 | 1027812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class A, (1-mo. CME Term <br> SOFR + 1.26%), 5.02%, 11/15/38<sup>(a)(b)</sup><br>|  | 1020 | 1013005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class B, (1-mo. CME Term <br> SOFR + 1.61%), 5.37%, 11/15/38<sup>(a)(b)</sup><br>|  | 649 | 643740 |
| &nbsp;&nbsp;&nbsp; CRSO Trust, Series 2023-BRND, 7.12%, <br> 07/10/40<sup>(a)</sup><br>|  | 1929 | 2003468 |
| CSTL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GATE, Class A, 4.76%, <br> 11/10/41<sup>(a)(b)</sup><br>|  | 7600 | 7648346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-GATE2, Class A, 4.56%, <br> 11/10/42<sup>(a)(b)</sup><br>|  | 560 | 558229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-GATE2, Class D, 5.63%, <br> 11/10/42<sup>(a)(b)</sup><br>|  | 2040 | 2035386 |
| DBC Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DBC, Class A, (1-mo. CME Term <br> SOFR + 1.35%), 5.10%, 11/15/42<sup>(a)(b)</sup><br>|  | 5014 | 5017872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DBC, Class C, (1-mo. CME Term <br> SOFR + 2.05%), 5.80%, 11/15/42<sup>(a)(b)</sup><br>|  | 3736 | 3735994 |
| &nbsp;&nbsp;&nbsp; DBGS Mortgage Trust, Series 2024-SBL, Class A, <br> (1-mo. CME Term SOFR + 1.88%), 5.63%, <br> 08/15/34<sup>(a)(b)</sup><br>|  | 3719 | 3719000 |
| &nbsp;&nbsp;&nbsp; DBSG Mortgage Trust, Series 2024-ALTA, Class A, <br> 5.95%, 06/10/37<sup>(a)(b)</sup><br>|  | 1613 | 1637398 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust, Series 2024-LCRS, <br> Class A, (1-mo. CME Term SOFR + 1.74%), <br> 5.49%, 04/15/37<sup>(a)(b)</sup><br>| USD  | 2423 | $2419984 |
| DC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class A, 5.73%, <br> 04/13/40<sup>(a)(b)</sup><br>|  | 1110 | 1123870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class F, 10.31%, <br> 04/13/40<sup>(a)(b)</sup><br>|  | 2932 | 2925091 |
| &nbsp;&nbsp;&nbsp; DGWD Trust, Series 2025-INFL, Class A, (1-mo. <br> CME Term SOFR + 1.60%), 5.35%, <br> 08/15/35<sup>(a)(b)</sup><br>|  | 2536 | 2544487 |
| DK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.25%, 03/15/34<sup>(a)(b)</sup><br>|  | 2860 | 2862646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class E, (1-mo. CME Term <br> SOFR + 4.00%), 7.75%, 03/15/34<sup>(a)(b)</sup><br>|  | 8186 | 8203775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LXP, Class A, (1-mo. CME Term <br> SOFR + 1.59%), 5.33%, 08/15/37<sup>(a)(b)</sup><br>|  | 2821 | 2825370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LXP, Class D, (1-mo. CME Term <br> SOFR + 2.89%), 6.63%, 08/15/37<sup>(a)(b)</sup><br>|  | 1332 | 1335303 |
| Durst Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-151, Class A, 5.15%, 08/10/42<sup>(a)(b)</sup> |  | 3053 | 3114192 |
| &nbsp;&nbsp;&nbsp; Series 2025-151, Class D, 6.79%, 08/10/42<sup>(a)(b)</sup> |  | 2923 | 3019295 |
| &nbsp;&nbsp;&nbsp; Dwight Issuer LLC, Series 2025-FL1, Class A, (1-<br> mo. CME Term SOFR + 1.66%), 5.40%, <br> 06/18/42<sup>(a)(b)</sup><br>|  | 4725 | 4734316 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.80%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 3350 | 3367589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.80%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 3350 | 3367589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class E10, 7.79%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 4157 | 4168814 |
| &nbsp;&nbsp;&nbsp; EQT Trust, Series 2024-EXTR, Class A, 5.33%, <br> 07/05/41<sup>(a)(b)</sup><br>|  | 28949 | 29624137 |
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, Series 2025-ESH, <br> Class A, (1-mo. CME Term SOFR + 1.30%), <br> 5.05%, 10/15/42<sup>(a)(b)</sup><br>|  | 2477 | 2480867 |
| &nbsp;&nbsp;&nbsp; Fashion Show Mall LLC, Series 2024-SHOW, <br> Class A, 5.10%, 10/10/41<sup>(a)(b)</sup><br>|  | 363 | 368428 |
| Fontainebleau Miami Beach Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class A, (1-mo. CME Term <br> SOFR + 1.45%), 5.20%, 12/15/39<sup>(a)(b)</sup><br>|  | 12511 | 12538078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class F, (1-mo. CME Term <br> SOFR + 4.25%), 8.00%, 12/15/39<sup>(a)(b)</sup><br>|  | 315 | 316757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class G, (1-mo. CME Term <br> SOFR + 5.65%), 9.40%, 12/15/39<sup>(a)(b)</sup><br>|  | 1693 | 1711376 |
| FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-K74, Class B, 4.09%, 02/25/51<sup>(a)(b)</sup> |  | 2150 | 2125861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-W5FX, Class CFX, 3.66%, <br> 04/25/28<sup>(a)(b)</sup><br>|  | 4100 | 3850908 |
| &nbsp;&nbsp;&nbsp; Great Wolf Trust, Series 2024-WOLF, Class A, <br> (1-mo. CME Term SOFR + 1.54%), 5.29%, <br> 03/15/39<sup>(a)(b)</sup><br>|  | 369 | 369570 |
| &nbsp;&nbsp;&nbsp; Greystone CRE Notes LLC, Series 2025-FL4, <br> Class A, (1-mo. CME Term SOFR + 1.48%), <br> 5.23%, 01/15/43<sup>(a)(b)</sup><br>|  | 1731 | 1736087 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-GS6, Class A3, 3.43%, 05/10/50 |  | 2000 | 1977609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-GS10, Class A5, 4.16%, <br> 07/10/51<sup>(b)</sup><br>|  | 4100 | 4053230 |
| &nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class A4, 3.05%, 11/10/52 |  | 2587 | 2452852 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class C, 3.80%, 11/10/52<sup>(b)</sup> | USD  | 2530 | $2314035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 5.84%, 03/15/28<sup>(a)(b)</sup><br>|  | 5707 | 5728172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class A, 4.32%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 1322 | 1320026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class C, 5.51%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 1000 | 1002098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class E, 7.43%, <br> 09/10/38<sup>(a)(b)</sup><br>|  | 11123 | 11167080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RVR, Class E, 7.47%, <br> 08/10/41<sup>(a)(b)</sup><br>|  | 1263 | 1261763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class A, (1-mo. CME Term <br> SOFR + 2.65%), 6.38%, 11/25/41<sup>(a)(b)</sup><br>|  | 5593 | 5600477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class C, (1-mo. CME Term <br> SOFR + 4.70%), 8.43%, 11/25/41<sup>(a)(b)</sup><br>|  | 2125 | 2117489 |
| &nbsp;&nbsp;&nbsp; GSAT Trust, Series 2025-BMF, Class A, (1-mo. <br> CME Term SOFR + 1.50%), 5.25%, <br> 07/15/40<sup>(a)(b)</sup><br>|  | 1691 | 1693113 |
| &nbsp;&nbsp;&nbsp; GWT, Series 2024-WLF2, Class A, (1-mo. CME <br> Term SOFR + 1.69%), 5.44%, 05/15/41<sup>(a)(b)</sup><br>|  | 6793 | 6811914 |
| Harvest Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class M5, 5.73%, 09/25/46<sup>(a)(b)</sup> |  | 1536 | 1499851 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class M4, 5.96%, 04/25/52<sup>(a)(b)</sup> |  | 669 | 667203 |
| HIH Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class A, (1-mo. CME Term <br> SOFR + 1.84%), 5.59%, 10/15/41<sup>(a)(b)</sup><br>|  | 2365 | 2370491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class D, (1-mo. CME Term <br> SOFR + 3.64%), 7.39%, 10/15/41<sup>(a)(b)</sup><br>|  | 887 | 890313 |
| HILT Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.29%, 05/15/37<sup>(a)(b)</sup><br>|  | 3695 | 3699590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class C, (1-mo. CME Term <br> SOFR + 2.44%), 6.19%, 05/15/37<sup>(a)(b)</sup><br>|  | 1426 | 1429526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class D, (1-mo. CME Term <br> SOFR + 3.19%), 6.94%, 05/15/37<sup>(a)(b)</sup><br>|  | 4173 | 4193656 |
| &nbsp;&nbsp;&nbsp; HLTN Commercial Mortgage Trust, Series 2024-<br> DPLO, Class A, (1-mo. CME Term SOFR + <br> 1.64%), 5.39%, 06/15/41<sup>(a)(b)</sup><br>|  | 2096 | 2099888 |
| &nbsp;&nbsp;&nbsp; HONO Mortgage Trust, Series 2021-LULU, <br> Class A, (1-mo. CME Term SOFR + 1.26%), <br> 5.02%, 10/15/36<sup>(a)(b)</sup><br>|  | 2762 | 2727294 |
| &nbsp;&nbsp;&nbsp; Houston Galleria Mall Trust, Series 2025-HGLR, <br> Class A, 5.46%, 02/05/45<sup>(a)(b)</sup><br>|  | 327 | 338834 |
| HTL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-T53, Class A, 5.88%, 05/10/39<sup>(a)(b)</sup> |  | 1380 | 1396965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-T53, Class E, 10.26%, <br> 05/10/39<sup>(a)(b)</sup><br>|  | 3538 | 3650525 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust, Series 2019-55HY, <br> Class F, 2.94%, 12/10/41<sup>(a)(b)</sup><br>|  | 712 | 612667 |
| &nbsp;&nbsp;&nbsp; ILPT Commercial Mortgage Trust, Series 2025-<br> LPF2, Class A, 5.29%, 07/13/42<sup>(a)(b)</sup><br>|  | 8890 | 9061554 |
| &nbsp;&nbsp;&nbsp; INCREF LLC, Series 2025-FL1, Class A, (1-mo. <br> CME Term SOFR + 1.73%), 5.46%, <br> 10/19/42<sup>(a)(b)</sup><br>|  | 3457 | 3463752 |
| &nbsp;&nbsp;&nbsp; INT Commercial Mortgage Trust, Series 2025-<br> PLAZA, Class A, 4.88%, 11/05/37<sup>(a)(b)</sup><br>|  | 1300 | 1303704 |
| &nbsp;&nbsp;&nbsp; INV Mortgage Trust, Series 2024-IND, Class A, <br> (1-mo. CME Term SOFR + 1.74%), 5.49%, <br> 11/15/41<sup>(a)(b)</sup><br>|  | 3510 | 3483738 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, <br> Series 2015-C33, Class D1, 4.29%, <br> 12/15/48<sup>(a)(b)</sup><br>| USD  | 507 | $462719 |
| &nbsp;&nbsp;&nbsp; JPMDB Commercial Mortgage Securities Trust, <br> Series 2018-C8, Class AS, 4.42%, 06/15/51<br>|  | 111 | 109893 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-JP2, Class A4, 2.82%, 08/15/49 |  | 3655 | 3629814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NINE, Class B, 2.85%, <br> 09/06/38<sup>(a)(b)</sup><br>|  | 2073 | 2044530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-PHH, Class A, (1-mo. CME Term <br> SOFR + 1.26%), 5.01%, 06/15/35<sup>(a)(b)</sup><br>|  | 1036 | 871458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term <br> SOFR + 1.16%), 4.92%, 04/15/38<sup>(a)(b)</sup><br>|  | 254 | 253644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1-mo. CME Term <br> SOFR + 2.81%), 6.57%, 04/15/38<sup>(a)(b)</sup><br>|  | 3101 | 3100984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NLP, Class F, (1-mo. CME Term <br> SOFR + 3.79%), 7.54%, 04/15/37<sup>(a)(b)</sup><br>|  | 2865 | 2746022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.45%, <br> 01/05/39<sup>(a)(b)</sup><br>|  | 2061 | 1696296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.17%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 7170 | 7242081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class D, 6.48%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 5319 | 5333423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class E, 7.25%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 6096 | 6106579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class F, 8.22%, <br> 11/09/39<sup>(a)(b)</sup><br>|  | 5223 | 5261612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-OMNI, Class A, 5.80%, <br> 10/05/39<sup>(a)(b)</sup><br>|  | 1660 | 1692534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BHR5, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 03/15/40<sup>(a)(b)</sup><br>|  | 1986 | 1988525 |
| JW Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BERY, Class A, (1-mo. CME Term <br> SOFR + 1.59%), 5.34%, 11/15/39<sup>(a)(b)</sup><br>|  | 1700 | 1703157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class A, (1-mo. CME Term <br> SOFR + 1.62%), 5.37%, 06/15/39<sup>(a)(b)</sup><br>|  | 10813 | 10829708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class D, (1-mo. CME Term <br> SOFR + 3.19%), 6.94%, 06/15/39<sup>(a)(b)</sup><br>|  | 2812 | 2819022 |
| KSL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HT2, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.29%, 12/15/39<sup>(a)(b)</sup><br>|  | 5941 | 5939126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MAK, Class A, 6.20%, <br> 06/15/42<sup>(a)(b)</sup><br>|  | 5699 | 5692694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MAK, Class E, 8.40%, <br> 06/15/42<sup>(a)(b)</sup><br>|  | 2364 | 2372099 |
| LBA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 10/15/41<sup>(a)(b)</sup><br>|  | 1774 | 1775259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class D, (1-mo. CME Term <br> SOFR + 2.64%), 6.39%, 10/15/41<sup>(a)(b)</sup><br>|  | 449 | 449542 |
| &nbsp;&nbsp;&nbsp; Lehman Brothers Small Balance Commercial <br> Mortgage Trust, Series 2007-3A, Class M2, (1-<br> mo. CME Term SOFR + 2.11%), 5.85%, <br> 10/25/37<sup>(a)(b)</sup><br>|  | 3340 | 2934178 |
| LoanCore Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (SOFR (30-day) + <br> 1.55%), 5.49%, 01/17/37<sup>(a)(b)</sup><br>|  | 1128 | 1126656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE8, Class A, (1-mo. CME Term <br> SOFR + 1.39%), 5.12%, 08/17/42<sup>(a)(b)</sup><br>|  | 1340 | 1340178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE9, Class A, (1-mo. CME Term <br> SOFR + 1.45%), 5.18%, 08/18/42<sup>(a)(b)</sup><br>|  | 1755 | 1752847 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| LQR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CALI, Class A, (1-mo. CME Term <br> SOFR + 1.60%), 5.33%, 01/15/43<sup>(a)(b)</sup><br>| USD  | 1771 | $1770995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CALI, Class E, (1-mo. CME Term <br> SOFR + 3.95%), 7.68%, 01/15/43<sup>(a)(b)</sup><br>|  | 5078 | 5077973 |
| &nbsp;&nbsp;&nbsp; LUX, Series 2023-LION, Class A, (1-mo. CME <br> Term SOFR + 2.69%), 6.44%, 08/15/40<sup>(a)(b)</sup><br>|  | 1281 | 1293840 |
| &nbsp;&nbsp;&nbsp; MAC Trust, Series 2025-801B, Class A, (1-mo. <br> CME Term SOFR + 1.70%), 5.45%, <br> 10/15/40<sup>(a)(b)</sup><br>|  | 3221 | 3225010 |
| MCR Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HF1, Class A, (1-mo. CME Term <br> SOFR + 1.79%), 5.54%, 12/15/41<sup>(a)(b)</sup><br>|  | 2596 | 2601058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 5.51%, 02/15/37<sup>(a)(b)</sup><br>|  | 191 | 191008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class E, (1-mo. CME Term <br> SOFR + 4.65%), 8.41%, 02/15/37<sup>(a)(b)</sup><br>|  | 1378 | 1370573 |
| &nbsp;&nbsp;&nbsp; Series 2024-TWA, Class A, 5.92%, 06/12/39<sup>(a)</sup> |  | 2250 | 2279987 |
| &nbsp;&nbsp;&nbsp; Series 2024-TWA, Class E, 8.73%, 06/12/39<sup>(a)</sup> |  | 1904 | 1930157 |
| MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL14, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 5.47%, 03/19/39<sup>(a)(b)</sup><br>|  | 1010 | 1012521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL19, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.22%, 05/18/42<sup>(a)(b)</sup><br>|  | 4467 | 4479598 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust, Series 2021-<br> MHC, Class F, (1-mo. CME Term SOFR + <br> 2.72%), 6.47%, 04/15/38<sup>(a)(b)</sup><br>|  | 182 | 182627 |
| MHP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class A, (1-mo. CME Term <br> SOFR + 0.81%), 4.57%, 07/15/38<sup>(a)(b)</sup><br>|  | 1105 | 1103646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class G, (1-mo. CME Term <br> SOFR + 2.86%), 6.62%, 07/15/38<sup>(a)(b)</sup><br>|  | 3426 | 3415502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class J, (1-mo. CME Term <br> SOFR + 4.06%), 7.82%, 07/15/38<sup>(a)(b)</sup><br>|  | 1917 | 1905447 |
| &nbsp;&nbsp;&nbsp; MIC Trust (The), Series 2023-MIC, Class A, 8.44%, <br> 12/05/38<sup>(a)(b)</sup><br>|  | 3089 | 3341850 |
| &nbsp;&nbsp;&nbsp; MIRA Trust, Series 2023-MILE, Class A, 6.76%, <br> 06/10/38<sup>(a)</sup><br>|  | 1978 | 2054287 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust, Series 2016-C32, Class A4, 3.72%, <br> 12/15/49<br>|  | 1060 | 1051534 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-ASHF, Class G, (1-mo. CME Term <br> SOFR + 7.20%), 10.95%, 11/15/34<sup>(a)(b)</sup><br>|  | 939 | 854023 |
| &nbsp;&nbsp;&nbsp; Series 2017-H1, Class B, 4.08%, 06/15/50 |  | 2400 | 2342128 |
| &nbsp;&nbsp;&nbsp; Series 2018-MP, Class E, 4.28%, 07/11/40<sup>(a)(b)</sup> |  | 2184 | 1658575 |
| &nbsp;&nbsp;&nbsp; Series 2019-H6, Class D, 3.00%, 06/15/52<sup>(a)</sup> |  | 470 | 387634 |
| &nbsp;&nbsp;&nbsp; Series 2019-H7, Class AS, 3.52%, 07/15/52 |  | 1900 | 1809269 |
| &nbsp;&nbsp;&nbsp; Series 2019-H7, Class C, 4.13%, 07/15/52 |  | 5000 | 4587142 |
| &nbsp;&nbsp;&nbsp; Series 2019-H7, Class D, 3.00%, 07/15/52<sup>(a)</sup> |  | 3000 | 2546544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-230P, Class B, (1-mo. CME Term <br> SOFR + 1.56%), 5.31%, 12/15/38<sup>(a)(b)</sup><br>|  | 400 | 373022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NSTB, Class A, 3.90%, <br> 09/24/57<sup>(a)(b)</sup><br>|  | 2163 | 2134473 |
| &nbsp;&nbsp;&nbsp; MTN Commercial Mortgage Trust, Series 2022-<br> LPFL, Class A, (1-mo. CME Term SOFR + <br> 1.40%), 5.16%, 03/15/39<sup>(a)(b)</sup><br>|  | 910 | 909434 |
| &nbsp;&nbsp;&nbsp; Natixis Commercial Mortgage Securities Trust, <br> Series 2017-75B, Class A, 3.86%, 04/10/37<sup>(a)</sup><br>|  | 1850 | 1642399 |
| NCMF Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class A, 4.88%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 4961 | 4978863 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| NCMF Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MFS, Class E, 7.53%, <br> 06/10/33<sup>(a)(b)</sup><br>| USD  | 9322 | $9454061 |
| &nbsp;&nbsp;&nbsp; Series 2025-MFS, Class F, 8.44%, 06/10/33<sup>(a)(b)</sup> |  | 9942 | 10121438 |
| &nbsp;&nbsp;&nbsp; NJ Trust, Series 2023-GSP, Class A, 6.48%, <br> 01/06/29<sup>(a)(b)</sup><br>|  | 1470 | 1541164 |
| &nbsp;&nbsp;&nbsp; NRTH Commercial Mortgage Trust, Series 2025-<br> PARK, Class A, (1-mo. CME Term SOFR + <br> 1.39%), 5.14%, 10/15/40<sup>(a)(b)</sup><br>|  | 2809 | 2811633 |
| &nbsp;&nbsp;&nbsp; NY Commercial Mortgage Trust, Series 2025-299P, <br> Class B, 5.93%, 02/10/47<sup>(a)(b)</sup><br>|  | 697 | 726227 |
| NYC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-11X, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 5.49%, 10/15/40<sup>(a)(b)</sup><br>|  | 1980 | 1986159 |
| &nbsp;&nbsp;&nbsp; Series 2025-28L, Class A, 4.67%, 11/05/38<sup>(a)(b)</sup> |  | 2181 | 2185614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-300P, Class E, 7.39%, <br> 07/13/42<sup>(a)(b)</sup><br>|  | 1590 | 1610649 |
| &nbsp;&nbsp;&nbsp; Series 2025-77C, Class A, 4.79%, 01/10/38<sup>(a)(b)</sup> |  | 10530 | 10574453 |
| NYCT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class A, (1-mo. CME Term <br> SOFR + 1.99%), 5.74%, 08/15/29<sup>(a)(b)</sup><br>|  | 441 | 441940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class C, (1-mo. CME Term <br> SOFR + 2.84%), 6.59%, 08/15/29<sup>(a)(b)</sup><br>|  | 405 | 405564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class D, (1-mo. CME Term <br> SOFR + 3.84%), 7.59%, 08/15/29<sup>(a)(b)</sup><br>|  | 1564 | 1564956 |
| Olympic Tower Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-OT, Class A, 3.57%, 05/10/39<sup>(a)</sup> |  | 2920 | 2812600 |
| &nbsp;&nbsp;&nbsp; Series 2017-OT, Class D, 3.95%, 05/10/39<sup>(a)(b)</sup> |  | 1080 | 984527 |
| &nbsp;&nbsp;&nbsp; Series 2017-OT, Class E, 3.95%, 05/10/39<sup>(a)(b)</sup> |  | 498 | 437305 |
| &nbsp;&nbsp;&nbsp; One Bryant Park Trust, Series 2019-OBP, Class A, <br> 2.52%, 09/15/54<sup>(a)</sup><br>|  | 1930 | 1791474 |
| &nbsp;&nbsp;&nbsp; One Market Plaza Trust, Series 2017-1MKT, <br> Class D, 4.15%, 02/10/32<sup>(a)</sup><br>|  | 1127 | 1038582 |
| One New York Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class A, (1-mo. CME Term <br> SOFR + 1.06%), 4.82%, 01/15/36<sup>(a)(b)</sup><br>|  | 1035 | 1015202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class AJ, (1-mo. CME Term <br> SOFR + 1.36%), 5.12%, 01/15/36<sup>(a)(b)</sup><br>|  | 872 | 835700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class B, (1-mo. CME Term <br> SOFR + 1.61%), 5.37%, 01/15/36<sup>(a)(b)</sup><br>|  | 1338 | 1262231 |
| &nbsp;&nbsp;&nbsp; ONNI Commerical Mortgage Trust, Series 2024-<br> APT, Class A, 5.57%, 07/15/39<sup>(a)(b)</sup><br>|  | 952 | 970169 |
| &nbsp;&nbsp;&nbsp; ORL Trust, Series 2024-GLKS, Class A, (1-mo. <br> CME Term SOFR + 1.49%), 5.24%, <br> 12/15/39<sup>(a)(b)</sup><br>|  | 3090 | 3094784 |
| PENN Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-P11, Class A, 5.34%, 08/10/42<sup>(a)(b)</sup> |  | 2087 | 2137814 |
| &nbsp;&nbsp;&nbsp; Series 2025-P11, Class C, 6.51%, 08/10/42<sup>(a)(b)</sup> |  | 1772 | 1835209 |
| &nbsp;&nbsp;&nbsp; PGA Trust, Series 2024-RSR2, Class A, (1-mo. <br> CME Term SOFR + 1.89%), 5.64%, <br> 06/15/39<sup>(a)(b)</sup><br>|  | 1754 | 1754543 |
| PKHL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF, Class F, (1-mo. CME Term <br> SOFR + 3.46%), 7.22%, 07/15/38<sup>(a)(b)</sup><br>|  | 900 | 244552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF, Class G, (1-mo. CME Term <br> SOFR + 4.46%), 8.22%, 07/15/38<sup>(a)(b)</sup><br>|  | 1967 | 365132 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust, Series 2025-PRM5, Class D, 5.62%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 1300 | 1300712 |
| ROCK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class A, 5.39%, 11/13/41<sup>(a)</sup> |  | 2386 | 2451093 |
| &nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class E, 8.82%, 11/13/41<sup>(a)</sup> |  | 2138 | 2275001 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| SCG Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class D, (1-mo. CME Term <br> SOFR + 2.15%), 5.90%, 03/15/35<sup>(a)(b)</sup><br>| USD  | 413 | $411457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class E, (1-mo. CME Term <br> SOFR + 2.95%), 6.70%, 03/15/35<sup>(a)(b)</sup><br>|  | 3142 | 3122379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FLWR, Class A, (1-mo. CME Term <br> SOFR + 1.25%), 5.00%, 08/15/42<sup>(a)(b)</sup><br>|  | 3056 | 3057909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FLWR, Class E, (1-mo. CME Term <br> SOFR + 2.75%), 6.50%, 08/15/42<sup>(a)(b)</sup><br>|  | 249 | 249618 |
| &nbsp;&nbsp;&nbsp; SCG Mortgage Trust, Series 2024-MSP, Class A, <br> (1-mo. CME Term SOFR + 1.74%), 5.49%, <br> 04/15/41<sup>(a)(b)</sup><br>|  | 8372 | 8371999 |
| &nbsp;&nbsp;&nbsp; SDAL Trust, Series 2025-DAL, Class A, (1-mo. <br> CME Term SOFR + 2.44%), 6.19%, <br> 04/15/42<sup>(a)(b)</sup><br>|  | 1651 | 1661255 |
| SELF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class A, (1-mo. CME Term <br> SOFR + 1.54%), 5.29%, 11/15/34<sup>(a)(b)</sup><br>|  | 2930 | 2931829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class E, (1-mo. CME Term <br> SOFR + 4.19%), 7.94%, 11/15/34<sup>(a)(b)</sup><br>|  | 3007 | 3014510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class F, (1-mo. CME Term <br> SOFR + 5.19%), 8.94%, 11/15/34<sup>(a)(b)</sup><br>|  | 435 | 434578 |
| SG Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C5, Class B, 3.93%, 10/10/48 |  | 1000 | 960191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PREZ, Class E, 3.48%, <br> 09/15/39<sup>(a)(b)</sup><br>|  | 3391 | 2895727 |
| SHR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class A, (1-mo. CME Term <br> SOFR + 1.95%), 5.70%, 10/15/41<sup>(a)(b)</sup><br>|  | 6747 | 6761047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class D, (1-mo. CME Term <br> SOFR + 3.60%), 7.35%, 10/15/41<sup>(a)(b)</sup><br>|  | 1282 | 1289790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class E, (1-mo. CME Term <br> SOFR + 4.45%), 8.20%, 10/15/41<sup>(a)(b)</sup><br>|  | 316 | 318272 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust, Series 2021-OVA, Class A, <br> 2.59%, 07/15/41<sup>(a)</sup><br>|  | 3936 | 3518797 |
| SREIT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP, Class F, (1-mo. CME Term <br> SOFR + 2.74%), 6.49%, 11/15/38<sup>(a)(b)</sup><br>|  | 2483 | 2481433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2, Class F, (1-mo. CME Term <br> SOFR + 2.73%), 6.48%, 11/15/36<sup>(a)(b)</sup><br>|  | 1136 | 1135652 |
| TCO Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DPM, Class A, (1-mo. CME Term <br> SOFR + 1.24%), 4.99%, 12/15/39<sup>(a)(b)</sup><br>|  | 8232 | 8249845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DPM, Class D, (1-mo. CME Term <br> SOFR + 2.74%), 6.49%, 12/15/39<sup>(a)(b)</sup><br>|  | 387 | 387483 |
| &nbsp;&nbsp;&nbsp; THPT Mortgage Trust, Series 2023-THL, Class A, <br> 6.99%, 12/10/34<sup>(a)(b)</sup><br>|  | 1113 | 1126420 |
| &nbsp;&nbsp;&nbsp; TYSN Mortgage Trust, Series 2023-CRNR, <br> Class A, 6.58%, 12/10/33<sup>(a)(b)</sup><br>|  | 1340 | 1410625 |
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, Series 2017-C4, <br> Class AS, 3.84%, 10/15/50<sup>(b)</sup><br>|  | 765 | 744096 |
| UNIV Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-APTS, Class A, (1-mo. CME Term <br> SOFR + 1.65%), 5.40%, 11/15/42<sup>(a)(b)</sup><br>|  | 3776 | 3780657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-APTS, Class B, (1-mo. CME Term <br> SOFR + 2.25%), 6.00%, 11/15/42<sup>(a)(b)</sup><br>|  | 967 | 968204 |
| VEGAS Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class C, 6.22%, <br> 07/10/36<sup>(a)(b)</sup><br>|  | 5520 | 5554995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class D, 6.22%, <br> 07/10/36<sup>(a)(b)</sup><br>|  | 12440 | 12312540 |
| &nbsp;&nbsp;&nbsp; Series 2024-TI, Class A, 5.52%, 11/10/39<sup>(a)</sup> |  | 754 | 764201 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-2, Class M6, 7.05%, 10/26/48<sup>(a)(b)</sup> | USD  | 1449 | $1269103 |
| &nbsp;&nbsp;&nbsp; Series 2019-1, Class M2, 4.01%, 03/25/49<sup>(a)(b)</sup> |  | 137 | 127882 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class M2, 3.39%, 07/25/49<sup>(a)(b)</sup> |  | 890 | 799129 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class M3, 3.48%, 07/25/49<sup>(a)(b)</sup> |  | 976 | 849153 |
| &nbsp;&nbsp;&nbsp; Series 2019-2, Class M4, 3.99%, 07/25/49<sup>(a)(b)</sup> |  | 998 | 839218 |
| &nbsp;&nbsp;&nbsp; Series 2019-3, Class M6, 6.03%, 10/25/49<sup>(a)(b)</sup> |  | 466 | 395584 |
| &nbsp;&nbsp;&nbsp; Series 2020-1, Class AFX, 2.61%, 02/25/50<sup>(a)(b)</sup> |  | 1857 | 1733019 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M4, 2.85%, 05/25/51<sup>(a)(b)</sup> |  | 1679 | 1297623 |
| &nbsp;&nbsp;&nbsp; Series 2021-1, Class M6, 5.03%, 05/25/51<sup>(a)(b)</sup> |  | 1796 | 1347490 |
| &nbsp;&nbsp;&nbsp; Series 2021-2, Class M7, 6.54%, 08/25/51<sup>(a)(b)</sup> |  | 1711 | 1280258 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class M4, 3.48%, 10/25/51<sup>(a)(b)</sup> |  | 2163 | 1832891 |
| &nbsp;&nbsp;&nbsp; Series 2021-3, Class M7, 6.54%, 10/25/51<sup>(a)(b)</sup> |  | 2189 | 1559163 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 2.52%, 12/26/51<sup>(a)(b)</sup> |  | 5572 | 5057198 |
| &nbsp;&nbsp;&nbsp; Series 2021-4, Class M4, 4.48%, 12/26/51<sup>(a)(b)</sup> |  | 943 | 777345 |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class M4, 5.20%, 02/25/52<sup>(a)(b)</sup> |  | 4682 | 3991162 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M2, 6.97%, 08/25/52<sup>(a)(b)</sup> |  | 918 | 930753 |
| &nbsp;&nbsp;&nbsp; Series 2022-4, Class M3, 7.52%, 08/25/52<sup>(a)(b)</sup> |  | 770 | 784282 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class M5, 9.62%, 01/25/53<sup>(a)(b)</sup> |  | 1816 | 1737285 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 6.22%, 05/25/53<sup>(a)(b)</sup> |  | 444 | 443085 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 6.55%, 01/25/54<sup>(a)(b)</sup> |  | 2596 | 2622522 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class M2, 7.23%, 01/25/54<sup>(a)(b)</sup> |  | 301 | 302918 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class M3, 8.44%, 01/25/54<sup>(a)(b)</sup> |  | 296 | 302926 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class M3, 8.02%, 04/25/54<sup>(a)(b)</sup> |  | 1408 | 1424545 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class M4, 10.74%, 04/25/54<sup>(a)(b)</sup> |  | 2566 | 2610607 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class M2, 7.23%, 06/25/54<sup>(a)(b)</sup> |  | 1687 | 1724781 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class A, 5.49%, 10/25/54<sup>(a)(b)</sup> |  | 1248 | 1252599 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M2, 5.96%, 10/25/54<sup>(a)(b)</sup> |  | 505 | 503590 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M3, 6.76%, 10/25/54<sup>(a)(b)</sup> |  | 765 | 767574 |
| &nbsp;&nbsp;&nbsp; Series 2024-5, Class M4, 9.53%, 10/25/54<sup>(a)(b)</sup> |  | 506 | 511102 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M2, 6.55%, 12/25/54<sup>(a)(b)</sup> |  | 843 | 846610 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M3, 6.92%, 12/25/54<sup>(a)(b)</sup> |  | 1543 | 1550426 |
| &nbsp;&nbsp;&nbsp; Series 2024-6, Class M4, 9.67%, 12/25/54<sup>(a)(b)</sup> |  | 975 | 985330 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class M3, 7.33%, 02/25/55<sup>(a)(b)</sup> |  | 3995 | 4050594 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class M4, 10.15%, 02/25/55<sup>(a)(b)</sup> |  | 3995 | 4045109 |
| &nbsp;&nbsp;&nbsp; Series 2025-3, Class M3, 7.38%, 06/25/55<sup>(a)(b)</sup> |  | 2210 | 2251216 |
| &nbsp;&nbsp;&nbsp; Series 2025-5, Class M2, 6.31%, 12/25/55<sup>(a)(b)</sup> |  | 846 | 847896 |
| &nbsp;&nbsp;&nbsp; Series 2025-5, Class M3, 6.70%, 12/25/55<sup>(a)(b)</sup> |  | 1001 | 1001455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-MC1, Class A1, 8.16%, <br> 05/25/55<sup>(a)(c)</sup><br>|  | 2340 | 2328370 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class A, 5.46%, 10/25/55<sup>(a)(b)</sup> |  | 7712 | 7697663 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class M1, 6.04%, 10/25/55<sup>(a)(b)</sup> |  | 647 | 645646 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class M2, 6.56%, 10/25/55<sup>(a)(b)</sup> |  | 723 | 720858 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class M3, 6.85%, 10/25/55<sup>(a)(b)</sup> |  | 1266 | 1261456 |
| &nbsp;&nbsp;&nbsp; Series 2025-P2, Class M4, 9.45%, 10/25/55<sup>(a)(b)</sup> |  | 752 | 749529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-P2, Class M5, 10.21%, <br> 10/25/55<sup>(a)(b)</sup><br>|  | 274 | 250067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 6.80%, <br> 03/25/30<sup>(a)(c)</sup><br>|  | 16000 | 16185363 |
| &nbsp;&nbsp;&nbsp; VRTX Trust, Series 2025-HQ, Class B, 5.49%, <br> 08/05/42<sup>(a)(b)</sup><br>|  | 1530 | 1546350 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-C39, Class B, 4.03%, 09/15/50 |  | 1000 | 948864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1745, Class A, 3.75%, <br> 06/15/36<sup>(a)(b)</sup><br>|  | 1190 | 1117497 |
| &nbsp;&nbsp;&nbsp; Series 2018-C46, Class A4, 4.15%, 08/15/51 |  | 3740 | 3735626 |
| &nbsp;&nbsp;&nbsp; Series 2019-C49, Class D, 3.00%, 03/15/52<sup>(a)</sup> |  | 354 | 292684 |
| &nbsp;&nbsp;&nbsp; Series 2019-C50, Class B, 4.19%, 05/15/52 |  | 3121 | 2943966 |
| &nbsp;&nbsp;&nbsp; Series 2019-C53, Class A3, 2.79%, 10/15/52 |  | 1000 | 951410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FCMT, Class A, (1-mo. CME Term <br> SOFR + 1.31%), 5.07%, 05/15/31<sup>(a)(b)</sup><br>|  | 4660 | 4656772 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1CHI, Class A, 5.31%, <br> 07/15/35<sup>(a)(b)</sup><br>| USD  | 395 | $398419 |
| &nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class B, 6.22%, 07/15/43<sup>(a)</sup> |  | 3055 | 3149638 |
| &nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class C, 6.43%, 07/15/43<sup>(a)</sup> |  | 1945 | 1964109 |
| &nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class D, 7.08%, 07/15/43<sup>(a)</sup> |  | 2628 | 2648697 |
| &nbsp;&nbsp;&nbsp; WEST Trust, Series 2025-ROSE, Class A, 5.28%, <br> 04/10/35<sup>(a)(b)</sup><br>|  | 1836 | 1864418 |
| WHARF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-DC, Class A, 5.35%, 07/15/40<sup>(a)(b)</sup> |  | 4020 | 4130900 |
| &nbsp;&nbsp;&nbsp; Series 2025-DC, Class E, 7.72%, 07/15/40<sup>(a)(b)</sup> |  | 2354 | 2405452 |
|  |  |  | 1216078397 |
| **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%** |
| &nbsp;&nbsp;&nbsp; Ajax Mortgage Loan Trust, Series 2021-E, <br> Class XS, 0.00%, 12/25/60<sup>(a)(b)</sup><br>|  | 7637 | 249670 |
| Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class XS, 0.82%, <br> 10/25/63<sup>(a)(b)</sup><br>|  | 15977 | 112576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class XS, 2.45%, <br> 01/25/64<sup>(a)(b)</sup><br>|  | 10972 | 274444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class XS, 0.00%, <br> 06/25/64<sup>(a)(b)</sup><br>|  | 21846 | 535858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class XS, 0.00%, <br> 12/26/64<sup>(a)(b)</sup><br>|  | 34139 | 1289809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class XS, 0.00%, <br> 01/25/65<sup>(a)(b)</sup><br>|  | 34250 | 1206764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class XS2, 0.00%, <br> 05/25/65<sup>(a)(b)</sup><br>|  | 31984 | 840603 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A2X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 27389 | 788089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 15438 | 279044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 7873 | 330660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A5X, 0.50%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 2983 | 85815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class AX1, 0.27%, <br> 02/25/52<sup>(a)(b)</sup><br>|  | 53683 | 818197 |
| &nbsp;&nbsp;&nbsp; JPMorgan Resecuritization Trust, Series 2014-5, <br> Class 5C, 0.00%, 05/27/36<sup>(a)(b)</sup><br>|  | 9286 | 1565636 |
| &nbsp;&nbsp;&nbsp; Voyager OPTONE Delaware Trust, Series 2009-1, <br> Class SAA7, 1.96%, 02/25/38<sup>(a)(b)</sup><br>|  | 9104 | 1975798 |
|  |  |  | 10352963 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.3%** | **Interest Only Commercial Mortgage-Backed Securities — 0.3%** | **Interest Only Commercial Mortgage-Backed Securities — 0.3%** | **Interest Only Commercial Mortgage-Backed Securities — 0.3%** |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN22, Class XA, 0.58%, <br> 11/15/62<sup>(b)</sup><br>|  | 37851 | 746546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN22, Class XB, 0.14%, <br> 11/15/62<sup>(b)</sup><br>|  | 85561 | 504596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BN28, Class XB, 0.98%, <br> 03/15/63<sup>(b)</sup><br>|  | 29820 | 1225361 |
| &nbsp;&nbsp;&nbsp; BBCMS Mortgage Trust, Series 2015-SRCH, <br> Class XB, 0.20%, 08/10/35<sup>(a)(b)</sup><br>|  | 12500 | 32926 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-B12, Class XA, 1.02%, 08/15/52<sup>(b)</sup> |  | 33189 | 824488 |
| &nbsp;&nbsp;&nbsp; Series 2019-B9, Class XA, 1.01%, 03/15/52<sup>(b)</sup> |  | 14418 | 357618 |
| &nbsp;&nbsp;&nbsp; Series 2020-B17, Class XB, 0.50%, 03/15/53<sup>(b)</sup> |  | 17599 | 303444 |
| &nbsp;&nbsp;&nbsp; Series 2020-B19, Class XA, 1.66%, 09/15/53<sup>(b)</sup> |  | 20394 | 943359 |
| &nbsp;&nbsp;&nbsp; Series 2021-B23, Class XA, 1.26%, 02/15/54<sup>(b)</sup> |  | 18069 | 819756 |
| &nbsp;&nbsp;&nbsp; BMO Mortgage Trust, Series 2023-C5, Class XA, <br> 0.72%, 06/15/56<sup>(b)</sup><br>|  | 8004 | 317859 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *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)** |
| &nbsp;&nbsp;&nbsp; CFK Trust, Series 2019-FAX, Class XA, 0.23%, <br> 01/15/39<sup>(a)(b)</sup><br>| USD  | 62648 | $453225 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, Series 2019-GC44, <br> Class XA, 0.61%, 08/15/57<sup>(b)</sup><br>|  | 35000 | 623409 |
| CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-C16, Class XA, 1.53%, 06/15/52<sup>(b)</sup> |  | 9276 | 390273 |
| &nbsp;&nbsp;&nbsp; Series 2019-C17, Class XA, 1.31%, 09/15/52<sup>(b)</sup> |  | 3521 | 127560 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank JPMorgan Mortgage Trust, <br> Series 2017-C6, Class XD, 1.00%, 06/10/50<sup>(a)(b)</sup><br>|  | 11214 | 135083 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP10, 0.23%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 33570 | 32482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP15, 1.56%, <br> 06/10/39<sup>(a)(b)</sup><br>|  | 30405 | 195605 |
| JPMDB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C4, Class XC, 0.75%, 12/15/49<sup>(a)(b)</sup> |  | 8570 | 38147 |
| &nbsp;&nbsp;&nbsp; Series 2017-C5, Class XB, 0.29%, 03/15/50<sup>(b)</sup> |  | 30000 | 135252 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust, Series 2016-JP3, Class XC, 0.75%, <br> 08/15/49<sup>(a)(b)</sup><br>|  | 17400 | 53912 |
| &nbsp;&nbsp;&nbsp; LSTAR Commercial Mortgage Trust, Series 2017-5, <br> Class X, 0.87%, 03/10/50<sup>(a)(b)</sup><br>|  | 8132 | 46048 |
| &nbsp;&nbsp;&nbsp; MCR Mortgage Trust, Series 2024-TWA, Class XA, <br> 0.92%, 06/12/39<sup>(a)</sup><br>|  | 11446 | 93524 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust, Series 2014-C19, Class XF, 1.27%, <br> 12/15/47<sup>(a)(b)</sup><br>|  | 220 | 2478 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-H1, Class XD, 2.14%, 06/15/50<sup>(a)(b)</sup> |  | 8625 | 233805 |
| &nbsp;&nbsp;&nbsp; Series 2019-L2, Class XA, 0.99%, 03/15/52<sup>(b)</sup> |  | 10170 | 263580 |
| &nbsp;&nbsp;&nbsp; MSWF Commercial Mortgage Trust, Series 2023-2, <br> Class XA, 0.91%, 12/15/56<sup>(b)</sup><br>|  | 33974 | 1902747 |
| &nbsp;&nbsp;&nbsp; Olympic Tower Mortgage Trust, Series 2017-OT, <br> Class XA, 0.38%, 05/10/39<sup>(a)(b)</sup><br>|  | 28100 | 101601 |
| One Market Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XCP, 0.00%, <br> 02/10/32<sup>(a)(b)</sup><br>|  | 91391 | 284554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XNCP, 0.09%, <br> 02/10/32<sup>(a)(b)</sup><br>|  | 18278 | 47808 |
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, Series 2019-<br> C17, Class XA, 1.44%, 10/15/52<sup>(b)</sup><br>|  | 5153 | 227209 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC20, Class XB, 0.63%, <br> 04/15/50<sup>(b)</sup><br>|  | 831 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-BNK1, Class XD, 1.21%, <br> 08/15/49<sup>(a)(b)</sup><br>|  | 1000 | 5552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class X, 0.09%, <br> 07/15/43<sup>(a)(b)</sup><br>|  | 24115 | 201635 |
|  |  |  | 11671450 |
| **Total Non-Agency Mortgage-Backed Securities — 48.3%** <br>**(Cost: $2,363,697,448)** | **Total Non-Agency Mortgage-Backed Securities — 48.3%** <br>**(Cost: $2,363,697,448)** | **Total Non-Agency Mortgage-Backed Securities — 48.3%** <br>**(Cost: $2,363,697,448)** | 2331265421 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Commercial Mortgage-Backed Securities — 0.4%** | **Commercial Mortgage-Backed Securities — 0.4%** | **Commercial Mortgage-Backed Securities — 0.4%** | **Commercial Mortgage-Backed Securities — 0.4%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-P015, Class A1, 4.30%, 11/25/32<sup>(b)</sup> |  | 1380 | 1376631 |
| &nbsp;&nbsp;&nbsp; Series KJ48, Class A2, 5.03%, 10/25/31 |  | 1413 | 1455344 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-118, Class BA, 3.75%, 05/16/65<sup>(b)</sup> |  | 795 | 724449 |
| &nbsp;&nbsp;&nbsp; Series 2023-119, Class AD, 2.25%, 04/16/65 |  | 1388 | 1113425 |
| &nbsp;&nbsp;&nbsp; Series 2023-50, Class AC, 3.25%, 09/16/63<sup>(b)</sup> |  | 776 | 702035 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-126, Class AD, 5.00%, 05/16/65 | USD  | 1702 | $1703881 |
| &nbsp;&nbsp;&nbsp; Series 2025-128, Class AD, 5.00%, 10/16/56 |  | 3920 | 3948673 |
| &nbsp;&nbsp;&nbsp; Series 2025-128, Class AG, 4.75%, 07/16/66 |  | 3894 | 3833702 |
| &nbsp;&nbsp;&nbsp; Series 2025-129, Class AB, 4.75%, 09/16/54 |  | 1246 | 1243215 |
| &nbsp;&nbsp;&nbsp; Series 2025-130, Class AL, 4.75%, 08/16/56 |  | 1247 | 1243137 |
| &nbsp;&nbsp;&nbsp; Series 2025-88, Class AT, 5.00%, 06/16/58 |  | 3889 | 3908258 |
|  |  |  | 21252750 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series K116, Class X1, 1.41%, 07/25/30<sup>(b)</sup> |  | 23333 | 1206117 |
| &nbsp;&nbsp;&nbsp; Series KL05, Class X1P, 0.89%, 06/25/29<sup>(b)</sup> |  | 12845 | 360140 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-36, Class IO, 0.66%, 08/16/57<sup>(b)</sup> |  | 2503 | 69393 |
| &nbsp;&nbsp;&nbsp; Series 2017-24, Class IO, 0.73%, 12/16/56<sup>(b)</sup> |  | 9390 | 279754 |
|  |  |  | 1915404 |
| **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Fannie Mae Mortgage-Backed Securities, 5.81%, <br> 06/01/31<br>|  | 3533 | 3670373 |
| **Total U.S. Government Sponsored Agency Securities — 0.5%** <br>**(Cost: $26,829,663)** | **Total U.S. Government Sponsored Agency Securities — 0.5%** <br>**(Cost: $26,829,663)** | **Total U.S. Government Sponsored Agency Securities — 0.5%** <br>**(Cost: $26,829,663)** | 26838527 |
| **Total Long-Term Investments — 98.9%** <br>**(Cost: $4,832,426,636)** | **Total Long-Term Investments — 98.9%** <br>**(Cost: $4,832,426,636)** | **Total Long-Term Investments — 98.9%** <br>**(Cost: $4,832,426,636)** | 4773790846 |

---

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

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 1.1%** | **Money Market Funds — 1.1%** | **Money Market Funds — 1.1%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Treasury Securities Cash Management, <br> Institutional Class, 3.64%<sup>(j)</sup><br>| 52508870 | 52508870 |
| **Total Short-Term Securities — 1.1%** <br>**(Cost: $52,508,870)** | **Total Short-Term Securities — 1.1%** <br>**(Cost: $52,508,870)** | 52508870 |
| **Total Investments Before TBA Sale Commitments — 100.0%** <br>**(Cost: $4,884,935,506)** | **Total Investments Before TBA Sale Commitments — 100.0%** <br>**(Cost: $4,884,935,506)** | 4826299716 |

---

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

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par* <br>*(000)*<br>|  |
| **TBA Sale Commitments**<sup>(k)</sup> | **TBA Sale Commitments**<sup>(k)</sup> | **TBA Sale Commitments**<sup>(k)</sup> | **TBA Sale Commitments**<sup>(k)</sup> |
| **Mortgage-Backed Securities — (0.5)%** | **Mortgage-Backed Securities — (0.5)%** | **Mortgage-Backed Securities — (0.5)%** | **Mortgage-Backed Securities — (0.5)%** |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/56 | USD  | (4579)<br>| (3700386)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/56 |  | (22139)<br>| (18712644)<br>|
| **Total TBA Sale Commitments — (0.5)%** <br>**(Proceeds: $(22563938))** | **Total TBA Sale Commitments — (0.5)%** <br>**(Proceeds: $(22563938))** | **Total TBA Sale Commitments — (0.5)%** <br>**(Proceeds: $(22563938))** | (22413030)<br>|
| **Total Investments Net of TBA Sale Commitments — 99.5%** <br>**(Cost: $4,862,371,568)** | **Total Investments Net of TBA Sale Commitments — 99.5%** <br>**(Cost: $4,862,371,568)** | **Total Investments Net of TBA Sale Commitments — 99.5%** <br>**(Cost: $4,862,371,568)** | 4803886686 |
| **Other Assets Less Liabilities — 0.5%** | **Other Assets Less Liabilities — 0.5%** | **Other Assets Less Liabilities — 0.5%** | 24208603 |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $4828095289 |

---

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

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

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

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

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

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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

<sup>(e)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. <br> <sup>(f)</sup> Issuer filed for bankruptcy and/or is in default. <br> <sup>(g)</sup> Non-income producing security.

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

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

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

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

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

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

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

**Forward Foreign Currency Exchange Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Settlement* <br>*Date*<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| USD | 12519932 | EUR | 10597000 | BNP Paribas S.A. | 03/18/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $20862 |
| USD | 1148312 | GBP | 858000 | Deutsche Bank AG | 03/18/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (7989)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $12873 |

---

**OTC Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp; *Financing* <br>*Rate* <br>*Paid* <br>*by the* <br>*Fund*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)* | *Value* | &nbsp;&nbsp; *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| &nbsp;&nbsp; *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp; 3.00<br> % <br>| Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | &nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp; $27541 | &nbsp;&nbsp;&nbsp; $3250 | &nbsp;&nbsp;&nbsp; $24291 |
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | &nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp; 10426 | &nbsp;&nbsp;&nbsp; 2819 | &nbsp;&nbsp;&nbsp; 7607 |
| CMBX.NA.9.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. <br> International PLC<br>| 09/17/58 | USD | &nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp; 5311 | &nbsp;&nbsp;&nbsp; 1026 | &nbsp;&nbsp;&nbsp; 4285 |
| CMBX.NA.6.AAA | &nbsp;&nbsp;&nbsp;&nbsp;0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | &nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — |
|  |  |  |  |  |  |  | &nbsp;&nbsp;&nbsp; $43278 | &nbsp;&nbsp;&nbsp; $7095 | &nbsp;&nbsp;&nbsp; $36183 |

---

**OTC Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate* <br>*Received* <br>*by* <br>*the Fund*<br>| &nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | *Termination* <br>*Date*<br>| *Credit* <br>*Rating*<sup>(a)</sup> <br>| *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CMBX.NA.9.BBB- | 3.00<br> % <br>| Monthly | Deutsche Bank AG | 09/17/58 | N/R | USD | 174 | $(43278)<br>| $(18045)<br>| $(25233)<br>|
| CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 999 | (219388)<br>| (72654)<br>| (146734)<br>|
| CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 500 | (109694)<br>| (43819)<br>| (65875)<br>|
|  |  |  |  |  |  |  |  | $(372360)<br>| $(134518)<br>| $(237842)<br>|

---

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

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

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

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

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

**Fair Value Hierarchy as of Period End (continued)**

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp; $2364305957 | &nbsp;&nbsp; $28674607 | &nbsp;&nbsp; $2392980564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds  | &nbsp;&nbsp; — | &nbsp;&nbsp; 75065 | &nbsp;&nbsp; — | &nbsp;&nbsp; 75065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Floating Rate Loan Interests | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 22631269 | &nbsp;&nbsp; 22631269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 2327687586 | &nbsp;&nbsp; 3577835 | &nbsp;&nbsp; 2331265421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 26838527 | &nbsp;&nbsp; — | &nbsp;&nbsp; 26838527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 52508870 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 52508870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests <sup>(a)</sup> | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 12495 | &nbsp;&nbsp; 12495 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp; (22413030)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (22413030)<br>|
|  | &nbsp;&nbsp; $52508870 | &nbsp;&nbsp; $4696494105 | &nbsp;&nbsp; $54896206 | &nbsp;&nbsp; $4803899181 |
| Derivative Financial Instruments<sup>(b)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp; $36183 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $36183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 20862 | &nbsp;&nbsp; — | &nbsp;&nbsp; 20862 |
| &nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (237842)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (237842)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (7989)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (7989)<br>|
|  | &nbsp;&nbsp; $— | &nbsp;&nbsp; $(188786)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(188786)<br>|

---

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

<sup>(a)</sup> Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

<sup>(b)</sup> Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts 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:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | *Asset-Backed* <br>*Securities*<br>| &nbsp;&nbsp; *Corporate* <br>*Bonds*<br>| &nbsp;&nbsp; *Floating Rate* <br>*Loan Interests*<br>| &nbsp;&nbsp; *Non-Agency* <br>*Mortgage-Backed* <br>*Securities*<br>| &nbsp;&nbsp; *Unfunded* <br>*Floating Rate* <br>*Loan Interests*<br>| *Total* |
| **Assets** |  |  |  |  |  |  |
| Opening Balance, as of March 31, 2025 | &nbsp;&nbsp; $26585124 | &nbsp;&nbsp;&nbsp;&nbsp; $— <br><sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp; $9514138 | &nbsp;&nbsp;&nbsp;&nbsp; $2171704 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $38270966 |
| Transfers into Level 3 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3084120 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3084120 |
| Transfers out of Level 3 | &nbsp;&nbsp; (1978306)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1978306)<br>|
| Accrued discounts/premiums | &nbsp;&nbsp; (19349)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5524 | &nbsp;&nbsp;&nbsp;&nbsp; 56098 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 42273 |
| Net realized gain (loss) | &nbsp;&nbsp; 2032 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 92072 | &nbsp;&nbsp;&nbsp;&nbsp; 2214 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 96318 |
| Net change in unrealized appreciation (depreciation)<sup>(b)</sup> | &nbsp;&nbsp; 422543 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 718838 | &nbsp;&nbsp;&nbsp;&nbsp; 73723 | &nbsp;&nbsp;&nbsp;&nbsp; 12495 | &nbsp;&nbsp;&nbsp;&nbsp; 1227599 |
| Purchases | &nbsp;&nbsp; 8163588 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 11586363 | &nbsp;&nbsp;&nbsp;&nbsp; 1476858 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21226809 |
| Sales | &nbsp;&nbsp; (4501025)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2369786)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (202762)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7073573)<br>|
| Closing Balance, as of December 31, 2025 | &nbsp;&nbsp; $28674607 | &nbsp;&nbsp;&nbsp;&nbsp; $— <br><sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp; $22631269 | &nbsp;&nbsp;&nbsp;&nbsp; $3577835 | &nbsp;&nbsp;&nbsp;&nbsp; $12495 | &nbsp;&nbsp;&nbsp;&nbsp; $54896206 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on <br> investments still held at December 31, 2025<sup>(b)</sup><br>| &nbsp;&nbsp; $424238 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $718838 | &nbsp;&nbsp;&nbsp;&nbsp; $73095 | &nbsp;&nbsp;&nbsp;&nbsp; $12495 | &nbsp;&nbsp;&nbsp;&nbsp; $1228666 |

---

&nbsp;&nbsp;&nbsp;&nbsp;<sup>(a)</sup>

Rounds to less than $1.

&nbsp;&nbsp;&nbsp;&nbsp;<sup>(b)</sup>

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2025 is generally due to investments no longer held or categorized as Level 3 at period end.

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Securitized Total Return Series**

**(Formerly BATS: Series A Portfolio)**

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**  |
| EUR | Euro |
| GBP | British Pound |
| USD | United States Dollar |

---

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

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| 1D SONIA | GBP - 1D Sterling Overnight Index Average |
| ABS | Asset-Backed Security |
| CLO | Collateralized Loan Obligation |
| CME | Chicago Mercantile Exchange |
| DAC | Designated Activity Co. |
| EURIBOR | Euro Interbank Offered Rate |
| IO | Interest Only |
| LP | Limited Partnership |
| OTC | Over-the-Counter |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| TBA | 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: Securitized Total Return Series

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

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

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

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

- **b. Date as of which information is reported:** 2025-12-31

**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:** $4884854662.51

**Total Liabilities:** $56063726.20

**Net Assets:** $4828790936.31

**Delayed Delivery Securities:** $1057763.23

**Cash Not Reported:** $203985.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 506632.98000000 | **1-Year:** 72201.66000000 | **5-Year:** 332633.50000000 | **10-Year:** 548.19000000 | **30-Year:** 85012.76000000

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

- **3-Month:** 141129.03000000 | **1-Year:** 35606.11000000 | **5-Year:** 167249.70000000 | **10-Year:** 31054.63000000 | **30-Year:** 82734.73000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000146955 | 0.49%                | 0.66%                | 0.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $610920.27               | $-546675.13                                |
| Month 2  | $665664.58               | $6499326.95                                |
| Month 3  | $807400.46               | $-5690715.86                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              | CORP              | DE        |         1 | NC      | $-43264.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 10 Ltd                                                           | CUSIP: 09090JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3412246.80   | 0.07%             | 2038-01-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 60 CLO Ltd                                                                | CUSIP: 26251NAB6<br>LEI: 549300KI3ILQQHC87U86 | Long             | ABS-CBDO         | CORP              | KY        |     75495 | PA      | $75524.39     | 0.00%             | 2031-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point Clo 5 Ltd                                                           | CUSIP: 82809BAA4<br>LEI: 254900IB4JHW6SUR0Q75 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $971940.97    | 0.02%             | 2037-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 54 LTD                                                                   | CUSIP: 48256VAA9<br>LEI: 254900EAKW6RIW3QK367 | Long             | ABS-CBDO         | CORP              | KY        |    930000 | PA      | $933358.23    | 0.02%             | 2038-01-15      | Floating      | 5.22%                 | 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        |    601812 | PA      | $577049.19    | 0.01%             | 2036-10-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 81 B Ltd                                              | CUSIP: 38181DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250821.98    | 0.01%             | 2038-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898BC8<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250708.23    | 0.01%             | 2038-10-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2016-1 Ltd                                                              | CUSIP: 92915CAQ7<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |    124443 | PA      | $124445.25    | 0.00%             | 2031-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |   2253015 | PA      | $2253100.92   | 0.05%             | 2030-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2025-X2                                        | CUSIP: 00835DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045000 | PA      | $1046731.57   | 0.02%             | 2030-10-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2025-X1                                        | CUSIP: 00834MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5769292.98   | 0.12%             | 2030-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2024-VIS2                                        | CUSIP: 46658DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3289000 | PA      | $3341574.67   | 0.07%             | 2064-11-25      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                 | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2073000 | PA      | $2044530.04   | 0.04%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2610000 | PA      | $2615467.17   | 0.05%             | 2038-01-21      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2006-HE4                                                             | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2544477.40   | 0.05%             | 2036-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Valley Stream Park CLO, Ltd                  | Valley Stream Park CLO LTD                                                       | CUSIP: 92013AAT6<br>LEI: 213800DEME82SWN32S20 | Long             | ABS-CBDO         | CORP              | JE        |   5400000 | PA      | $5402374.92   | 0.11%             | 2037-01-20      | Floating      | 5.07%                 | 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        |  53682876 | PA      | $818196.82    | 0.02%             | 2052-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners CLO 71 M                                                  | CUSIP: 38179NAB0<br>LEI: 254900YII88OJ6IAHT32 | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $6011855.40   | 0.12%             | 2037-02-09      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2766834 | PA      | $2768612.50   | 0.06%             | 2032-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015600 | PA      | $1021168.03   | 0.02%             | 2064-06-25      | Variable      | 8.01%                 | 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      | $1025811.36   | 0.02%             | 2050-11-25      | Fixed         | 3.50%                 | 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        |    153827 | PA      | $144405.23    | 0.00%             | 2045-11-25      | Fixed         | 1.80%                 | 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        |   2749740 | PA      | $2237589.91   | 0.05%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 2 Ltd                                                            | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    630000 | PA      | $632360.61    | 0.01%             | 2037-10-19      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920994 | PA      | $932656.88    | 0.02%             | 2063-10-25      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO                                 | AGL Core CLO 2 Ltd                                                               | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |   3770000 | PA      | $3781528.66   | 0.08%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 25 Ltd                                         | CUSIP: 38139XAC5<br>LEI: 254900NWYEI4MM854T50 | Long             | ABS-CBDO         | CORP              | KY        |   1840000 | PA      | $1846235.21   | 0.04%             | 2037-04-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    693023 | PA      | $693073.96    | 0.01%             | 2029-10-20      | Floating      | 5.43%                 | 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        |    828485 | PA      | $433512.40    | 0.01%             | 2052-02-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2019-GC44 Mortgage Trust                                                    | CUSIP: 12655TBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35000374 | PA      | $623409.16    | 0.01%             | 2057-08-15      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                      | HalseyPoint CLO 4 Ltd                                                            | CUSIP: 40637LAA8<br>LEI: 549300CMJUK1VCINNF57 | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $920485.85    | 0.02%             | 2034-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                      | Regatta 30 Funding Ltd                                                           | CUSIP: 75903UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6150000 | PA      | $6169491.20   | 0.13%             | 2038-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                      | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1667842 | PA      | $1249098.11   | 0.03%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2779300 | PA      | $2695606.11   | 0.06%             | 2064-06-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV1                                                                   | CUSIP: 26846XAA8<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |   9123462 | PA      | $9212648.80   | 0.19%             | 2070-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134500 | PA      | $1153719.00   | 0.02%             | 2063-10-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                               | CQS US CLO 5 Ltd                                                                 | CUSIP: 12676EAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $390770.52    | 0.01%             | 2039-01-17      | Floating      | 5.46%                 | 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        |   4312065 | PA      | $2321630.37   | 0.05%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAY0<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001443.60   | 0.02%             | 2030-11-15      | Floating      | 5.55%                 | 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        |     24906 | PA      | $24018.65     | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXXV Ltd                                                        | CUSIP: 09631RAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    840000 | PA      | $842992.08    | 0.02%             | 2037-10-22      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250929.58    | 0.01%             | 2038-01-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172453 | PA      | $62338.20     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM6 Trust                                                             | CUSIP: 69383RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $755466.34    | 0.02%             | 2070-12-25      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2256 | PA      | $1985.82      | 0.00%             | 2064-06-25      | Variable      | 0.01%                 | 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        |   1420977 | PA      | $1373197.91   | 0.03%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM4                                           | CUSIP: 06744XAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44755739 | PA      | $45972303.39  | 0.95%             | 2065-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                 | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    756429 | PA      | $485869.29    | 0.01%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXX LTD                                                     | CUSIP: 55821TAL1<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |   4410000 | PA      | $4424772.62   | 0.09%             | 2037-07-16      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL Core CLO 38 Ltd                                                              | CUSIP: 00852QAA9<br>LEI: 254900ZPMRHE5M6S8F18 | Long             | ABS-CBDO         | CORP              | KY        |   3650000 | PA      | $3657562.07   | 0.08%             | 2038-01-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-2                                 | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7265462 | PA      | $7342389.06   | 0.15%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                      | Warwick Capital CLO 5 Ltd                                                        | CUSIP: 93656FAA6<br>LEI: 254900WYTOTUQQSCN403 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $451525.50    | 0.01%             | 2038-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680700 | PA      | $691047.93    | 0.01%             | 2063-10-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 2019-2 Ltd                                                         | CUSIP: 05875MBF8<br>LEI: 254900IF22Z7SA13VI60 | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $541779.14    | 0.01%             | 2038-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10813000 | PA      | $10829708.25  | 0.22%             | 2039-06-15      | Floating      | 5.37%                 | 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        |   1427461 | PA      | $1360329.55   | 0.03%             | 2037-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 34 Ltd                                                                       | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |   2430000 | PA      | $2430294.52   | 0.05%             | 2034-10-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2279987.33   | 0.05%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                     | Bear Stearns ALT-A Trust 2005-7                                                  | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1306088 | PA      | $435560.92    | 0.01%             | 2035-09-25      | Variable      | 4.64%                 | 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        |    253112 | PA      | $210079.43    | 0.00%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LL               | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                  | CUSIP: 315961AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17236000 | PA      | $17335587.88  | 0.36%             | 2055-12-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                              | Invesco US CLO 2023-3 Ltd                                                        | CUSIP: 46091RAL7<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |    970000 | PA      | $973120.68    | 0.02%             | 2038-07-15      | Floating      | 5.21%                 | 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      | $2654512.92   | 0.05%             | 2065-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                    | HIH Trust 2024-61P                                                               | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886728 | PA      | $890313.09    | 0.02%             | 2041-10-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572600 | PA      | $576367.08    | 0.01%             | 2063-10-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 19 Ltd                           | Elmwood CLO 19 Ltd                                                               | CUSIP: 29004JAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1222559.19   | 0.03%             | 2038-10-17      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 8 Ltd                                                           | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |   6130000 | PA      | $6138920.99   | 0.13%             | 2038-04-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2022-FL11 LLC                                                                | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    643396 | PA      | $643392.34    | 0.01%             | 2039-03-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-3                                    | CUSIP: 92262RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210367 | PA      | $2251216.19   | 0.05%             | 2055-06-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO 42 Ltd                                               | CUSIP: 08187LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4050000 | PA      | $4060246.10   | 0.08%             | 2038-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3807948 | PA      | $3806903.79   | 0.08%             | 2060-03-25      | Variable      | 5.00%                 | 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        |    770124 | PA      | $784282.28    | 0.02%             | 2052-08-25      | Variable      | 7.52%                 | 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      | $1201332.48   | 0.02%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2910634.30   | 0.06%             | 2037-07-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                | Radian Mortgage Capital Trust 2024-J2                                            | CUSIP: 75023WAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1383421 | PA      | $1381946.32   | 0.03%             | 2055-03-25      | Variable      | 5.50%                 | 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-O            | CORP              | US        |     81693 | PA      | $166414.57    | 0.00%             | 2036-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust               | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2990000 | PA      | $2954639.06   | 0.06%             | 2039-05-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Trust 2014-SAF1                                                             | CUSIP: 12648FAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1573093 | PA      | $1202017.53   | 0.02%             | 2044-03-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1137397 | PA      | $1125228.47   | 0.02%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei               | Santander Mortgage Asset Receivable Trust 2025-NQM2                              | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3133063 | PA      | $3165674.03   | 0.07%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                   | Sixth Street CLO XVIII Ltd                                                       | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1482819.99   | 0.03%             | 2038-10-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 17 Ltd                                                        | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |   2140000 | PA      | $2147577.74   | 0.04%             | 2037-04-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20394482 | PA      | $943358.98    | 0.02%             | 2053-09-15      | Variable      | 1.66%                 | 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        |    272742 | PA      | $263005.37    | 0.01%             | 2035-02-25      | Variable      | 6.05%                 | 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        |  -4579000 | PA      | $-3700386.15  | -0.08%            | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6451895 | PA      | $6451322.28   | 0.13%             | 2041-05-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-44 Ltd                                                              | CUSIP: 67570UAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3007804.20   | 0.06%             | 2038-10-24      | Floating      | 5.91%                 | 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      | $3541894.29   | 0.07%             | 2031-12-22      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1706086 | PA      | $1879315.21   | 0.04%             | 2060-03-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381JNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    794556 | PA      | $724448.76    | 0.02%             | 2065-05-16      | Variable      | 3.75%                 | 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        |    614872 | PA      | $517498.32    | 0.01%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39               | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    307266 | PA      | $307329.82    | 0.01%             | 2030-10-20      | Floating      | 5.03%                 | 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        |     39022 | PA      | $14763.02     | 0.00%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST                   | APS Resecuritization Trust 2016-1                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2230386 | PA      | $831149.13    | 0.02%             | 2057-07-31      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21846169 | PA      | $535858.12    | 0.01%             | 2064-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXXI Ltd                                                    | CUSIP: 55817DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7910000 | PA      | $7899501.85   | 0.16%             | 2038-04-23      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627966 | PA      | $604110.67    | 0.01%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566800 | PA      | $1530786.32   | 0.03%             | 2063-10-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1762000 | PA      | $1765265.16   | 0.04%             | 2027-06-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2447000 | PA      | $2487274.19   | 0.05%             | 2032-06-21      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                   | Morgan Stanley ABS Capital I Inc Trust 2006-HE8                                  | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251394 | PA      | $547452.07    | 0.01%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM XVII LP                                                                      | CUSIP: 50190AAK8<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | KY        |    506980 | PA      | $506967.45    | 0.01%             | 2031-10-15      | Floating      | 5.30%                 | 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      | $2812600.06   | 0.06%             | 2039-05-10      | Fixed         | 3.57%                 | 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        |  23333432 | PA      | $1206116.76   | 0.02%             | 2030-07-25      | Variable      | 1.41%                 | 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        |   2011379 | PA      | $1962202.28   | 0.04%             | 2050-05-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3963721 | PA      | $4062350.62   | 0.08%             | 2059-06-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2023-H2 Mortgage Trust                                                     | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046300 | PA      | $1058867.85   | 0.02%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 28 Ltd                                                                        | CUSIP: 74989NAA7<br>LEI: 254900ZSKVCYOXP11C98 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250888.75    | 0.01%             | 2037-04-15      | Floating      | 5.45%                 | 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      | $330659.66    | 0.01%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2024-H7 Mortgage Trust                                                     | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9010830 | PA      | $9079790.37   | 0.19%             | 2069-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765375 | PA      | $767574.12    | 0.02%             | 2054-10-25      | Variable      | 6.76%                 | 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      | $4923212.00   | 0.10%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 48 Ltd                                                                   | CUSIP: 48256EAQ2<br>LEI: 549300GM4MA615ZG7468 | Long             | ABS-CBDO         | CORP              | JE        |   1010000 | PA      | $1012548.94   | 0.02%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5550000 | PA      | $5654681.88   | 0.12%             | 2032-06-21      | Fixed         | 7.21%                 | 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        |    917756 | PA      | $930753.19    | 0.02%             | 2052-08-25      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-WFHE2                                         | CUSIP: 17312BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4891800.50   | 0.10%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2007-FLX2                                       | CUSIP: 45668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3676547 | PA      | $3335924.05   | 0.07%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Silver Point Capital CLO 1, Lt               | Silver Point CLO 1 Ltd                                                           | CUSIP: 828085AN0<br>LEI: 549300UJUGKIKZF7CD63 | Long             | ABS-CBDO         | CORP              | JE        |   2070000 | PA      | $2077460.28   | 0.04%             | 2038-01-20      | Floating      | 5.20%                 | 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        |   1714918 | PA      | $1714422.17   | 0.04%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5319000 | PA      | $5333423.00   | 0.11%             | 2039-11-09      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AW6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   1390000 | PA      | $1398129.55   | 0.03%             | 2034-10-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-46 Ltd                                                              | CUSIP: 671023AA7<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |   2180000 | PA      | $2182951.50   | 0.05%             | 2038-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | Aimco CLO 14 Ltd                                                                 | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3600000 | PA      | $3602719.44   | 0.07%             | 2038-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3732000 | PA      | $3790813.71   | 0.08%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-12 Mortgage Loan Trust                                                 | CUSIP: 19688UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854000 | PA      | $849455.49    | 0.02%             | 2071-01-26      | Variable      | 6.86%                 | 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-O            | CORP              | US        |     68769 | PA      | $45893.72     | 0.00%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9575894 | PA      | $9683471.61   | 0.20%             | 2063-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2019-2                                                   | CUSIP: 05682LBC0<br>LEI: 549300WZ8E2KQS66KT95 | Long             | ABS-CBDO         | CORP              | KY        |   1160000 | PA      | $1160399.16   | 0.02%             | 2032-10-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                        | Kennedy Lewis CLO 7 Ltd                                                          | CUSIP: 37149LAL1<br>LEI: 25490036G9JNQQPHIX69 | Long             | ABS-CBDO         | CORP              | KY        |   8525000 | PA      | $8555937.23   | 0.18%             | 2037-04-22      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2009-12                                            | CUSIP: 173097AK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5141691 | PA      | $2154234.72   | 0.04%             | 2037-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                       | Service Experts Issuer 2024-1 LLC                                                | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1927757 | PA      | $1975457.19   | 0.04%             | 2035-11-20      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5984000 | PA      | $6051113.55   | 0.13%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2024-1 Ltd                                            | CUSIP: 69703NAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $530859.02    | 0.01%             | 2032-10-15      | Floating      | 5.70%                 | 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      | $4282056.12   | 0.09%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trus               | Easy Street Mortgage Loan Trust 2025-RTL2                                        | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2063000 | PA      | $2084175.25   | 0.04%             | 2040-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XLIII CLO Ltd                                                               | CUSIP: 04016PAS7<br>LEI: 549300ECLIGB6OZRBA51 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501751.00    | 0.01%             | 2038-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-1                                                    | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4474000 | PA      | $4551397.52   | 0.09%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 26 Ltd                                                                   | CUSIP: 48253HAW5<br>LEI: 549300S5YSR4S7FFS332 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1250389.88   | 0.03%             | 2034-10-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                         | Elmwood CLO XII Ltd                                                              | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1788000 | PA      | $1794370.11   | 0.04%             | 2037-10-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1628457 | PA      | $1649499.45   | 0.03%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-B                                            | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6752000 | PA      | $6773624.63   | 0.14%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Trust 2024-1                                           | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631854 | PA      | $645972.43    | 0.01%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3660171 | PA      | $3662423.61   | 0.08%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XVI Ltd                                              | CUSIP: 08181VAY1<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $832863.50    | 0.02%             | 2038-01-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $744095.76    | 0.02%             | 2050-10-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor               | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8232000 | PA      | $8249845.33   | 0.17%             | 2039-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AY1<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $731697.98    | 0.02%             | 2038-10-17      | Floating      | 5.43%                 | 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-O            | CORP              | US        |   1763535 | PA      | $1743879.26   | 0.04%             | 2037-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525352 | PA      | $1543861.49   | 0.03%             | 2063-10-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-1                                                  | CUSIP: 03465XAA7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    866039 | PA      | $867333.33    | 0.02%             | 2068-08-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2024-2                                    | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1297910 | PA      | $1319086.90   | 0.03%             | 2059-10-27      | Fixed         | 5.15%                 | 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      | $381711.61    | 0.01%             | 2049-10-25      | Variable      | 3.96%                 | 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      | $4966932.45   | 0.10%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust               | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $581512.46    | 0.01%             | 2034-09-15      | Floating      | 5.16%                 | 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      | $2396659.80   | 0.05%             | 2066-01-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2022-CHM1 Trust                                                              | CUSIP: 552758AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4678439 | PA      | $4620652.72   | 0.10%             | 2056-09-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-AIR2                                           | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3031009 | PA      | $3034777.40   | 0.06%             | 2041-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-NQM5                                                                   | CUSIP: 28225KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4768286 | PA      | $4777245.08   | 0.10%             | 2070-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp                                                 | CUSIP: 86359DRU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1360575 | PA      | $1285721.82   | 0.03%             | 2035-07-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2023-7                                                  | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |   6227253 | PA      | $6210302.05   | 0.13%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 68 CLO Ltd                                                                | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499909.50    | 0.01%             | 2035-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506280 | PA      | $511101.53    | 0.01%             | 2054-10-25      | Variable      | 9.53%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-throu               | ILPT Commercial Mortgage Trust 2025-LPF2                                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8890000 | PA      | $9061553.89   | 0.19%             | 2042-07-13      | Variable      | 5.29%                 | 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        |  15438400 | PA      | $279044.46    | 0.01%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                           | BMO 2023-C5 Mortgage Trust                                                       | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8013957 | PA      | $318255.88    | 0.01%             | 2056-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2024-1 Ltd                                            | CUSIP: 69703NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1150000 | PA      | $1150936.56   | 0.02%             | 2032-10-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                 | Huntington Bank Auto Credit-Linked Notes Series 2025-2                           | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550414 | PA      | $3555424.72   | 0.07%             | 2033-09-20      | Floating      | 5.12%                 | 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        |     34868 | PA      | $28163.72     | 0.00%             | 2036-01-25      | Floating      | 4.20%                 | 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        |     93974 | PA      | $84705.20     | 0.00%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                     | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    290000 | PA      | $290148.19    | 0.01%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249992.60    | 0.01%             | 2031-04-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 42 Ltd                                                                   | CUSIP: 00791YAA6<br>LEI: 254900AMSJHVKQ5QFA09 | Long             | ABS-CBDO         | CORP              | KY        |   4120000 | PA      | $4132914.14   | 0.09%             | 2038-07-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor               | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22541SD70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213569 | PA      | $180534.23    | 0.00%             | 2043-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6096000 | PA      | $6106579.00   | 0.13%             | 2039-11-09      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2765545 | PA      | $2773231.96   | 0.06%             | 2039-02-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                          | Eaton Vance CLO 2013-1 Ltd                                                       | CUSIP: 27830BBY9<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |   2110000 | PA      | $2117005.62   | 0.04%             | 2038-10-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-RTL1                                 | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $16185363.20  | 0.34%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S               | HOMES 2025-AFC4 Trust                                                            | CUSIP: 43762DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2144173 | PA      | $2147987.08   | 0.04%             | 2060-11-25      | Variable      | 5.15%                 | 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        |   6886233 | PA      | $2389875.96   | 0.05%             | 2036-11-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM6 Trust                                                             | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5780784 | PA      | $5774976.57   | 0.12%             | 2070-12-25      | Variable      | 4.99%                 | 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        |   4093710 | PA      | $3877660.97   | 0.08%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2025-X2                                        | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7057557 | PA      | $7064277.36   | 0.15%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078BG7<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |    360000 | PA      | $358995.71    | 0.01%             | 2037-07-20      | Floating      | 6.98%                 | 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        |   2982424 | PA      | $85815.39     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                 | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $321111.67    | 0.01%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2024-1                                      | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3961080 | PA      | $3991049.07   | 0.08%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3313000 | PA      | $3293158.77   | 0.07%             | 2062-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-8R Ltd                                                              | CUSIP: 670898AW5<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   3025000 | PA      | $3029836.37   | 0.06%             | 2038-10-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                          | OWL Rock Clo V LLC                                                               | CUSIP: 69120JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1350000 | PA      | $1350184.01   | 0.03%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-CES1 Mortgage Trust                                                   | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1043638 | PA      | $1047296.63   | 0.02%             | 2060-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST7                                   | CUSIP: 91533RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2229000 | PA      | $2231973.49   | 0.05%             | 2032-11-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 7 Ltd                                                           | CUSIP: 64754YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999893.50    | 0.02%             | 2038-03-31      | Floating      | 5.08%                 | 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        |    329472 | PA      | $330045.40    | 0.01%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AS5<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1630025.75   | 0.03%             | 2034-10-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                   | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013NAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1948871.73   | 0.04%             | 2038-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2018-15 Ltd                                                              | CUSIP: 67112KAG4<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4508899.65   | 0.09%             | 2038-01-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2022-2                                             | CUSIP: 78434KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3672598.85   | 0.08%             | 2062-08-25      | Variable      | 5.28%                 | 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        |   2158731 | PA      | $2132986.41   | 0.04%             | 2034-09-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2025-NQM4 Trust                                                             | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2635879 | PA      | $2659513.29   | 0.06%             | 2070-06-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    790000 | PA      | $792874.02    | 0.02%             | 2037-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 7 Ltd                                                                         | CUSIP: 74980EAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $480904.99    | 0.01%             | 2037-01-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6768000 | PA      | $7115858.28   | 0.15%             | 2058-07-15      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2024-A                                         | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1973000 | PA      | $1976053.02   | 0.04%             | 2029-02-15      | Fixed         | 5.61%                 | 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        |   1889403 | PA      | $1829021.07   | 0.04%             | 2067-01-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST7                                   | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2668076 | PA      | $2666896.86   | 0.06%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners Static                | Golub Capital Partners Static 2024-1 Ltd                                         | CUSIP: 381929AN8<br>LEI: 25490083RWI1EQQYLH43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250255.40    | 0.01%             | 2035-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2025-ATRM                                           | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $928589.56    | 0.02%             | 2042-08-15      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| FIGRE Trust                                  | FIGRE Trust 2025-HE7                                                             | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2842369 | PA      | $2849911.37   | 0.06%             | 2055-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman CLO XVII Ltd                                                    | CUSIP: 64129UCC7<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501732.50    | 0.01%             | 2038-07-22      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | ARES LII CLO Ltd                                                                 | CUSIP: 04009ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $2051506.55   | 0.04%             | 2031-04-22      | Floating      | 5.21%                 | 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        |    981610 | PA      | $872174.51    | 0.02%             | 2035-06-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-R1 LLC                                                                 | CUSIP: 12530YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177185 | PA      | $172799.85    | 0.00%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA1 Trust | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125953 | PA      | $104711.98    | 0.00%             | 2046-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4564268 | PA      | $4606305.49   | 0.10%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12598866 | PA      | $12720977.78  | 0.26%             | 2064-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXX LTD                                                     | CUSIP: 55821TAQ0<br>LEI: 549300FFTJ3WPTJK8589 | Long             | ABS-CBDO         | CORP              | KY        |    710000 | PA      | $712771.84    | 0.01%             | 2037-07-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $580149.00    | 0.01%             | 2034-10-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-3 Mortgage Loan Trust                                                  | CUSIP: 12659YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3095164.45   | 0.06%             | 2067-02-25      | Variable      | 4.21%                 | 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      | $2652584.78   | 0.05%             | 2065-04-25      | Variable      | 4.75%                 | 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        |   1118986 | PA      | $930848.16    | 0.02%             | 2048-10-20      | Fixed         | 2.31%                 | 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        |   1117358 | PA      | $481960.43    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138RAJ4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1241483.63   | 0.03%             | 2034-10-20      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                           | Shackleton 2013-IV-R CLO Ltd                                                     | CUSIP: 81882HAA3<br>LEI: 5493000LHXWSIZGUY418 | Long             | ABS-CBDO         | CORP              | KY        |     32386 | PA      | $32386.96     | 0.00%             | 2031-04-13      | Floating      | 5.17%                 | 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        |    900544 | PA      | $1133385.90   | 0.02%             | 2061-10-25      | Fixed         | 3.00%                 | 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        |    865114 | PA      | $590759.75    | 0.01%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXIV Ltd                                                    | CUSIP: 55820NBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002569.40   | 0.02%             | 2029-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                 | MERIT Securities Corp                                                            | CUSIP: 589962CW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    834779 | PA      | $823407.98    | 0.02%             | 2033-12-28      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H2 Mortgage Trust                                                     | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9738106 | PA      | $9792047.86   | 0.20%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38384CEP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1387641 | PA      | $1113425.35   | 0.02%             | 2065-04-16      | Fixed         | 2.25%                 | 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-O            | CORP              | US        |      6614 | PA      | $6620.30      | 0.00%             | 2034-03-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd               | LoanCore 2025-CRE9 Issuer LLC                                                    | CUSIP: 538912AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1755000 | PA      | $1752847.14   | 0.04%             | 2042-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV3                                           | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2788437 | PA      | $2642745.63   | 0.05%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 4 Ltd                                                            | CUSIP: 09077CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1264522.14   | 0.03%             | 2037-07-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-A                                          | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2415000 | PA      | $2481266.39   | 0.05%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2845255.50   | 0.06%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AQ9<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |   3360000 | PA      | $3369334.08   | 0.07%             | 2034-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 29 Ltd                                                     | CUSIP: 03332QAA3<br>LEI: 213800XVU2BADRNDSO76 | Long             | ABS-CBDO         | CORP              | KY        |   4430000 | PA      | $4445854.97   | 0.09%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 34 Ltd                                        | CUSIP: 64132YBJ0<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5518272.10   | 0.11%             | 2039-07-20      | Floating      | 5.53%                 | 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        |    402780 | PA      | $275223.13    | 0.01%             | 2037-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993339 | PA      | $1003087.05   | 0.02%             | 2064-06-25      | Variable      | 6.30%                 | 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        |   2099946 | PA      | $1943927.60   | 0.04%             | 2046-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM6 Trust                                                             | CUSIP: 69383RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258367 | PA      | $257753.61    | 0.01%             | 2070-12-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2896895 | PA      | $2891122.42   | 0.06%             | 2042-08-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                     | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1181844 | PA      | $1182151.92   | 0.02%             | 2032-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |    905481 | PA      | $905463.61    | 0.02%             | 2031-07-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BARDOT CLO LTD                               | Bardot CLO Ltd                                                                   | CUSIP: 06744NBQ9<br>LEI: 549300KP12IHV6MTDK86 | Long             | ABS-CBDO         | CORP              | KY        |   1048059 | PA      | $1047719.88   | 0.02%             | 2032-10-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-1                                                    | CUSIP: 52603DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1205000 | PA      | $1222329.95   | 0.03%             | 2032-06-21      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                          | Cbam 2018-7 Ltd                                                                  | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500117.65    | 0.01%             | 2031-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XII-B Ltd                                            | CUSIP: 081917AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1705347.52   | 0.04%             | 2037-10-15      | Floating      | 5.60%                 | 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        |    204816 | PA      | $204190.22    | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-INV1                                             | CUSIP: 92539FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3190299.20   | 0.07%             | 2068-02-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| AGL CLO 5 Ltd                                | AGL CLO 5 Ltd                                                                    | CUSIP: 00119TBM5<br>LEI: 549300N06ILVP775P131 | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $878175.67    | 0.02%             | 2039-01-20      | Floating      | 6.46%                 | 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      | $0.10         | 0.00%             | 2029-12-29      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| Regatta 35 Funding Ltd.                      | Regatta 35 Funding Ltd                                                           | CUSIP: 75903YAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8200000 | PA      | $8223623.38   | 0.17%             | 2038-10-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAJ4<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |    737000 | PA      | $739758.08    | 0.02%             | 2037-10-20      | Floating      | 5.25%                 | 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      | $217072.87    | 0.00%             | 2064-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                          | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |     17809 | PA      | $17809.20     | 0.00%             | 2031-01-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2022-NQM1 Trust                                                             | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335500 | PA      | $327363.82    | 0.01%             | 2067-08-25      | Variable      | 5.40%                 | 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      | $1472858.09   | 0.03%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                   | BRCK Trust 2025-830B                                                             | CUSIP: 10635AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1900407.36   | 0.04%             | 2042-12-10      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2022-II Ltd                                                        | CUSIP: 70018CAS5<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501483.20    | 0.01%             | 2037-07-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAX4<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $431434.09    | 0.01%             | 2037-11-26      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX 2024-PALM                                                                     | CUSIP: 05612UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696635 | PA      | $692534.51    | 0.01%             | 2037-06-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 41 LTD                                                                        | CUSIP: 749764AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1180000 | PA      | $1182835.54   | 0.02%             | 2040-10-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                    | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1315583 | PA      | $1180841.70   | 0.02%             | 2031-11-25      | Variable      | 6.00%                 | 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        |    621522 | PA      | $218174.63    | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | 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        |    458285 | PA      | $421748.08    | 0.01%             | 2036-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224000 | PA      | $1240190.95   | 0.03%             | 2038-05-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset Backed Notes Trust 2007-Sea2                                         | CUSIP: 12671CAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    899438 | PA      | $751935.24    | 0.02%             | 2047-06-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10380000 | PA      | $10395398.73  | 0.22%             | 2031-04-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 24 Ltd                           | Elmwood CLO 24 Ltd                                                               | CUSIP: 290020AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8314000 | PA      | $8346582.57   | 0.17%             | 2038-01-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2022-II Ltd                                                        | CUSIP: 70018CAQ9<br>LEI: 2138008W8XU9WO8BZO09 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $431585.41    | 0.01%             | 2037-07-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   9329000 | PA      | $9364683.43   | 0.19%             | 2037-11-26      | Floating      | 5.21%                 | 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        |     41476 | PA      | $38709.36     | 0.00%             | 2035-03-25      | Floating      | 4.20%                 | 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        |   5792000 | PA      | $5773003.40   | 0.12%             | 2034-09-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAG9<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1636832.96   | 0.03%             | 2038-01-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Trust 2018-GS10                                           | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $4053229.66   | 0.08%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2025-NQM7                                    | CUSIP: 64831YAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $877284.54    | 0.02%             | 2065-10-26      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXXIX Ltd                                                             | CUSIP: 03766HAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    550000 | PA      | $551500.57    | 0.01%             | 2038-10-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAS6<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |   4297000 | PA      | $4312444.28   | 0.09%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                     | SoFi Personal Loan Trust 2024-1                                                  | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1833538 | PA      | $1820654.91   | 0.04%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust               | BSTN Commercial Mortgage Trust 2025-1C                                           | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4920000 | PA      | $5052170.39   | 0.10%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11446000 | PA      | $93524.12     | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                   | BRCK Trust 2025-830B                                                             | CUSIP: 10635AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4021000 | PA      | $4017213.83   | 0.08%             | 2042-12-10      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4609024.64   | 0.10%             | 2041-12-10      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351691 | PA      | $352129.93    | 0.01%             | 2042-08-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9322000 | PA      | $9454061.05   | 0.20%             | 2033-06-10      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXXII Ltd                                                           | CUSIP: 89642NAA4<br>LEI: 254900KN2E57M5580B74 | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1253789.00   | 0.03%             | 2038-07-23      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $551200.05    | 0.01%             | 2034-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726996 | PA      | $322930.23    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7080000 | PA      | $7093337.30   | 0.15%             | 2055-05-17      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                    | CHI Commercial Mortgage Trust 2025-110W                                          | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2491000 | PA      | $2499866.71   | 0.05%             | 2040-12-13      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1209958 | PA      | $943899.54    | 0.02%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak II Ltd                                                            | CUSIP: 80013TAQ6<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |   1620000 | PA      | $1624054.70   | 0.03%             | 2038-07-20      | Floating      | 5.63%                 | 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        |      9186 | PA      | $8717.16      | 0.00%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1471000 | PA      | $1115147.30   | 0.02%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2017-13 Ltd                                                              | CUSIP: 67097LAT3<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |    622500 | PA      | $622502.05    | 0.01%             | 2037-11-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXIV                                                                  | CUSIP: 03759CAV2<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $340320.35    | 0.01%             | 2030-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-5                                    | CUSIP: 92262KAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001337 | PA      | $1001454.85   | 0.02%             | 2055-12-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 6 Ltd                                                            | CUSIP: 09077FAL9<br>LEI: 254900HENKWLW4T9SW86 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $501689.95    | 0.01%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | Onemain Financial Issuance Trust 2025-1                                          | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1842000 | PA      | $1863827.70   | 0.04%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Trust 2024-BERY                                                               | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1703156.90   | 0.04%             | 2039-11-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR41                                       | CUSIP: 45668NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307643 | PA      | $299957.83    | 0.01%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And L               | BAY 2025-LIVN Mortgage Trust                                                     | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13237000 | PA      | $13246202.36  | 0.27%             | 2035-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2880000 | PA      | $2881644.77   | 0.06%             | 2031-04-15      | Floating      | 5.90%                 | 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        |    978168 | PA      | $815067.78    | 0.02%             | 2046-08-20      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                          | Capital Four US CLO II Ltd                                                       | CUSIP: 14016CAN6<br>LEI: 2138009KMDCX6G3MTA10 | Long             | ABS-CBDO         | CORP              | JE        |   2280000 | PA      | $2284255.85   | 0.05%             | 2037-01-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1801839 | PA      | $1639611.32   | 0.03%             | 2066-11-26      | Variable      | 1.73%                 | 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      | $675542.76    | 0.01%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                  | RAAC Series 2006-SP3 Trust                                                       | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661551 | PA      | $1730116.75   | 0.04%             | 2036-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14139523 | PA      | $14234182.79  | 0.29%             | 2055-05-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                  | DBC 2025-DBC Mortgage Trust                                                      | CUSIP: 23306HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3736000 | PA      | $3735994.40   | 0.08%             | 2042-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1013005.15   | 0.02%             | 2038-11-15      | Floating      | 5.02%                 | 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        |    997839 | PA      | $839218.35    | 0.02%             | 2049-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | APIDOS CLO XLVIII Ltd                                                            | CUSIP: 03770WAA9<br>LEI: 25490046M6DC4604K633 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $501673.50    | 0.01%             | 2037-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    843043 | PA      | $846609.93    | 0.02%             | 2054-12-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246162 | PA      | $1243215.12   | 0.03%             | 2054-09-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-TAIL                                                               | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4418000 | PA      | $4415028.01   | 0.09%             | 2035-06-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg               | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4013000 | PA      | $4041728.26   | 0.08%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU 2019-1 Ltd                     | Trimaran Cavu 2021-2 Ltd                                                         | CUSIP: 89624UAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $300353.55    | 0.01%             | 2034-10-25      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd                          | Great Lakes CLO IX Ltd                                                           | CUSIP: 390922AC6<br>LEI: 254900GD0BIHJ4BVAE98 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4003939.60   | 0.08%             | 2039-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-3                                                    | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8085000 | PA      | $8082576.93   | 0.17%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249832.20    | 0.01%             | 2032-05-29      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAE1<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2186598.21   | 0.05%             | 2037-10-15      | Floating      | 5.58%                 | 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      | $413984.30    | 0.01%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-ARIA                                                               | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10720000 | PA      | $10817176.80  | 0.22%             | 2042-12-13      | Variable      | 5.03%                 | 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      | $7591050.74   | 0.16%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2025-3 Ltd                                                    | CUSIP: 77340WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3270000 | PA      | $3269882.28   | 0.07%             | 2038-03-31      | Floating      | 4.96%                 | 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        |    976243 | PA      | $849152.92    | 0.02%             | 2049-07-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3646000 | PA      | $3639533.82   | 0.08%             | 2055-05-17      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos Clo Lii                                                                   | CUSIP: 03771NAA8<br>LEI: 254900XJH54T9O9TH452 | Long             | ABS-CBDO         | CORP              | KY        |   2290000 | PA      | $2287099.26   | 0.05%             | 2038-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-3                                                    | CUSIP: 525951AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1336000 | PA      | $1333333.74   | 0.03%             | 2035-05-21      | Fixed         | 4.83%                 | 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      | $259110.09    | 0.01%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I1                                                                | CUSIP: 12570DAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1876000 | PA      | $1888006.40   | 0.04%             | 2058-04-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Regatta XXV Funding Ltd.                     | Regatta XXV Funding Ltd                                                          | CUSIP: 758978AL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7650000 | PA      | $7679595.56   | 0.16%             | 2038-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6747000 | PA      | $6761047.25   | 0.14%             | 2041-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR4 Trust                                             | CUSIP: 74334JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5640000 | PA      | $5265732.42   | 0.11%             | 2041-07-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                               | CQS US CLO 2023-3 Ltd                                                            | CUSIP: 223929AE0<br>LEI: 254900OIQPM0JE7KVZ52 | Long             | ABS-CBDO         | CORP              | JE        |   2390000 | PA      | $2394611.03   | 0.05%             | 2037-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1740000 | PA      | $1743174.63   | 0.04%             | 2038-07-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923787 | PA      | $923786.58    | 0.02%             | 2042-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| AGL CLO 5 Ltd                                | AGL CLO 5 Ltd                                                                    | CUSIP: 00119TBR4<br>LEI: 549300N06ILVP775P131 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $509948.69    | 0.01%             | 2039-01-20      | Floating      | 7.71%                 | 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        |    265247 | PA      | $247166.49    | 0.01%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-BHAR                                                                   | CUSIP: 12659VAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649000 | PA      | $643740.11    | 0.01%             | 2038-11-15      | Floating      | 5.37%                 | 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-O            | CORP              | US        |    219081 | PA      | $217939.03    | 0.00%             | 2036-05-15      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-46 Ltd                                                              | CUSIP: 671023AE9<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1341132.97   | 0.03%             | 2038-10-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LXIII CLO Ltd                                                               | CUSIP: 039937AS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2990000 | PA      | $3000418.36   | 0.06%             | 2038-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34138904 | PA      | $1289808.74   | 0.03%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |   1390000 | PA      | $1394323.18   | 0.03%             | 2038-01-18      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 53B Ltd                                               | CUSIP: 38177YAL6<br>LEI: 254900DPK2EA9C8DGV68 | Long             | ABS-CBDO         | CORP              | KY        |   9900000 | PA      | $9891202.86   | 0.20%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-B                                                 | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4045000 | PA      | $4057492.58   | 0.08%             | 2055-05-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2025-3                                                    | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4372000 | PA      | $4352669.64   | 0.09%             | 2035-05-21      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 21 Ltd                                                                   | CUSIP: 48252KAA7<br>LEI: 5493008X0MRR4A6VYF15 | Long             | ABS-CBDO         | CORP              | KY        |    183231 | PA      | $183255.58    | 0.00%             | 2031-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX 2024-PALM                                                                     | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9565962 | PA      | $9571932.61   | 0.20%             | 2037-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                  | FIGRE Trust 2024-SL1                                                             | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6885245 | PA      | $6999270.67   | 0.14%             | 2053-07-25      | Variable      | 5.75%                 | 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        |     23812 | PA      | $4140.53      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975019 | PA      | $985329.56    | 0.02%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405000 | PA      | $1422347.54   | 0.03%             | 2070-02-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 8 Ltd                                                                         | CUSIP: 74980FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1482829.76   | 0.03%             | 2039-01-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding XIV CLO Ltd                                                        | CUSIP: 15034AAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1480000 | PA      | $1484656.52   | 0.03%             | 2037-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-2                                      | CUSIP: 24380XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884000 | PA      | $788326.80    | 0.02%             | 2067-03-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-BCAT                                           | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3519780 | PA      | $3524164.79   | 0.07%             | 2042-08-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAW7<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251085.43    | 0.01%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2025-NR1                                                               | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11725255 | PA      | $11577924.65  | 0.24%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                 | Saxon Asset Securities Trust 2004-2                                              | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396747 | PA      | $309250.14    | 0.01%             | 2035-08-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Trust 2025-NQM5                                    | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |   3348455 | PA      | $3351697.67   | 0.07%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                  | Ares Direct Lending CLO 6 LLC                                                    | CUSIP: 039960AA7<br>LEI: 254900F5EQV7KVCD4M68 | Long             | ABS-CBDO         | CORP              | US        |   2020000 | PA      | $2021647.51   | 0.04%             | 2037-10-16      | Floating      | 5.20%                 | 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        |    155651 | PA      | $153399.25    | 0.00%             | 2048-08-17      | Fixed         | 3.09%                 | 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        |    248830 | PA      | $249478.78    | 0.01%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-6                                    | CUSIP: 92261BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543394 | PA      | $1550426.09   | 0.03%             | 2054-12-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S               | HOMES 2025-NQM2 Trust                                                            | CUSIP: 403966AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14025679 | PA      | $14117190.64  | 0.29%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 35 Ltd                                                                       | CUSIP: 50202QAQ6<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3006135.00   | 0.06%             | 2034-10-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 26 Ltd                                         | CUSIP: 38139QAG1<br>LEI: 254900C5OE1SRC894D90 | Long             | ABS-CBDO         | CORP              | KY        |   4750000 | PA      | $4769057.48   | 0.10%             | 2038-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| PGA National Resort Commercial               | PGA Trust 2024-RSR2                                                              | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1754000 | PA      | $1754542.86   | 0.04%             | 2039-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 72 CLO Ltd                                                                | CUSIP: 26252NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    304626 | PA      | $304619.96    | 0.01%             | 2032-05-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                               | Pikes Peak Clo 12 Ltd                                                            | CUSIP: 72133LAM4<br>LEI: 21380087HZCMQFA48I12 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $500814.15    | 0.01%             | 2038-04-20      | Floating      | 5.10%                 | 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      | $363264.84    | 0.01%             | 2037-04-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-46 Ltd                                                              | CUSIP: 671023AG4<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $906414.36    | 0.02%             | 2038-10-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-37 Ltd                                                              | CUSIP: 67120AAA9<br>LEI: 213800VGDQYISNVLCT08 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2187893.78   | 0.05%             | 2037-10-15      | Floating      | 5.26%                 | 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      | $236888.56    | 0.00%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 119 CLO Ltd                                                               | CUSIP: 26254KAG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004535.90   | 0.02%             | 2036-04-15      | Floating      | 6.25%                 | 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      | $128431.32    | 0.00%             | 2058-05-10      | Variable      | 4.84%                 | 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        |   1442829 | PA      | $1318278.41   | 0.03%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7170000 | PA      | $7242080.73   | 0.15%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1152640.24   | 0.02%             | 2064-12-26      | Variable      | 6.96%                 | 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      | $2797813.55   | 0.06%             | 2066-08-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250891.13    | 0.01%             | 2037-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2025-A                                           | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8391000 | PA      | $8418052.58   | 0.17%             | 2034-11-20      | Fixed         | 4.59%                 | 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      | $5528550.94   | 0.11%             | 2041-02-28      | Floating      | 6.32%                 | 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        |    735325 | PA      | $733996.45    | 0.02%             | 2062-04-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2176209 | PA      | $1261816.26   | 0.03%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2021-4 Ltd                                                     | CUSIP: 69702EAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    660000 | PA      | $662433.42    | 0.01%             | 2038-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 6 Ltd                                                         | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672713.50    | 0.01%             | 2037-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                   | INCREF 2025-FL1 LLC                                                              | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3457000 | PA      | $3463751.87   | 0.07%             | 2042-10-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trus               | Spruce Hill Mortgage Loan Trust 2022-SH1                                         | CUSIP: 85213XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629094 | PA      | $606640.40    | 0.01%             | 2057-07-25      | Variable      | 4.10%                 | 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        |    890008 | PA      | $799128.80    | 0.02%             | 2049-07-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-I Ltd                                                          | CUSIP: 12553DAY3<br>LEI: 254900RRJV30GDUWIX97 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251179.88    | 0.01%             | 2037-10-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| A10 Securitization                           | A10 2025-FL6 Issuer LLC                                                          | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2109000 | PA      | $2105053.85   | 0.04%             | 2042-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2025-3 Ltd                                            | CUSIP: 696917AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $479923.54    | 0.01%             | 2034-01-15      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2024-7                                                | CUSIP: 924925AG5<br>LEI: 213800HQOHEFNJCQYJ07 | Long             | ABS-MBS          | CORP              | US        |    648000 | PA      | $652959.21    | 0.01%             | 2069-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp Mortgage Loan Trust 2007-GEL2                   | CUSIP: 86363MAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1644563 | PA      | $1374553.05   | 0.03%             | 2037-05-25      | Floating      | 4.90%                 | 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        |   4116304 | PA      | $4100465.99   | 0.08%             | 2049-08-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                    | HIH Trust 2024-61P                                                               | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2364609 | PA      | $2370490.80   | 0.05%             | 2041-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-NQM6                                                                   | CUSIP: 281916AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4542107 | PA      | $4552893.21   | 0.09%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28280000 | PA      | $29270608.81  | 0.61%             | 2041-12-10      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VII Ltd.                         | Elmwood CLO VII Ltd                                                              | CUSIP: 29002QAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1214302.64   | 0.03%             | 2037-10-17      | Floating      | 5.24%                 | No            |                  2 | 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      | $696721.38    | 0.01%             | 2044-11-20      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                            | JP Morgan Resecuritization Trust Series 2014-5                                   | CUSIP: 46642VAR9<br>LEI: 549300I70LJMOFGPXY37 | Long             | ABS-MBS          | CORP              | US        |   9286180 | PA      | $1565636.00   | 0.03%             | 2036-05-27      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                  | Point Broadband Funding LLC                                                      | CUSIP: 73052AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8114000 | PA      | $8282539.95   | 0.17%             | 2055-07-20      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust               | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2096000 | PA      | $2099887.87   | 0.04%             | 2041-06-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                    | CHI Commercial Mortgage Trust 2025-110W                                          | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4895000 | PA      | $4902914.73   | 0.10%             | 2040-12-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8333980 | PA      | $8403471.96   | 0.17%             | 2069-11-25      | Variable      | 5.80%                 | 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        |   2864789 | PA      | $2746022.20   | 0.06%             | 2037-04-15      | Floating      | 7.54%                 | 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      | $467765.89    | 0.01%             | 2045-01-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-22 Ltd                                                              | CUSIP: 67117TAN5<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |   1820000 | PA      | $1827766.12   | 0.04%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM3                                           | CUSIP: 06745VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627000 | PA      | $638631.41    | 0.01%             | 2065-05-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 15 Ltd                                                     | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |   6510000 | PA      | $6535741.84   | 0.14%             | 2038-07-20      | Floating      | 5.62%                 | 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        |    207898 | PA      | $196596.72    | 0.00%             | 2036-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                 | Huntington Bank Auto Credit-Linked Notes Series 2024-1                           | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5301240 | PA      | $5315802.59   | 0.11%             | 2032-05-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2024-FL14 LLC                                                                | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1010000 | PA      | $1012520.56   | 0.02%             | 2039-03-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873400 | PA      | $874504.24    | 0.02%             | 2064-12-26      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 38 Ltd                                                              | CUSIP: 87169NAZ6<br>LEI: 254900T60KIPND298026 | Long             | ABS-CBDO         | CORP              | BM        |   2510000 | PA      | $2517668.05   | 0.05%             | 2038-07-24      | Floating      | 5.82%                 | 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      | $126983.23    | 0.00%             | 2035-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    927060 | PA      | $927168.56    | 0.02%             | 2039-06-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                 | Post CLO VI Ltd                                                                  | CUSIP: 73742RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008153.60   | 0.04%             | 2038-01-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-EC1                            | CUSIP: 07387UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428198 | PA      | $1398618.31   | 0.03%             | 2035-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO 43 Ltd                                               | CUSIP: 08179QAA8<br>LEI: 254900TPMKEES6UQHQ33 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250537.10    | 0.01%             | 2038-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Antares CLO                                  | Antares CLO 2018-1 Ltd                                                           | CUSIP: 03665MAJ0<br>LEI: 254900BLLG7F7B4DGG41 | Long             | ABS-CBDO         | CORP              | KY        |   1955000 | PA      | $1949661.29   | 0.04%             | 2038-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-V Ltd                                                          | CUSIP: 12554XBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2925000 | PA      | $2939721.53   | 0.06%             | 2038-10-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4961000 | PA      | $4978863.07   | 0.10%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL Core CLO 8 LTD                                                               | CUSIP: 00851KAK1<br>LEI: 254900IPV3KA57E31I16 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506087.00   | 0.03%             | 2038-01-20      | Floating      | 5.21%                 | 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        |   1128026 | PA      | $1126656.20   | 0.02%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22062 | PA      | $6983.63      | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | 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      | $3216276.70   | 0.07%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners CLO 17 Ltd                                                | CUSIP: 38180VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8730000 | PA      | $8737549.70   | 0.18%             | 2039-02-09      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-22 Ltd                                                              | CUSIP: 67117TAQ8<br>LEI: 254900PS626FB00CVF06 | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $341136.89    | 0.01%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trus               | 3650R 2021-PF1 Commercial Mortgage Trust                                         | CUSIP: 88575JAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $613774.20    | 0.01%             | 2055-11-15      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    490000 | PA      | $489277.89    | 0.01%             | 2037-10-25      | Floating      | 6.76%                 | 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      | $951409.80    | 0.02%             | 2052-10-15      | Fixed         | 2.79%                 | 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      | $360140.40    | 0.01%             | 2029-06-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2020-2 Ltd                                                              | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3009204.60   | 0.06%             | 2038-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998900 | PA      | $1928105.36   | 0.04%             | 2064-12-26      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                | INT Commercial Mortgage Trust 2025-PLAZA                                         | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1303703.96   | 0.03%             | 2037-11-05      | Variable      | 4.88%                 | 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      | $2477.44      | 0.00%             | 2047-12-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS Trust 2024-TI                                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    754000 | PA      | $764201.24    | 0.02%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37851355 | PA      | $746546.06    | 0.02%             | 2062-11-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust               | FirstKey Homes 2022-SFR3 Trust                                                   | CUSIP: 33768EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6928000 | PA      | $6863685.30   | 0.14%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8889 | PA      | $4386.04      | 0.00%             | 2047-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| DGWD Trust                                   | DGWD Trust 2025-INFL                                                             | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2536000 | PA      | $2544487.23   | 0.05%             | 2035-08-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| AGL CLO 7 LTD                                | AGL CLO 7 Ltd                                                                    | CUSIP: 008511AW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1704140.35   | 0.04%             | 2038-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3895 | PA      | $3257.01      | 0.00%             | 2064-12-26      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro               | RAMP Series 2007-RS1 Trust                                                       | CUSIP: 74923RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074270 | PA      | $474224.59    | 0.01%             | 2037-02-25      | Floating      | 4.41%                 | 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        |   4059139 | PA      | $3037513.88   | 0.06%             | 2036-05-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR4 Trust                                             | CUSIP: 74334JAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4646100.50   | 0.10%             | 2041-07-17      | Fixed         | 3.40%                 | 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        |   1568112 | PA      | $1580615.79   | 0.03%             | 2068-11-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                              | Invesco US CLO 2024-4 Ltd                                                        | CUSIP: 46151BAA3<br>LEI: 2138006HTEY9GGW6XF50 | Long             | ABS-CBDO         | CORP              | KY        |    298000 | PA      | $299054.03    | 0.01%             | 2038-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 98 CLO Ltd                                                                | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1310000 | PA      | $1310651.86   | 0.03%             | 2035-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440658 | PA      | $441939.61    | 0.01%             | 2029-08-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                           | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |  12041125 | PA      | $12083714.46  | 0.25%             | 2037-10-24      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                 | GSMSC Resecuritization Trust 2015-5R                                             | CUSIP: 36251QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3566183 | PA      | $2020375.14   | 0.04%             | 2037-04-26      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-TAIL                                                               | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1084000 | PA      | $1083999.89   | 0.02%             | 2035-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential Trust                                                       | CUSIP: 74333HAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3577000 | PA      | $3542083.11   | 0.07%             | 2038-07-17      | Fixed         | 3.42%                 | 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      | $2761258.41   | 0.06%             | 2036-03-20      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1723000 | PA      | $1725738.36   | 0.04%             | 2041-11-15      | Floating      | 7.39%                 | 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      | $2342127.60   | 0.05%             | 2050-06-15      | Fixed         | 4.08%                 | 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        |    465802 | PA      | $393275.10    | 0.01%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    447480 | PA      | $456934.13    | 0.01%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Regatta XII Funding Ltd.                     | Regatta XII Funding Ltd                                                          | CUSIP: 75888HAW1<br>LEI: 2549001ZYXDVCT6R4I31 | Long             | ABS-CBDO         | CORP              | KY        |   5370000 | PA      | $5391014.42   | 0.11%             | 2037-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090813 | PA      | $1093177.64   | 0.02%             | 2039-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2013-2 Ltd                                                              | CUSIP: 92916WAA7<br>LEI: 5493007ASGBOUR3XJY69 | Long             | ABS-CBDO         | CORP              | KY        |    482338 | PA      | $482339.67    | 0.01%             | 2031-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4394961 | PA      | $1281040.03   | 0.03%             | 2036-09-25      | Floating      | 4.35%                 | 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      | $2077697.88   | 0.04%             | 2038-07-17      | Fixed         | 4.13%                 | 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        |    726110 | PA      | $681998.60    | 0.01%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Dewolf Park clo, ltd                         | Dewolf Park CLO Ltd                                                              | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1474645 | PA      | $1474510.65   | 0.03%             | 2030-10-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23543791 | PA      | $23543555.92  | 0.49%             | 2064-12-26      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo               | Arbor Realty Collateralized Loan Obligation Ltd                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4810000 | PA      | $4824355.45   | 0.10%             | 2041-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | AIMCO CLO 23 Ltd                                                                 | CUSIP: 00901JAA6<br>LEI: 254900JY4GSBXW978G85 | Long             | ABS-CBDO         | CORP              | KY        |    584000 | PA      | $583242.20    | 0.01%             | 2038-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XIX Ltd                                                             | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    324337 | PA      | $324326.63    | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1979000 | PA      | $1777308.63   | 0.04%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1069486.44   | 0.02%             | 2065-04-25      | Variable      | 5.16%                 | 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        |    136622 | PA      | $127881.71    | 0.00%             | 2049-03-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247583 | PA      | $1252599.30   | 0.03%             | 2054-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2025-CRE10 Ltd                                                             | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1398481.70   | 0.03%             | 2029-12-17      | Floating      | 5.35%                 | 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        |    845608 | PA      | $832324.60    | 0.02%             | 2066-01-25      | Variable      | 3.50%                 | 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      | $199395.55    | 0.00%             | 2044-06-25      | Variable      | 5.88%                 | 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        |   2196807 | PA      | $2047929.89   | 0.04%             | 2037-08-25      | Floating      | 4.33%                 | 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      | $1572333.93   | 0.03%             | 2036-03-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-II Ltd                                                         | CUSIP: 17180WAN5<br>LEI: 635400A7PBKNR7KBOY58 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1507876.65   | 0.03%             | 2037-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                | KSLCMT_25-MAK                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2364000 | PA      | $2372098.59   | 0.05%             | 2042-06-15      | Floating      | 7.84%                 | 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      | $110504.81    | 0.00%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2060000 | PA      | $2064622.85   | 0.04%             | 2037-10-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2022-FL9 LLC                                                                 | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2352943 | PA      | $2353442.46   | 0.05%             | 2037-06-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles CLO VII Ltd                                                             | CUSIP: 89532XAC1<br>LEI: 254900F81BZ53L0B6092 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505309.85   | 0.03%             | 2037-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CRSO 2023-BRND A                             | CRSO 2023-BRND A                                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1929098 | PA      | $2003468.20   | 0.04%             | 2040-07-12      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2               | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2812000 | PA      | $2819021.85   | 0.06%             | 2039-06-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    316000 | PA      | $318271.53    | 0.01%             | 2041-10-15      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                          | DBGS 2024-SBL                                                                    | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3719000 | PA      | $3719000.00   | 0.08%             | 2034-08-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                            | 720 East CLO VII Ltd                                                             | CUSIP: 81800WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6300000 | PA      | $6290960.76   | 0.13%             | 2037-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                      | Hartwick Park CLO Ltd                                                            | CUSIP: 417403AQ5<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2003915.80   | 0.04%             | 2037-01-20      | Floating      | 5.43%                 | 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        |    557713 | PA      | $124155.91    | 0.00%             | 2059-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                  | RCKT Mortgage Trust 2024-CES2                                                    | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737000 | PA      | $757710.58    | 0.02%             | 2044-04-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) L               | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AA1<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   5553640 | PA      | $5619508.24   | 0.12%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2214631 | PA      | $2213053.96   | 0.05%             | 2064-12-26      | Variable      | 5.10%                 | 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        |   1093926 | PA      | $1033957.41   | 0.02%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                               | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894000 | PA      | $935620.97    | 0.02%             | 2041-12-10      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 12 Ltd                                                      | CUSIP: 25255YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7710000 | PA      | $7723615.86   | 0.16%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                | NYC Trust 2025-77C                                                               | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10530000 | PA      | $10574453.45  | 0.22%             | 2038-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2005-OPT3                                              | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312806 | PA      | $265112.09    | 0.01%             | 2035-11-25      | Floating      | 4.87%                 | 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      | $689181.29    | 0.01%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |   2650000 | PA      | $2653962.28   | 0.05%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |   7920000 | PA      | $7915495.10   | 0.16%             | 2034-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                   | BRCK Trust 2025-830B                                                             | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2826000 | PA      | $2826745.50   | 0.06%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Partners VII Ltd                                                      | CUSIP: 67102QBK3<br>LEI: 549300LXLBAFTIMXZT54 | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $688997.22    | 0.01%             | 2038-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-FLWR                                          | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3056000 | PA      | $3057909.08   | 0.06%             | 2042-08-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4722000 | PA      | $4738916.09   | 0.10%             | 2041-03-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5070000 | PA      | $5082197.41   | 0.11%             | 2037-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY Trust 2025-1535                                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747000 | PA      | $772665.50    | 0.02%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                    | BXP Trust 2017-GM                                                                | CUSIP: 056083AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $259271.44    | 0.01%             | 2039-06-13      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2025-2                                        | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9558000 | PA      | $9542151.88   | 0.20%             | 2037-11-16      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 77 B Ltd                                              | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    471912 | PA      | $472829.92    | 0.01%             | 2038-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL Core CLO 31 Ltd                                                              | CUSIP: 00852MAE0<br>LEI: 254900LYT9TA0J0GKX14 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501925.75    | 0.01%             | 2037-07-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                            | NJ Trust 2023-GSP                                                                | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1541163.73   | 0.03%             | 2029-01-06      | Variable      | 6.48%                 | 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      | $1164584.64   | 0.02%             | 2035-06-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Quest Trust                                  | Quest Trust                                                                      | CUSIP: 03072SSY2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2030779 | PA      | $1868286.68   | 0.04%             | 2034-06-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2480863 | PA      | $2482316.06   | 0.05%             | 2064-12-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXI Ltd                                                    | CUSIP: 55819DBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $512179.28    | 0.01%             | 2037-07-23      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP Clo 2019-17 Ltd                                                              | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1685846.40   | 0.03%             | 2037-07-20      | Floating      | 5.28%                 | 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        |    539404 | PA      | $549238.86    | 0.01%             | 2058-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 28 LTD                                                                   | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |   2310000 | PA      | $2309643.34   | 0.05%             | 2035-02-09      | Floating      | 4.99%                 | 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        |     76186 | PA      | $37950.01     | 0.00%             | 2046-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | TRESTLES CLO III LTD                                                             | CUSIP: 89532TAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1190000 | PA      | $1194440.37   | 0.02%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7293485 | PA      | $7334894.22   | 0.15%             | 2031-06-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2760000 | PA      | $2766950.51   | 0.06%             | 2037-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2013-2 Ltd                                                      | CUSIP: 09626YAS9<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   1009444 | PA      | $1009542.56   | 0.02%             | 2030-10-22      | Floating      | 5.72%                 | 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      | $2930026.50   | 0.06%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 20 Ltd                                                                   | CUSIP: 00119CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2900000 | PA      | $2910773.50   | 0.06%             | 2037-10-20      | Floating      | 5.25%                 | 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        |   3863055 | PA      | $3700567.16   | 0.08%             | 2037-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                   | Clover CLO 2021-3 LLC                                                            | CUSIP: 18915FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3630000 | PA      | $3627474.25   | 0.08%             | 2035-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO 11 Ltd                                                           | CUSIP: 22845JAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1710000 | PA      | $1713239.08   | 0.04%             | 2038-02-28      | Floating      | 5.14%                 | 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-O            | CORP              | US        |    425939 | PA      | $171712.92    | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | ARES LX CLO LTD                                                                  | CUSIP: 04018FAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10540000 | PA      | $10548241.23  | 0.22%             | 2034-07-18      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM4                                           | CUSIP: 06745KAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882500 | PA      | $1906018.64   | 0.04%             | 2064-12-26      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-5                                    | CUSIP: 92262KAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846060 | PA      | $847895.87    | 0.02%             | 2055-12-25      | Variable      | 6.31%                 | 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        |   2015773 | PA      | $1978643.38   | 0.04%             | 2037-10-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust               | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5389717.85   | 0.11%             | 2038-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5152765 | PA      | $227209.09    | 0.00%             | 2052-10-15      | Variable      | 1.44%                 | 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        |    872591 | PA      | $834098.18    | 0.02%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2263000 | PA      | $2277415.08   | 0.05%             | 2041-03-15      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Regatta 32 Funding Ltd.                      | Regatta 32 Funding Ltd                                                           | CUSIP: 75884AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2900000 | PA      | $2911038.85   | 0.06%             | 2038-07-25      | Floating      | 5.44%                 | 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        |     20563 | PA      | $19254.65     | 0.00%             | 2037-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp               | AMMC CLO 27 Ltd                                                                  | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6680000 | PA      | $6670583.20   | 0.14%             | 2037-01-20      | Floating      | 4.96%                 | 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      | $2681327.14   | 0.06%             | 2062-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $660805.53    | 0.01%             | 2031-06-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust               | ARES1 2024-IND2                                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9250000 | PA      | $9255704.48   | 0.19%             | 2034-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                    | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282000 | PA      | $1289789.56   | 0.03%             | 2041-10-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles CLO VIII Ltd                                                            | CUSIP: 89533DAC4<br>LEI: 2549002BMO2L1UMJWE02 | Long             | ABS-CBDO         | CORP              | KY        |   2340000 | PA      | $2342562.30   | 0.05%             | 2035-06-11      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                              | Lehman XS Trust Series 2007-20N                                                  | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17680 | PA      | $17906.14     | 0.00%             | 2037-12-25      | Floating      | 6.15%                 | 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      | $38146.78     | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 3 Ltd                                                       | CUSIP: 25255JAL1<br>LEI: 254900L1QJX98W5ORK78 | Long             | ABS-CBDO         | CORP              | KY        |   5162408 | PA      | $5181601.83   | 0.11%             | 2038-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM1 Trust                                                             | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2636000 | PA      | $2679046.41   | 0.06%             | 2069-11-25      | Variable      | 6.64%                 | 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        |    858798 | PA      | $776125.60    | 0.02%             | 2050-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                    | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3379000 | PA      | $3235790.21   | 0.07%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014 Ltd                                                            | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |   4610000 | PA      | $4614865.86   | 0.10%             | 2031-01-18      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787104 | PA      | $1817719.61   | 0.04%             | 2065-05-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Brant Point CLO Ltd                          | Brant Point Clo 2024-6 Ltd                                                       | CUSIP: 83617JAJ8<br>LEI: 254900XHQ73AT2SOPY37 | Long             | ABS-CBDO         | CORP              | KY        |   1420000 | PA      | $1418620.75   | 0.03%             | 2038-01-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2021-1                                                    | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1525000 | PA      | $1462641.68   | 0.03%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2022-1                                        | CUSIP: 75907DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272298 | PA      | $271921.50    | 0.01%             | 2032-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-B Trust                                      | CUSIP: 83404RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152726 | PA      | $148858.77    | 0.00%             | 2047-08-25      | Fixed         | 3.83%                 | 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        |   2714207 | PA      | $2118296.68   | 0.04%             | 2047-04-22      | Fixed         | 2.09%                 | 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        |    394814 | PA      | $120835.15    | 0.00%             | 2037-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                   | UNIV Trust 2025-APTS                                                             | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3776000 | PA      | $3780657.32   | 0.08%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3511192 | PA      | $3571270.87   | 0.07%             | 2065-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 52(               | Golub Capital Partners CLO 52 B R Ltd                                            | CUSIP: 381945AC8<br>LEI: 254900GLBB9HMWF4NZ09 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2009287.40   | 0.04%             | 2037-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-36 Ltd                                                              | CUSIP: 67570EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2973000 | PA      | $2982886.12   | 0.06%             | 2037-10-16      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $434578.35    | 0.01%             | 2034-11-15      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                   | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3533000 | PA      | $3670372.44   | 0.08%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2022-2 LTD                                                        | CUSIP: 143119AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $732682.09    | 0.02%             | 2038-01-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1917000 | PA      | $1905447.01   | 0.04%             | 2038-07-15      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 18 Ltd                                                     | CUSIP: 03331AAA9<br>LEI: 549300JIJ617WYIUFX18 | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $950425.70    | 0.02%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2024-VIS1                                        | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006805.00   | 0.02%             | 2064-07-25      | Variable      | 8.06%                 | 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        |   1827979 | PA      | $1455156.50   | 0.03%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4242000 | PA      | $4184247.72   | 0.09%             | 2065-06-22      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                             | BBAM US CLO I Ltd                                                                | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |   1851000 | PA      | $1850799.54   | 0.04%             | 2038-03-30      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    521283 | PA      | $521513.76    | 0.01%             | 2030-10-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2386500 | PA      | $2437320.52   | 0.05%             | 2065-05-25      | Variable      | 6.71%                 | 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      | $1106055.49   | 0.02%             | 2032-03-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969000 | PA      | $2017060.14   | 0.04%             | 2036-09-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru               | IndyMac INDX Mortgage Loan Trust 2006-AR35                                       | CUSIP: 45667SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295088 | PA      | $268976.22    | 0.01%             | 2037-01-25      | Floating      | 4.19%                 | 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      | $1449417.42   | 0.03%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1396965.17   | 0.03%             | 2039-05-10      | Variable      | 5.88%                 | 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        |    590477 | PA      | $381378.22    | 0.01%             | 2037-09-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1176000 | PA      | $1210162.56   | 0.03%             | 2065-05-25      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 19B-R3 Ltd                                            | CUSIP: 38181YAA4<br>LEI: 2549003VC5PGFRGCQU51 | Long             | ABS-CBDO         | CORP              | KY        |   5810000 | PA      | $5809633.97   | 0.12%             | 2036-10-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2025-STAR                                          | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $3107991.53   | 0.06%             | 2042-11-05      | Variable      | 4.95%                 | 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        |     13920 | PA      | $13232.52     | 0.00%             | 2037-06-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 44 Ltd                                                                   | CUSIP: 00121RAE4<br>LEI: 254900WK97J0UDI0DQ10 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005494.00   | 0.04%             | 2037-10-22      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | TRK 2021-INV2 Trust                                                              | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5929000 | PA      | $4966707.29   | 0.10%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2891979.16   | 0.06%             | 2036-09-22      | Fixed         | 9.02%                 | 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        |    201317 | PA      | $201319.06    | 0.00%             | 2031-04-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12510713 | PA      | $12538077.68  | 0.26%             | 2039-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2023-1                                                                      | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2605147.48   | 0.05%             | 2068-02-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                      | Sagard-Halseypoint Clo 8 Ltd                                                     | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |   3670000 | PA      | $3683764.34   | 0.08%             | 2038-01-30      | Floating      | 5.23%                 | 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      | $3407440.12   | 0.07%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                  | CAFL 2024-RTL1 Issuer LLC                                                        | CUSIP: 12770DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3374886.07   | 0.07%             | 2031-11-28      | Variable      | 6.75%                 | 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      | $5429351.30   | 0.11%             | 2032-03-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                                  | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5940982 | PA      | $5939126.43   | 0.12%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite               | DK Trust 2025-LXP                                                                | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2821000 | PA      | $2825370.29   | 0.06%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3426000 | PA      | $3415501.71   | 0.07%             | 2038-07-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 41 Senior Loan Fund                                                       | CUSIP: 26244KAN6<br>LEI: 5493000CMI5L15ZSNM78 | Long             | ABS-CBDO         | CORP              | KY        |    242306 | PA      | $242314.12    | 0.01%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXI Ltd                                                             | CUSIP: 87166RGE1<br>LEI: 5493005CJY0RF4FJJP54 | Long             | ABS-CBDO         | CORP              | KY        |   1203015 | PA      | $1202612.11   | 0.02%             | 2032-07-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1136000 | PA      | $1135652.50   | 0.02%             | 2036-11-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners CLO 83M                                                   | CUSIP: 38182EAA7<br>LEI: 254900VLZT72CPBHZ909 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $2001329.60   | 0.04%             | 2038-11-09      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2024-1                                                  | CUSIP: 349941AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554580 | PA      | $569342.25    | 0.01%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2025-3 Ltd                                                    | CUSIP: 77340WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    950000 | PA      | $945201.17    | 0.02%             | 2038-03-31      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 104 CLO Ltd                                                               | CUSIP: 26253BAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3370000 | PA      | $3370542.57   | 0.07%             | 2034-08-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466900 | PA      | $466686.49    | 0.01%             | 2065-05-25      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1219509 | PA      | $1098540.43   | 0.02%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3329724 | PA      | $3278841.67   | 0.07%             | 2040-12-17      | Fixed         | 4.61%                 | 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      | $532302.87    | 0.01%             | 2045-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                   | Regatta XXVII Funding Ltd                                                        | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |   3440000 | PA      | $3452172.44   | 0.07%             | 2037-04-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNA Trust                                    | FNA 8 LLC                                                                        | CUSIP: 30340WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5566462 | PA      | $5605264.19   | 0.12%             | 2045-03-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU 2019-1 Ltd                     | Trimaran CAVU 2024-1 Ltd                                                         | CUSIP: 895971AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    830000 | PA      | $832992.15    | 0.02%             | 2038-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1905000 | PA      | $1918574.27   | 0.04%             | 2034-02-21      | Fixed         | 5.25%                 | 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      | $445498.81    | 0.01%             | 2061-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-8                                                  | CUSIP: 03466UAA2<br>LEI: 254900WZRTR935QJJ709 | Long             | ABS-MBS          | CORP              | US        |   3293981 | PA      | $3319152.71   | 0.07%             | 2070-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    191978 | PA      | $185390.31    | 0.00%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4254897 | PA      | $4134505.50   | 0.09%             | 2037-06-25      | Floating      | 4.22%                 | 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      | $1065553.39   | 0.02%             | 2062-03-27      | Fixed         | 3.00%                 | 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        |   1087622 | PA      | $933136.70    | 0.02%             | 2037-03-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-1 Ltd                                                              | CUSIP: 92917AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    679168 | PA      | $679135.29    | 0.01%             | 2031-04-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-167G Mortgage Trust                                                    | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355000 | PA      | $1354468.70   | 0.03%             | 2040-08-10      | Variable      | 8.20%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Trust 2015-SRCH                                                            | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135004 | PA      | $133272.85    | 0.00%             | 2035-08-10      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5                 | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1986067 | PA      | $1988524.57   | 0.04%             | 2040-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448849 | PA      | $449542.26    | 0.01%             | 2041-10-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 34 Ltd                                                                       | CUSIP: 50203CAQ6<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1302082.99   | 0.03%             | 2034-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86500 | PA      | $78054.29     | 0.00%             | 2065-05-25      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                   | UNIV Trust 2025-APTS                                                             | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967000 | PA      | $968203.53    | 0.02%             | 2042-11-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P               | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413000 | PA      | $1455343.79   | 0.03%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2023-5C23                                                   | CUSIP: 05493QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332000 | PA      | $328061.45    | 0.01%             | 2056-12-15      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | NRZT 2025-NQM6                                                                   | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7176502 | PA      | $7198918.29   | 0.15%             | 2065-10-25      | Variable      | 5.08%                 | 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        |   1236570 | PA      | $599229.83    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8130898 | PA      | $8244953.06   | 0.17%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                     | Regatta XVI Funding Ltd                                                          | CUSIP: 75888TAQ8<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |   2080000 | PA      | $2083637.09   | 0.04%             | 2033-01-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014-III Ltd                                                        | CUSIP: 12549QBL8<br>LEI: 549300KEIUMRD7WX5J42 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249950.43    | 0.01%             | 2038-03-31      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite               | DK Trust 2025-LXP                                                                | CUSIP: 23292LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1332000 | PA      | $1335302.69   | 0.03%             | 2037-08-15      | Floating      | 6.63%                 | 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        |   3101000 | PA      | $3100983.87   | 0.06%             | 2038-04-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2948000 | PA      | $2956558.93   | 0.06%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-CM1 Trust                                                              | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231937 | PA      | $218082.54    | 0.00%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    473195 | PA      | $453941.83    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | 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      | $222936.60    | 0.00%             | 2062-03-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                | NYC Commercial Mortgage Trust 2025-11X                                           | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1980000 | PA      | $1986158.59   | 0.04%             | 2040-10-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13455 | PA      | $13200.98     | 0.00%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824107 | PA      | $792735.88    | 0.02%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas Clo VII Ltd                                                             | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |   2344466 | PA      | $2341199.46   | 0.05%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       515 | PA      | $510.74       | 0.00%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                       | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    935000 | PA      | $939345.79    | 0.02%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-3                                 | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14047945 | PA      | $14080986.81  | 0.29%             | 2049-10-20      | Fixed         | 5.00%                 | 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      | $2549611.81   | 0.05%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588309 | PA      | $161122.20    | 0.00%             | 2036-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2025-1                                 | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1846619 | PA      | $1873018.51   | 0.04%             | 2049-02-20      | Fixed         | 6.27%                 | 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      | $4196170.40   | 0.09%             | 2036-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin               | Pagaya AI Technology in Housing Trust 2023-1                                     | CUSIP: 69547YAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $853374.80    | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | 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      | $135082.72    | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                   | 1345T 2025-AOA                                                                   | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3853000 | PA      | $3882435.38   | 0.08%             | 2042-06-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2021-INV1 Trust                                                              | CUSIP: 552747AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $664102.39    | 0.01%             | 2056-01-25      | Variable      | 2.29%                 | 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      | $298654.36    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615458 | PA      | $616027.44    | 0.01%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2740000 | PA      | $2742890.43   | 0.06%             | 2033-04-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization               | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103034 | PA      | $101287.31    | 0.00%             | 2036-04-16      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2024-7 Ltd                                                              | CUSIP: 92920XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1263791.97   | 0.03%             | 2038-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-167G Mortgage Trust                                                    | CUSIP: 12674VAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1174486.41   | 0.02%             | 2040-08-10      | Variable      | 9.16%                 | 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        |    431669 | PA      | $421547.80    | 0.01%             | 2053-01-15      | Fixed         | 2.30%                 | 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      | $241307.98    | 0.00%             | 2055-11-25      | Fixed         | 3.26%                 | 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      | $250020.73    | 0.01%             | 2031-04-19      | Floating      | 5.45%                 | 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        |   2151120 | PA      | $1350735.49   | 0.03%             | 2035-08-25      | Floating      | 5.25%                 | 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        |   5756974 | PA      | $5642605.75   | 0.12%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                 | Navient Refinance Loan Trust 2025-C                                              | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4582228 | PA      | $4591155.22   | 0.10%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 5 Ltd                                                       | CUSIP: 25255RAL3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |   3980000 | PA      | $3987341.11   | 0.08%             | 2039-01-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3007000 | PA      | $3014509.98   | 0.06%             | 2034-11-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | C-BASS 2006-CB9 TRUST                                                            | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    168308 | PA      | $76410.26     | 0.00%             | 2036-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak, Ltd                          | Sandstone Peak III Ltd                                                           | CUSIP: 799928AA4<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1404613.42   | 0.03%             | 2037-04-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                    | BXP Trust 2021-601L                                                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $925025.92    | 0.02%             | 2044-01-15      | Variable      | 2.78%                 | 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        |   3470355 | PA      | $3033927.52   | 0.06%             | 2050-12-25      | Variable      | 3.57%                 | 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      | $349466.43    | 0.01%             | 2062-03-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park CLO, Ltd                 | Point Au Roche Park CLO Ltd                                                      | CUSIP: 73052VAA3<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $580538.01    | 0.01%             | 2034-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                             | SpringCastle America Funding LLC                                                 | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    614669 | PA      | $580697.70    | 0.01%             | 2037-09-25      | Fixed         | 1.97%                 | 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      | $2626733.48   | 0.05%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 38 Ltd                           | Elmwood CLO 38 Ltd                                                               | CUSIP: 289908AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2230000 | PA      | $2227580.23   | 0.05%             | 2038-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 21 Ltd                                                                   | CUSIP: 00119FAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1620000 | PA      | $1625804.95   | 0.03%             | 2037-10-21      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR 2023-STON Mortgage Trust                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5722000 | PA      | $5933862.77   | 0.12%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   4149387 | PA      | $4176994.60   | 0.09%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                      | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250521.20    | 0.01%             | 2038-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                       | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAC8<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |   1340000 | PA      | $1344848.79   | 0.03%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trus               | Durst Commercial Mortgage Trust 2025-151                                         | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3053000 | PA      | $3114191.58   | 0.06%             | 2042-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                    | LBA Trust 2024-7IND                                                              | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774165 | PA      | $1775259.23   | 0.04%             | 2041-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542000 | PA      | $2540983.45   | 0.05%             | 2036-06-15      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2014-2 Ltd                                                      | CUSIP: 09626QBC0<br>LEI: 549300NUS8PQQUZMPR50 | Long             | ABS-CBDO         | CORP              | KY        |   1120000 | PA      | $1120819.62   | 0.02%             | 2030-10-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-NQM3                                        | CUSIP: 10569LAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $864794.80    | 0.02%             | 2064-03-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2023-I Ltd                                                          | CUSIP: 12575RAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2446630 | PA      | $2451580.51   | 0.05%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-AC2                            | CUSIP: 07387UGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799979 | PA      | $452759.26    | 0.01%             | 2036-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                      | Sagard-Halseypoint Clo 10 Ltd                                                    | CUSIP: 78663BAA7<br>LEI: 254900N7LSI0GVY3UO19 | Long             | ABS-CBDO         | CORP              | KY        |  13480000 | PA      | $13520228.36  | 0.28%             | 2038-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 35 Ltd                                                                   | CUSIP: 48254LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000001.00   | 0.02%             | 2038-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 30 Senior Loan Fund                                                       | CUSIP: 26249BAU5<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |    230127 | PA      | $230721.36    | 0.00%             | 2028-11-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                   | 1345T 2025-AOA                                                                   | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11519000 | PA      | $11554836.76  | 0.24%             | 2042-06-15      | Floating      | 5.35%                 | 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      | $356850.10    | 0.01%             | 2045-06-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                          | DBWF 2024-LCRS Mortgage Trust                                                    | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2423000 | PA      | $2419984.33   | 0.05%             | 2037-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MDHS                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7869536 | PA      | $7881692.39   | 0.16%             | 2041-05-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OA11                                                 | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188260 | PA      | $179119.05    | 0.00%             | 2046-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                  | Ares Direct Lending CLO 8 LLC                                                    | CUSIP: 039933AA4<br>LEI: 2549008VI9L2AN96MC59 | Long             | ABS-CBDO         | CORP              | KY        |   3130000 | PA      | $3129714.54   | 0.06%             | 2039-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 5 Ltd                                                  | CUSIP: 94957NAC9<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1752762.03   | 0.04%             | 2038-10-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $350271.01    | 0.01%             | 2034-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 19 Ltd                                                                        | CUSIP: 74983AAL7<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250786.70    | 0.01%             | 2040-04-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-LIFE                                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7582000 | PA      | $7753531.38   | 0.16%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $602191.80    | 0.01%             | 2037-10-20      | Floating      | 5.30%                 | 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      | $501401.40    | 0.01%             | 2031-10-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 55 CLO Ltd                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1065286 | PA      | $1065775.69   | 0.02%             | 2031-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Orchard Park CLO, LTD.                       | Orchard Park Clo Ltd                                                             | CUSIP: 68563JAA2<br>LEI: 3912000K0W3TWP1KMO81 | Long             | ABS-CBDO         | CORP              | KY        |  14850000 | PA      | $14904395.55  | 0.31%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXVII Ltd                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   7630000 | PA      | $7657170.43   | 0.16%             | 2037-10-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle US CLO 2024-6 Ltd                                                        | CUSIP: 14319PAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2610197.98   | 0.05%             | 2037-10-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                   | Atlas Senior Loan Fund XXII Ltd                                                  | CUSIP: 04940BAA8<br>LEI: 529900J6GF0KI17SQP67 | Long             | ABS-CBDO         | CORP              | JE        |  10710000 | PA      | $10722732.05  | 0.22%             | 2036-01-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 43 Ltd                                                                   | CUSIP: 00852TAA3<br>LEI: 254900MOOKTGLK7JFO07 | Long             | ABS-CBDO         | CORP              | KY        |   2400000 | PA      | $2406126.24   | 0.05%             | 2038-09-10      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2015-3 Ltd                                                              | CUSIP: 92913UBN5<br>LEI: 254900MS3D9HONB0N824 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500121.75    | 0.01%             | 2031-10-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: NOTE CMO/WHOLE                | MCM 2021-VFN1: NOTE CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2302779 | PA      | $2208027.27   | 0.05%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| Hudson Yards                                 | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711882 | PA      | $612666.93    | 0.01%             | 2041-12-10      | Variable      | 2.94%                 | 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      | $32926.25     | 0.00%             | 2035-08-10      | Variable      | 0.19%                 | 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        |   2622610 | PA      | $2472615.48   | 0.05%             | 2055-07-26      | Fixed         | 3.06%                 | 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        |   6778095 | PA      | $6680264.30   | 0.14%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                     | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2623997 | PA      | $1256579.64   | 0.03%             | 2047-01-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1820000 | PA      | $1820588.04   | 0.04%             | 2030-10-20      | Floating      | 5.75%                 | 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        |    112611 | PA      | $99088.44     | 0.00%             | 2047-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1512000 | PA      | $1521360.34   | 0.03%             | 2041-10-15      | Floating      | 7.66%                 | 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      | $2069006.98   | 0.04%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2021-2 Ltd                                                           | CUSIP: 67389BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1947077.54   | 0.04%             | 2035-01-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | Ellington Financial Mortgage Trust 2022-4                                        | CUSIP: 268432AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629000 | PA      | $1612637.84   | 0.03%             | 2067-09-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2024-3 Ltd                                            | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1870000 | PA      | $1874591.22   | 0.04%             | 2032-08-08      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2021-TY                                                                | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3138000 | PA      | $3109353.83   | 0.06%             | 2038-09-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2024-FL9 Issuer LLC                                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4618000 | PA      | $4611394.87   | 0.10%             | 2039-10-19      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856000 | PA      | $852233.69    | 0.02%             | 2036-06-15      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S               | HOMES 2025-NQM5 Trust                                                            | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5239809 | PA      | $5245122.17   | 0.11%             | 2070-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2023-NQM5                                                     | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   4390581 | PA      | $4441738.37   | 0.09%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2025-NQM2                                        | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5842966 | PA      | $5895095.89   | 0.12%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 5 Ltd                                                  | CUSIP: 94957NAA3<br>LEI: 213800J6I7L5KYTPNH51 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1363465.14   | 0.03%             | 2038-10-18      | Floating      | 5.25%                 | 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        |   4681918 | PA      | $4656187.05   | 0.10%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-8 Mortgage Loan Trust                                                  | CUSIP: 19689DAE9<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |    684000 | PA      | $691808.34    | 0.01%             | 2070-08-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2024-UNIV                                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3790000 | PA      | $3792366.10   | 0.08%             | 2041-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos Clo Xxv                                                                   | CUSIP: 03762YBH9<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4510040.40   | 0.09%             | 2037-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $387634.47    | 0.01%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GALAPAGOS: TL LOAN/TERM                      | GALAPAGOS: TL LOAN/TERM                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   5920042 | PA      | $6957232.87   | 0.14%             | 2029-10-20      | Floating      | 5.90%                 | No            |                  3 | On Loan: No      |
| THE 2023-MIC Trust                           | 2023-MIC Trust/THE                                                               | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3089000 | PA      | $3341850.40   | 0.07%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                      | BDS 2024-FL13 LLC                                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1946000 | PA      | $1942526.39   | 0.04%             | 2039-09-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2015-IV Ltd                                                         | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |   1720000 | PA      | $1722944.47   | 0.04%             | 2034-04-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2022-1 Ltd                                               | CUSIP: 05684UAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1202169.84   | 0.02%             | 2038-10-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2007-SA4 Trust                                                      | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4239066 | PA      | $2551952.42   | 0.05%             | 2037-10-25      | Variable      | 5.73%                 | 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        |  14408577 | PA      | $14401609.13  | 0.30%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3994885 | PA      | $4045108.79   | 0.08%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| Higley Park Clo Ltd                          | Higley Park Clo Ltd                                                              | CUSIP: 43128QAE9<br>LEI: 213800CD95HT8UXDOH68 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3012036.90   | 0.06%             | 2038-07-24      | Floating      | 5.52%                 | No            |                  2 | 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      | $430000.30    | 0.01%             | 2035-04-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VI Ltd.                          | Elmwood CLO VI Ltd                                                               | CUSIP: 29001VAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2394000 | PA      | $2403183.14   | 0.05%             | 2037-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2024-NQM3                                    | CUSIP: 647910AG3<br>LEI: 213800HBIGZVLLQA9I67 | Long             | ABS-MBS          | CORP              | US        |   1596000 | PA      | $1627999.48   | 0.03%             | 2064-11-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Partners XVI                                                          | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5340259 | PA      | $5358919.47   | 0.11%             | 2037-10-18      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Buckhorn Park CLO, Ltd.                      | Buckhorn Park CLO Ltd                                                            | CUSIP: 118382BA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3210000 | PA      | $3208420.04   | 0.07%             | 2034-07-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    408138 | PA      | $408397.55    | 0.01%             | 2033-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MASTR Specialized Loan Trust                 | Mastr Specialized Loan Trust                                                     | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8493 | PA      | $8299.78      | 0.00%             | 2046-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7132038 | PA      | $7181844.31   | 0.15%             | 2065-06-22      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 87 CLO Ltd                                                                | CUSIP: 26246GAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1687233.74   | 0.03%             | 2038-08-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra               | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5853601 | PA      | $5860832.23   | 0.12%             | 2051-12-26      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                           | Elmwood CLO I Ltd                                                                | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $642211.84    | 0.01%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301228 | PA      | $302917.93    | 0.01%             | 2054-01-25      | Variable      | 7.23%                 | 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        |    517436 | PA      | $530681.55    | 0.01%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34250171 | PA      | $1206763.68   | 0.02%             | 2065-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $6230703.02   | 0.13%             | 2041-10-15      | Floating      | 6.61%                 | 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      | $2079768.96   | 0.04%             | 2032-03-15      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $330264.36    | 0.01%             | 2037-01-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                     | NRTH Commercial Mortgage Trust 2025-PARK                                         | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2809000 | PA      | $2811632.88   | 0.06%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 7 Ltd                                                            | CUSIP: 82671EAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    480000 | PA      | $480476.26    | 0.01%             | 2037-10-20      | Floating      | 5.68%                 | 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        |   3053900 | PA      | $3131323.29   | 0.06%             | 2035-08-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-42 Ltd                                                              | CUSIP: 67097SAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1990000 | PA      | $1994921.67   | 0.04%             | 2038-05-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXX Ltd                                                             | CUSIP: 89643DAA5<br>LEI: 254900TSX6348DURD845 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $461652.32    | 0.01%             | 2037-10-23      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-5MW                                          | CUSIP: 088921AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2599000 | PA      | $2664434.50   | 0.06%             | 2042-10-10      | Variable      | 7.91%                 | 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-O            | CORP              | US        |   5230271 | PA      | $2068052.35   | 0.04%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2007-QO2 Trust                                                       | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2654171 | PA      | $795797.43    | 0.02%             | 2047-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2023-CRE8 LLC                                                              | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    717677 | PA      | $717713.65    | 0.01%             | 2041-08-17      | Floating      | 5.85%                 | 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        |   3520511 | PA      | $127560.10    | 0.00%             | 2052-09-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXXII                                                                 | CUSIP: 03768RAU0<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $901266.66    | 0.02%             | 2033-01-20      | Floating      | 5.38%                 | 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        |    632063 | PA      | $435656.19    | 0.01%             | 2036-03-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2023-AFC1 Trust                                                            | CUSIP: 693981AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4666000 | PA      | $4650750.58   | 0.10%             | 2058-02-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU 2019-1 Ltd                     | Trimaran Cavu 2021-1 Ltd                                                         | CUSIP: 89624NAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1880000 | PA      | $1886613.84   | 0.04%             | 2037-07-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2024-6 Mortgage Loan Trust                                                  | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |   2758741 | PA      | $2774090.79   | 0.06%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy XXII CLO Ltd                                                              | CUSIP: 36320TBD4<br>LEI: 54930022KENWLYJ8SJ86 | Long             | ABS-CBDO         | CORP              | KY        |   8210000 | PA      | $8211898.97   | 0.17%             | 2034-04-16      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                     | BXMT 2025-FL5 Ltd                                                                | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17933000 | PA      | $17839231.93  | 0.37%             | 2042-10-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5707000 | PA      | $5728172.40   | 0.12%             | 2028-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742857AA3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    354589 | PA      | $354718.05    | 0.01%             | 2051-07-25      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| HARVEST COMMERCIAL CAPITAL LOA               | Harvest Commercial Capital Loan Trust 2019-1                                     | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1536000 | PA      | $1499850.55   | 0.03%             | 2046-09-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trus               | Durst Commercial Mortgage Trust 2025-151                                         | CUSIP: 266895AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2923000 | PA      | $3019295.02   | 0.06%             | 2042-08-10      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust               | SELF Commercial Mortgage Trust 2024-STRG                                         | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2930000 | PA      | $2931829.20   | 0.06%             | 2034-11-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-RPL9 Trust                                                             | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3260660 | PA      | $3248347.15   | 0.07%             | 2061-02-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Securities Trust 2006-M1                                                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2056795 | PA      | $551289.56    | 0.01%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo               | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     66247 | PA      | $66513.56     | 0.00%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                    | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $3094783.63   | 0.06%             | 2039-12-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 64B-R Ltd                                             | CUSIP: 38180LAA3<br>LEI: 2549003ONNJ1D27UVJ28 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $501655.15    | 0.01%             | 2037-10-25      | Floating      | 5.22%                 | 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        |   3828190 | PA      | $3339242.63   | 0.07%             | 2046-12-25      | Floating      | 4.04%                 | 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      | $1042529.22   | 0.02%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2024-A                                            | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4126000 | PA      | $4180941.82   | 0.09%             | 2036-09-22      | Fixed         | 5.13%                 | 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      | $1977608.80   | 0.04%             | 2050-05-10      | Fixed         | 3.43%                 | 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      | $3582952.36   | 0.07%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2023-1 Ltd                                                     | CUSIP: 69702TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004305.40   | 0.04%             | 2038-01-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Shackleton CLO LTD                           | Shackleton 2013-III CLO Ltd                                                      | CUSIP: 81881QAU0<br>LEI: 549300S9WB2KLCOJR134 | Long             | ABS-CBDO         | CORP              | KY        |    358017 | PA      | $358364.03    | 0.01%             | 2030-07-15      | Floating      | 5.72%                 | 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        |     22201 | PA      | $21468.62     | 0.00%             | 2047-02-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3994885 | PA      | $4050594.16   | 0.08%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-8 Mortgage Loan Trust                                                  | CUSIP: 19689DAA7<br>LEI: 2138009IZ4NQZAKAEN75 | Long             | ABS-MBS          | CORP              | US        |   1982312 | PA      | $1999631.08   | 0.04%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22569821 | PA      | $22957644.55  | 0.48%             | 2065-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6896844 | PA      | $6943015.77   | 0.14%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2763000 | PA      | $2713141.67   | 0.06%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320800 | PA      | $1332107.90   | 0.03%             | 2065-01-25      | Variable      | 6.94%                 | 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-O            | CORP              | US        |    871752 | PA      | $639682.97    | 0.01%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO                             | TCI-Symphony CLO 2016-1 Ltd                                                      | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   1037297 | PA      | $1038236.28   | 0.02%             | 2032-10-13      | Floating      | 5.19%                 | 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      | $233804.78    | 0.00%             | 2050-06-15      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2628000 | PA      | $2648697.34   | 0.05%             | 2043-07-15      | Fixed         | 7.08%                 | 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        |   8132312 | PA      | $46048.41     | 0.00%             | 2050-03-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAJ2<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |   1031000 | PA      | $1033739.26   | 0.02%             | 2038-10-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10404000 | PA      | $10549211.75  | 0.22%             | 2038-11-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR Clo 17 Ltd                                                                   | CUSIP: 48251FAJ0<br>LEI: 549300I0HBY0ZQ3YIB77 | Long             | ABS-CBDO         | CORP              | KY        |    580000 | PA      | $581057.28    | 0.01%             | 2034-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                 | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1692533.51   | 0.04%             | 2039-10-05      | Variable      | 5.80%                 | 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      | $5552.30      | 0.00%             | 2049-08-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2022-SSP                                                               | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $769999.46    | 0.02%             | 2039-05-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                           | Seasoned Loans Structured Transaction Trust Series 2020-3                        | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284367 | PA      | $281937.43    | 0.01%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2024-RTL1 Trust                                                              | CUSIP: 59319NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3231000 | PA      | $3243292.66   | 0.07%             | 2029-02-25      | Variable      | 7.09%                 | 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        |   2168131 | PA      | $1886230.68   | 0.04%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | TRK 2021-INV1 Trust                                                              | CUSIP: 89688WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657000 | PA      | $537378.83    | 0.01%             | 2056-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                 | Navient Education Loan Trust 2025-A                                              | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410000 | PA      | $1420864.19   | 0.03%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| BEECH                                        | BEECH                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | IE        |   2121173 | PA      | $2492802.37   | 0.05%             | 2027-05-17      | Floating      | 5.62%                 | No            |                  3 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak IV Ltd                                                            | CUSIP: 80012AAG0<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $1436659.08   | 0.03%             | 2039-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |    374201 | PA      | $374269.42    | 0.01%             | 2029-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru               | Vista Point Securitization Trust 2025-CES3                                       | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340689 | PA      | $2343873.72   | 0.05%             | 2055-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                  | Wireless PropCo Funding LLC                                                      | CUSIP: 97655EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4744000 | PA      | $4853804.62   | 0.10%             | 2055-06-25      | Fixed         | 8.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Trust 2022-NQM1                                    | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289582 | PA      | $271037.17    | 0.01%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 36 Ltd                           | Elmwood CLO 36 Ltd                                                               | CUSIP: 29004MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1483000 | PA      | $1489170.76   | 0.03%             | 2037-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148400 | PA      | $1155373.66   | 0.02%             | 2065-01-25      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm               | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15106458 | PA      | $1219054.89   | 0.03%             | 2036-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| LendingClub Structured Loan Ce               | LendingClub Structured Loan Certificate Issuer Trust Series 2025-P16             | CUSIP: 525950AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2306496.12   | 0.05%             | 2032-12-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2019-2 Ltd                                                    | CUSIP: 77341GAS9<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |    466386 | PA      | $466652.86    | 0.01%             | 2032-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 11 Ltd                                                           | CUSIP: 82666XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1720000 | PA      | $1726009.68   | 0.04%             | 2037-07-18      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                    | ACRES 2025-FL3 LLC                                                               | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7859000 | PA      | $7869399.81   | 0.16%             | 2040-08-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379000 | PA      | $381395.77    | 0.01%             | 2035-04-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                      | Warwick Capital CLO 7 Ltd                                                        | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $962646.34    | 0.02%             | 2038-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2015-10 Ltd                                                              | CUSIP: 67092DBD0<br>LEI: 254900FZYL5HDKV64882 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4014084.00   | 0.08%             | 2038-01-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S               | HOMES 2025-NQM5 Trust                                                            | CUSIP: 43762CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1164000 | PA      | $1171790.77   | 0.02%             | 2070-09-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 13 LLC                                                     | CUSIP: 033291BA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3009445.50   | 0.06%             | 2038-04-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2020-IV Ltd                                                         | CUSIP: 12562RAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1870000 | PA      | $1875871.61   | 0.04%             | 2040-01-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381PXY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1701794 | PA      | $1703880.62   | 0.04%             | 2065-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GT Loan Financing Ltd                        | GT Loan Financing I Ltd 2013-1                                                   | CUSIP: 36248MAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2645000 | PA      | $2646972.11   | 0.05%             | 2039-04-28      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    762000 | PA      | $766674.79    | 0.02%             | 2035-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXXII                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    525985 | PA      | $525972.27    | 0.01%             | 2033-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real E               | Arbor Realty Commercial Real Estate Notes 2025-FL1 LLC                           | CUSIP: 03881KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4854000 | PA      | $4844191.04   | 0.10%             | 2043-01-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                       | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1482334 | PA      | $1481408.43   | 0.03%             | 2036-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru               | Soundview Home Loan Trust 2004-WMC1                                              | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81698 | PA      | $71328.93     | 0.00%             | 2035-01-25      | Floating      | 4.64%                 | 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        |   3578747 | PA      | $1078539.05   | 0.02%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545900 | PA      | $2477363.35   | 0.05%             | 2065-01-25      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| Blueberry Park CLO                           | Blueberry Park CLO Ltd                                                           | CUSIP: 09609QAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    470000 | PA      | $471198.78    | 0.01%             | 2037-10-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-2                                    | CUSIP: 92259MAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1710560 | PA      | $1280257.88   | 0.03%             | 2051-08-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO IV Ltd                                                           | CUSIP: 22845XAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250601.05    | 0.01%             | 2031-04-20      | Floating      | 6.05%                 | 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        |    943385 | PA      | $777344.82    | 0.02%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 32 LTD /old                                                                   | CUSIP: 74988CAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2690000 | PA      | $2700179.50   | 0.06%             | 2039-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                      | Regatta VI Funding Ltd                                                           | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   4666613 | PA      | $4678134.87   | 0.10%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945000 | PA      | $1964109.24   | 0.04%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark CLO II Ltd                                                                | CUSIP: 77587EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192350 | PA      | $192386.73    | 0.00%             | 2031-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $306464.31    | 0.01%             | 2035-12-15      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management  | Dreyfus Treasury Securities Cash Management                                      | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  58658385 | NS      | $58658384.51  | 1.21%             |  |  |  | No            |                  1 | 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        |   3747301 | PA      | $3230431.23   | 0.07%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2018-K74 Mortgage Trust                                                    | CUSIP: 30296LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $2125861.31   | 0.04%             | 2051-02-25      | Variable      | 4.09%                 | 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      | $4369814.37   | 0.09%             | 2032-04-20      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2019-2 Ltd                                                    | CUSIP: 77341GAU4<br>LEI: 549300IG5M07NI4QKK80 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1749103.30   | 0.04%             | 2032-08-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                         | ACE Securities Corp Home Equity Loan Trust Series 2005-AG1                       | CUSIP: 004427CD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628373 | PA      | $559093.98    | 0.01%             | 2035-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Regatta XVII Funding Ltd                     | Regatta XVII Funding Ltd                                                         | CUSIP: 75888BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1264813.20   | 0.03%             | 2037-10-15      | Floating      | 5.28%                 | 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      | $72071.37     | 0.00%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                | First Franklin Mortgage Loan Trust 2006-FFH1                                     | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    677215 | PA      | $622606.21    | 0.01%             | 2036-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4363 | PA      | $4167.40      | 0.00%             | 2065-01-25      | Variable      | 0.01%                 | 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        |  10170430 | PA      | $263579.92    | 0.01%             | 2052-03-15      | Variable      | 0.99%                 | 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        |   1979579 | PA      | $2081016.83   | 0.04%             | 2041-10-15      | Floating      | 8.61%                 | 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      | $500809.15    | 0.01%             | 2034-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XXII Ltd                                                                    | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    359022 | PA      | $359113.72    | 0.01%             | 2031-01-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2018-III Ltd                                                        | CUSIP: 12551YAN3<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    256000 | PA      | $257205.61    | 0.01%             | 2038-10-18      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                 | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110000 | PA      | $1123870.34   | 0.02%             | 2040-04-13      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1170780.80   | 0.02%             | 2058-07-15      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2022-FL10 LLC                                                                | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    348780 | PA      | $348886.13    | 0.01%             | 2037-09-17      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2023-2                                    | CUSIP: 92260AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443622 | PA      | $443084.51    | 0.01%             | 2053-05-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4057000 | PA      | $4054895.63   | 0.08%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2013-3 Ltd                                                              | CUSIP: 92916XAJ6<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |    120200 | PA      | $120253.57    | 0.00%             | 2031-10-18      | Floating      | 5.30%                 | 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        |  12193151 | PA      | $11029371.23  | 0.23%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO 44 Ltd                                               | CUSIP: 08187NAA5<br>LEI: 254900Z6HW34YGOYWK97 | Long             | ABS-CBDO         | CORP              | KY        |   3710000 | PA      | $3715114.24   | 0.08%             | 2039-01-15      | Floating      | 4.94%                 | 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      | $162490.95    | 0.00%             | 2065-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488000 | PA      | $490209.22    | 0.01%             | 2036-07-15      | Fixed         | 8.99%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3942000 | PA      | $3984389.90   | 0.08%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23011273 | PA      | $23238189.54  | 0.48%             | 2065-01-25      | Variable      | 5.66%                 | 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      | $5948259.60   | 0.12%             | 2050-04-14      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2596172 | PA      | $2622522.14   | 0.05%             | 2054-01-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612641 | PA      | $1637397.62   | 0.03%             | 2037-06-10      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XX Ltd                                                              | CUSIP: 87166VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640000 | PA      | $640632.26    | 0.01%             | 2032-01-16      | Floating      | 5.44%                 | 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-O            | CORP              | US        |   2612547 | PA      | $2504744.28   | 0.05%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 13 Ltd                                                          | CUSIP: 82809RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6760000 | PA      | $6772511.41   | 0.14%             | 2038-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2025-NQM2                                                     | CUSIP: 00250EAC0<br>LEI: 9845004ECDEDFFFFC959 | Long             | ABS-MBS          | CORP              | US        |   5511443 | PA      | $5563609.03   | 0.12%             | 2070-06-25      | Variable      | 5.79%                 | 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        |   1679033 | PA      | $1297622.59   | 0.03%             | 2051-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                       | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2596753.12   | 0.05%             | 2036-08-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust               | HarborView Mortgage Loan Trust 2007-3                                            | CUSIP: 41164UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    993646 | PA      | $831882.98    | 0.02%             | 2037-05-19      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust               | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138436 | PA      | $136224.43    | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | 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        |   1354780 | PA      | $1283248.05   | 0.03%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 7 Ltd                                                            | CUSIP: 09077RAL3<br>LEI: 254900FP4VB7V5ZG0W95 | Long             | ABS-CBDO         | CORP              | JE        |   6070000 | PA      | $6080621.89   | 0.13%             | 2038-10-20      | Floating      | 5.14%                 | 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        |    500000 | PA      | $500234.05    | 0.01%             | 2034-04-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-LBA                                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593898 | PA      | $593415.60    | 0.01%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles Clo IV Ltd                                                              | CUSIP: 89532WAN9<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |   2060000 | PA      | $2065269.69   | 0.04%             | 2038-10-30      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2099515 | PA      | $2122642.97   | 0.04%             | 2065-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2015-3 Ltd                                                      | CUSIP: 09628JAL5<br>LEI: 5493009UJ1T6R11V4458 | Long             | ABS-CBDO         | CORP              | KY        |   1256662 | PA      | $1257343.37   | 0.03%             | 2031-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU               | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9411474 | PA      | $9445840.63   | 0.20%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-3                                                | CUSIP: 92539GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $416035.96    | 0.01%             | 2068-03-25      | Variable      | 7.71%                 | 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        |   1034896 | PA      | $883503.07    | 0.02%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $3149637.79   | 0.07%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 2020-2 Ltd                                                         | CUSIP: 05875DAL6<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400088.16    | 0.01%             | 2031-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-34 Ltd                                                              | CUSIP: 67570MAJ9<br>LEI: 213800MLX1S56O7NHK45 | Long             | ABS-CBDO         | CORP              | JE        |    410000 | PA      | $409749.86    | 0.01%             | 2037-10-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244000 | PA      | $245216.54    | 0.01%             | 2037-01-15      | Fixed         | 13.02%                | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | Goldentree Loan Management US Clo 9 Ltd                                          | CUSIP: 38138JAW3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752566.13    | 0.02%             | 2037-04-20      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 14 Ltd                                                             | CUSIP: 05874XAL3<br>LEI: 254900GXTF670X967J67 | Long             | ABS-CBDO         | CORP              | KY        |   2539000 | PA      | $2547919.00   | 0.05%             | 2037-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Octagon 75 Ltd                               | Octagon 75 Ltd                                                                   | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999904.50    | 0.02%             | 2038-01-22      | Floating      | 5.06%                 | 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      | $2413044.78   | 0.05%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2020-SPT1 Trust                                                             | CUSIP: 12659LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8400000 | PA      | $7254673.44   | 0.15%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO I Ltd                      | Bridge Street CLO VI Ltd                                                         | CUSIP: 10806PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5210000 | PA      | $5223154.21   | 0.11%             | 2039-01-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3538338 | PA      | $3650524.90   | 0.08%             | 2039-05-10      | Variable      | 10.26%                | 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        |   5171924 | PA      | $5160916.27   | 0.11%             | 2028-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2022-I Ltd                                                          | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    710000 | PA      | $710511.41    | 0.01%             | 2035-04-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $693679.22    | 0.01%             | 2037-07-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2025-VIII Ltd                                                      | CUSIP: 70019WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1052090.24   | 0.02%             | 2038-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1999580 | PA      | $2021520.46   | 0.04%             | 2065-01-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                       | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378324 | PA      | $385148.97    | 0.01%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XLVI Ltd                                                              | CUSIP: 03770RAN2<br>LEI: 254900XSALC4GJ58ZP29 | Long             | ABS-CBDO         | CORP              | JE        |   2180000 | PA      | $2181159.98   | 0.05%             | 2038-10-24      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-14                                    | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824971 | PA      | $873649.37    | 0.02%             | 2037-02-25      | Floating      | 4.28%                 | 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        |    173696 | PA      | $173732.05    | 0.00%             | 2030-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-VII Ltd                                                        | CUSIP: 171935AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6020000 | PA      | $6036856.00   | 0.13%             | 2038-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-JDI                                            | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4096000 | PA      | $4099806.82   | 0.08%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2025-VII Ltd                                                       | CUSIP: 70019HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4506936.75   | 0.09%             | 2038-04-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak IV Ltd                                                            | CUSIP: 80012AAA3<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |   4630000 | PA      | $4642438.50   | 0.10%             | 2039-01-20      | Floating      | 4.95%                 | 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      | $4719528.12   | 0.10%             | 2062-04-20      | Fixed         | 2.53%                 | 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      | $1239269.84   | 0.03%             | 2028-02-25      | Variable      | 4.25%                 | 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      | $3657960.57   | 0.08%             | 2033-11-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                        | DB Master Finance LLC                                                            | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   6913000 | PA      | $6927148.84   | 0.14%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2021-BNK35                                                                  | CUSIP: 06540CBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2735000 | PA      | $2328045.68   | 0.05%             | 2064-06-15      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MXF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246619 | PA      | $1243136.97   | 0.03%             | 2056-08-16      | Fixed         | 4.75%                 | 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      | $667203.40    | 0.01%             | 2052-04-25      | Variable      | 5.96%                 | 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        |    253723 | PA      | $253643.97    | 0.01%             | 2038-04-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2023-NQM1                         | CUSIP: 61775VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100891.36    | 0.00%             | 2068-09-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                               | Galaxy 33 CLO Ltd                                                                | CUSIP: 36321EAL9<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1876971.05   | 0.04%             | 2037-04-20      | Floating      | 7.43%                 | 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        |    719115 | PA      | $702804.46    | 0.01%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1447284.59   | 0.03%             | 2039-11-05      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                           | Aqua Finance Trust 2021-A                                                        | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92809 | PA      | $85387.17     | 0.00%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2023-NQM6                                        | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1516673.10   | 0.03%             | 2063-09-25      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 40 Ltd                                                              | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |    730000 | PA      | $732713.41    | 0.02%             | 2038-01-05      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-3                                    | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5027000 | PA      | $5038676.72   | 0.10%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-OMG                                                                | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3874000 | PA      | $3876415.44   | 0.08%             | 2042-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                 | SG Mortgage Securities Trust 2006-FRE2                                           | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181751 | PA      | $37457.04     | 0.00%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HF1 Mortgage Trust                                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2596214 | PA      | $2601058.15   | 0.05%             | 2041-12-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24115000 | PA      | $201635.16    | 0.00%             | 2043-07-15      | Variable      | 0.09%                 | 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        |   1000000 | PA      | $960190.90    | 0.02%             | 2048-10-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2024-6 Ltd                                               | CUSIP: 05685XAA6<br>LEI: 254900HQYGN91X5XN386 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1505589.00   | 0.03%             | 2038-01-21      | Floating      | 5.20%                 | 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        |    316882 | PA      | $239114.65    | 0.00%             | 2035-11-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                   | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385775 | PA      | $2451092.51   | 0.05%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                   | Sixth Street CLO XIV Ltd                                                         | CUSIP: 83013RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1250000 | PA      | $1238088.75   | 0.03%             | 2038-01-20      | Floating      | 8.52%                 | 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        |      9965 | PA      | $9130.30      | 0.00%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                          | Eaton Vance CLO 2020-2 Ltd                                                       | CUSIP: 27829PAU0<br>LEI: 549300FU3GAH1NNHOO94 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $652390.05    | 0.01%             | 2037-10-15      | 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        |   2081533 | PA      | $754555.86    | 0.02%             | 2028-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-11 Mortgage Loan Trust                                                 | CUSIP: 12676KAC7<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |   5449429 | PA      | $5463023.15   | 0.11%             | 2070-11-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2021-1 Ltd                                                    | CUSIP: 77341KAE1<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |   1156092 | PA      | $1156440.33   | 0.02%             | 2034-07-20      | Floating      | 5.80%                 | 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        |     21835 | PA      | $21683.44     | 0.00%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-12 Mortgage Loan Trust                                                 | CUSIP: 19688UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999912.28    | 0.02%             | 2071-01-26      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXXIII Ltd                                                  | CUSIP: 55823HAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250747.10    | 0.01%             | 2038-10-17      | Floating      | 5.66%                 | 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        |   1449093 | PA      | $1269102.60   | 0.03%             | 2048-10-26      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2025-4 Ltd                                                     | CUSIP: 696916AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1980000 | PA      | $1985177.70   | 0.04%             | 2038-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM1                                           | CUSIP: 06744WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124700 | PA      | $2161693.79   | 0.04%             | 2065-01-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort               | First Horizon Alternative Mortgage Securities Trust 2005-AA12                    | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90813 | PA      | $54114.93     | 0.00%             | 2036-02-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners Mortgage A               | MAC Trust 2025-801B                                                              | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3221000 | PA      | $3225010.15   | 0.07%             | 2040-10-15      | Floating      | 5.45%                 | 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        |  27389196 | PA      | $788088.52    | 0.02%             | 2052-02-25      | Variable      | 0.50%                 | 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        |    131722 | PA      | $122701.87    | 0.00%             | 2046-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |   3495000 | PA      | $3508327.48   | 0.07%             | 2037-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2413532.50   | 0.05%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 113 CLO Ltd                                                               | CUSIP: 26253EBK3<br>LEI: 254900XN9Y85HJGYJ219 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $499563.00    | 0.01%             | 2037-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                             | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3936000 | PA      | $3518796.60   | 0.07%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | TRESTLES CLO 2017-1 Ltd                                                          | CUSIP: 89531FAY3<br>LEI: 254900QSBDX181YYBH38 | Long             | ABS-CBDO         | CORP              | KY        |   1910000 | PA      | $1916730.84   | 0.04%             | 2037-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1687486 | PA      | $1724781.07   | 0.04%             | 2054-06-25      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| RMIT_21-3                                    | RMIT_21-3                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10210000 | PA      | $9980275.00   | 0.21%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2018-1 Ltd                                                            | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    187150 | PA      | $187210.59    | 0.00%             | 2031-07-15      | Floating      | 5.24%                 | 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        |    907168 | PA      | $900378.94    | 0.02%             | 2053-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| LoanCore 2018-CRE1 Issuer, Ltd               | LoanCore 2025 2025-CRE8 Issuer LLC                                               | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1340000 | PA      | $1340177.82   | 0.03%             | 2042-08-17      | Floating      | 5.12%                 | 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      | $257815.98    | 0.01%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 18 Ltd                                                                   | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250679.25    | 0.01%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Octagon 56 Ltd                               | Octagon 56 Ltd                                                                   | CUSIP: 67577EAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250475.48    | 0.01%             | 2034-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338000 | PA      | $1262230.93   | 0.03%             | 2036-01-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-14                                          | CUSIP: 12544DAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5878300 | PA      | $2791482.26   | 0.06%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle US CLO 2022-1 Ltd                                                        | CUSIP: 14318JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500117.10    | 0.01%             | 2035-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I2                                                                | CUSIP: 12570HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    624061 | PA      | $626904.85    | 0.01%             | 2067-12-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3279320 | PA      | $3286420.74   | 0.07%             | 2040-12-09      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1418000 | PA      | $1429003.25   | 0.03%             | 2033-12-15      | Fixed         | 5.11%                 | 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        |   1035953 | PA      | $871457.61    | 0.02%             | 2035-06-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2024-NQM1 Trust                                                             | CUSIP: 693977AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2067000 | PA      | $2085729.29   | 0.04%             | 2068-12-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga               | MF1 2025-FL19 LLC                                                                | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4467000 | PA      | $4479598.28   | 0.09%             | 2042-05-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                               | Milos CLO Ltd                                                                    | CUSIP: 60162PAG7<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250053.73    | 0.01%             | 2030-10-20      | Floating      | 5.70%                 | 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      | $1000056.00   | 0.02%             | 2034-10-15      | Floating      | 7.42%                 | 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      | $2943966.27   | 0.06%             | 2052-05-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | Aimco CLO 11 Ltd                                                                 | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   2810000 | PA      | $2821602.49   | 0.06%             | 2037-07-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                | Citigroup Commercial Mortgage Trust 2015-P1                                      | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85234 | PA      | $82463.02     | 0.00%             | 2048-09-15      | Fixed         | 3.23%                 | 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        |    507000 | PA      | $462718.62    | 0.01%             | 2048-12-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust Series 2025-NQM5                                        | CUSIP: 46664DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580272 | PA      | $1576368.73   | 0.03%             | 2065-05-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                           | Elmwood CLO 29 Ltd                                                               | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4250000 | PA      | $4264639.13   | 0.09%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2025-4 Ltd                                                     | CUSIP: 696916AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2666118.80   | 0.06%             | 2038-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2024-38 Ltd                                                              | CUSIP: 67120KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    590000 | PA      | $592236.10    | 0.01%             | 2038-01-21      | Floating      | 5.20%                 | 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        |    366253 | PA      | $364501.62    | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                | CIP Commercial Mortgage Trust 2025-SBAY                                          | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4785000 | PA      | $4789443.83   | 0.10%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3890000 | PA      | $3903506.08   | 0.08%             | 2037-10-19      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1665000 | PA      | $1681363.29   | 0.03%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 93 CLO Ltd                                                                | CUSIP: 26190TAS0<br>LEI: 5493009K6Z2DW3X76185 | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672527.58    | 0.01%             | 2038-01-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                               | Barings CLO Ltd 2018-II                                                          | CUSIP: 06760JAU9<br>LEI: 549300I8OP7Y4MO3JF74 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2569377.54   | 0.05%             | 2036-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXXVIII Ltd                                          | CUSIP: 08183FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5760000 | PA      | $5780361.60   | 0.12%             | 2038-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                        | Kennedy Lewis CLO 8 Ltd                                                          | CUSIP: 37148EAN4<br>LEI: 2549002O2LJ1LE1W2D54 | Long             | ABS-CBDO         | CORP              | KY        |   4990000 | PA      | $5008048.33   | 0.10%             | 2038-01-20      | Floating      | 5.26%                 | 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        |    830070 | PA      | $817480.34    | 0.02%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| LV Trust                                     | Fashion Show Mall LLC                                                            | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362970 | PA      | $368428.42    | 0.01%             | 2041-10-10      | Variable      | 5.10%                 | 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        |   1845709 | PA      | $1526763.50   | 0.03%             | 2036-04-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                      | NYMT Loan Trust 2024-INV1                                                        | CUSIP: 62956XAA9<br>LEI: 2549009GL7U73W4FX613 | Long             | ABS-MBS          | CORP              | US        |    839342 | PA      | $844321.76    | 0.02%             | 2069-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18068843 | PA      | $819756.29    | 0.02%             | 2054-02-15      | Variable      | 1.25%                 | 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      | $3735626.44   | 0.08%             | 2051-08-15      | Fixed         | 4.15%                 | 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        |   2846006 | PA      | $1295017.18   | 0.03%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 43B Ltd                                               | CUSIP: 38180PAA4<br>LEI: 2549006E2S3MDN9M6Q69 | Long             | ABS-CBDO         | CORP              | KY        |   1970000 | PA      | $1977578.59   | 0.04%             | 2037-10-20      | Floating      | 5.22%                 | 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        |    818486 | PA      | $754266.98    | 0.02%             | 2053-01-15      | Fixed         | 1.39%                 | 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        |    130385 | PA      | $107104.48    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                | RFMSI Series 2006-SA4 Trust                                                      | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184895 | PA      | $155744.65    | 0.00%             | 2036-11-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-10                                                 | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |   1956424 | PA      | $1965718.92   | 0.04%             | 2069-10-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-J1                                          | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039445 | PA      | $364648.19    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                         | FREMF 2018-KW05 Trust                                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $3850907.78   | 0.08%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Regatta XVI Funding Ltd.                     | Regatta XVI Funding Ltd                                                          | CUSIP: 75888TAS4<br>LEI: 254900XPJFGKL5R4O429 | Long             | ABS-CBDO         | CORP              | KY        |   1760000 | PA      | $1764033.22   | 0.04%             | 2033-01-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2022-IV Ltd                                                         | CUSIP: 12567WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501171.20    | 0.01%             | 2035-07-16      | Floating      | 5.44%                 | 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        |    168000 | PA      | $161916.71    | 0.00%             | 2035-07-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital Clo 34 Ltd                                                     | CUSIP: 03332UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4640000 | PA      | $4636440.19   | 0.10%             | 2039-01-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CML PROJECT CRABTREE                         | CML PROJECT CRABTREE                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4400000 | PA      | $4402216.72   | 0.09%             | 2029-08-06      | Floating      | 6.28%                 | No            |                  3 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1303000 | PA      | $1302592.16   | 0.03%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                       | Conseco Finance Corp                                                             | CUSIP: 393505RK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14224 | PA      | $14406.92     | 0.00%             | 2028-11-15      | Variable      | 7.24%                 | 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      | $3501830.85   | 0.07%             | 2034-07-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                    | BMP 2024-MF23                                                                    | CUSIP: 05593JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8720000 | PA      | $8741569.79   | 0.18%             | 2041-06-15      | Floating      | 6.14%                 | 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        |    285293 | PA      | $230081.24    | 0.00%             | 2046-12-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | Aimco CLO 11 Ltd                                                                 | CUSIP: 00140NAY6<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   2180000 | PA      | $2186505.12   | 0.05%             | 2037-07-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                | MASTR Reperforming Loan Trust 2005-1                                             | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1722493 | PA      | $1173044.89   | 0.02%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Newark BSL CLO 2 Ltd.                        | Newark BSL CLO 2 Ltd                                                             | CUSIP: 65023PAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $440049.76    | 0.01%             | 2030-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 50B-R Ltd                                             | CUSIP: 38178DAU1<br>LEI: 254900N3E7Y6I5DRGW52 | Long             | ABS-CBDO         | CORP              | JE        |   2660000 | PA      | $2662791.67   | 0.06%             | 2035-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $316756.76    | 0.01%             | 2039-12-15      | Floating      | 8.00%                 | 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        |    522170 | PA      | $470328.08    | 0.01%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2023-I2                                                                | CUSIP: 12570HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $2151147.90   | 0.04%             | 2067-12-25      | Variable      | 6.78%                 | 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        |     34686 | PA      | $29020.71     | 0.00%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 5 Ltd                                                                         | CUSIP: 74979VAM5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |    880000 | PA      | $882859.38    | 0.02%             | 2039-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd                             | BSPDF 2025-FL2 Issuer LLC                                                        | CUSIP: 05615KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1212000 | PA      | $1211141.66   | 0.03%             | 2042-12-15      | Floating      | 5.27%                 | 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        |   2061000 | PA      | $1696295.95   | 0.04%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                   | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2138000 | PA      | $2275000.69   | 0.05%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 46 Ltd                                                              | CUSIP: 87170WAC4<br>LEI: 2549003KA6F4T4Q34J34 | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $420969.15    | 0.01%             | 2038-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXVI Ltd                                             | CUSIP: 08186AAJ5<br>LEI: 2549008S0Y5AP2WIEL43 | Long             | ABS-CBDO         | CORP              | KY        |   1920000 | PA      | $1926445.25   | 0.04%             | 2037-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 36R Ltd                                       | CUSIP: 64090EAA4<br>LEI: 254900RBT2LAQQHMHG60 | Long             | ABS-CBDO         | CORP              | KY        |  11757000 | PA      | $11788740.37  | 0.24%             | 2039-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 3 Ltd                                                            | CUSIP: 82672NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    890000 | PA      | $893129.24    | 0.02%             | 2037-01-23      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4185072 | PA      | $4188950.22   | 0.09%             | 2040-12-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                | Citicorp Mortgage Securities Trust Series 2007-4                                 | CUSIP: 17312XAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    341357 | PA      | $299292.65    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2022-NQM2 Trust                                                             | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711000 | PA      | $598498.97    | 0.01%             | 2067-02-25      | Variable      | 4.20%                 | 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        |    582146 | PA      | $573980.96    | 0.01%             | 2059-12-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-JDI                                            | CUSIP: 05594LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1684168.75   | 0.03%             | 2042-11-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400299 | PA      | $287910.80    | 0.01%             | 2035-11-25      | Floating      | 4.42%                 | 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        |    365357 | PA      | $361634.63    | 0.01%             | 2060-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1890000 | PA      | $1898683.23   | 0.04%             | 2037-10-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                        | Kennedy Lewis CLO 19 Ltd                                                         | CUSIP: 37150JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250280.75    | 0.01%             | 2036-04-22      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250757.03    | 0.01%             | 2037-10-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035000 | PA      | $1015201.90   | 0.02%             | 2036-01-15      | Floating      | 4.82%                 | 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        |   9038543 | PA      | $3518544.01   | 0.07%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor               | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387000 | PA      | $387483.29    | 0.01%             | 2039-12-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 9 Ltd                                                            | CUSIP: 82670QAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1053512.25   | 0.02%             | 2038-01-21      | Floating      | 5.23%                 | 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        |   3225934 | PA      | $2902766.62   | 0.06%             | 2036-05-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                     | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |   3136465 | PA      | $3167290.33   | 0.07%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 6 Ltd                                                                    | CUSIP: 75010KAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4670000 | PA      | $4687506.90   | 0.10%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                    | BMP 2024-MF23                                                                    | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719000 | PA      | $1721146.17   | 0.04%             | 2041-06-15      | Floating      | 7.14%                 | 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        |   1688449 | PA      | $938664.07    | 0.02%             | 2035-09-25      | Variable      | 5.23%                 | 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        |   2634870 | PA      | $2381490.00   | 0.05%             | 2040-02-28      | Floating      | 4.84%                 | 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        |    162552 | PA      | $73854.43     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | 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        |   4694477 | PA      | $1672647.81   | 0.03%             | 2035-09-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16515000 | PA      | $16525693.46  | 0.34%             | 2038-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta               | Greystone CRE Notes 2025-FL4 LLC                                                 | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1731000 | PA      | $1736086.54   | 0.04%             | 2043-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2389747.10   | 0.05%             | 2039-01-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2021-TY                                                                | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5500000 | PA      | $5498310.40   | 0.11%             | 2038-09-15      | Floating      | 4.92%                 | 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        |   2458554 | PA      | $2308163.10   | 0.05%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica               | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2494885 | PA      | $2133805.22   | 0.04%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | Onemain Financial Issuance Trust 2024-1                                          | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10618000 | PA      | $11155251.69  | 0.23%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO X Ltd                                                | CUSIP: 08181LBE6<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |   4957000 | PA      | $4971397.11   | 0.10%             | 2038-07-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                            | Elevation CLO 2018-10 Ltd                                                        | CUSIP: 28623CAN1<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |   1680000 | PA      | $1679725.32   | 0.03%             | 2031-10-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-               | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872000 | PA      | $835699.86    | 0.02%             | 2036-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P2                              | CUSIP: 525949103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106000 | PA      | $249790.59    | 0.01%             | 2045-03-15      | Fixed         | 0.00%                 | 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      | $4431694.05   | 0.09%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS Mortgage Trust 2025-C35                                                    | CUSIP: 07337DAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1236000 | PA      | $1022782.34   | 0.02%             | 2058-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2022-AFC1 Trust                                                            | CUSIP: 69377CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361473 | PA      | $360870.39    | 0.01%             | 2057-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                 | DC Trust 2024-HLTN                                                               | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2932000 | PA      | $2925091.04   | 0.06%             | 2040-04-13      | Variable      | 10.30%                | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Commercial Mortgage Trust 2024-PARK                                          | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    879000 | PA      | $914442.69    | 0.02%             | 2039-11-05      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus               | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1693000 | PA      | $1711376.50   | 0.04%             | 2039-12-15      | Floating      | 9.40%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1931176 | PA      | $1935032.92   | 0.04%             | 2039-02-15      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                       | Mosaic Solar Loan Trust 2023-1                                                   | CUSIP: 61945VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197524 | PA      | $188554.76    | 0.00%             | 2053-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO Ltd                          | Crown Point CLO 10 Ltd                                                           | CUSIP: 22846FAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $510123.88    | 0.01%             | 2034-07-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2025-NQM3 Trust                                                              | CUSIP: 58004LAA5<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   4963474 | PA      | $4975849.90   | 0.10%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak IV Ltd                                                            | CUSIP: 80012AAJ4<br>LEI: 254900HZXZ4VWBL5OX74 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $1430648.51   | 0.03%             | 2039-01-20      | Floating      | 6.76%                 | 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        |     10871 | PA      | $10537.54     | 0.00%             | 2034-07-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3726371 | PA      | $3304974.72   | 0.07%             | 2035-10-25      | Fixed         | 6.00%                 | 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      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle Global Market Strategies CLO 2015-1 Ltd                                  | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     91425 | PA      | $91431.15     | 0.00%             | 2031-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR Clo 34 Ltd                                                                   | CUSIP: 48253UAJ5<br>LEI: 254900DSRKUNUNRNUG13 | Long             | ABS-CBDO         | CORP              | KY        |   4550000 | PA      | $4546584.32   | 0.09%             | 2034-07-15      | Floating      | 5.00%                 | 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        |   2727557 | PA      | $2713475.39   | 0.06%             | 2052-07-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1377734 | PA      | $1370572.86   | 0.03%             | 2037-02-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 25 Ltd                                                             | CUSIP: 05876QAS1<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $1432723.58   | 0.03%             | 2038-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405315 | PA      | $405563.62    | 0.01%             | 2029-08-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 32 LTD /old                                                                   | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11850000 | PA      | $11891969.15  | 0.25%             | 2039-10-15      | Floating      | 5.26%                 | No            |                  2 | 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      | $1642399.29   | 0.03%             | 2037-04-10      | Fixed         | 3.86%                 | 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      | $1101557.18   | 0.02%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-7 Mortgage Loan Trust                                                  | CUSIP: 19689CAA9<br>LEI: 213800DOQUYA3TO33M98 | Long             | ABS-MBS          | CORP              | US        |   3394749 | PA      | $3428291.72   | 0.07%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 5 Ltd                                                         | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2600000 | PA      | $2611697.14   | 0.05%             | 2037-10-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Centragas                                    | CENT 2025-CITY                                                                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6956000 | PA      | $7040603.05   | 0.15%             | 2040-07-10      | Variable      | 4.92%                 | 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        |    824620 | PA      | $777076.12    | 0.02%             | 2043-03-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAS6<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |   1480000 | PA      | $1485116.95   | 0.03%             | 2037-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-9CB                                                  | CUSIP: 12667GEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    957964 | PA      | $849141.26    | 0.02%             | 2035-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083000 | PA      | $1108963.30   | 0.02%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 49 Senior Loan Fund                                                       | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    151644 | PA      | $151639.50    | 0.00%             | 2030-07-18      | Floating      | 5.10%                 | 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        | -22139000 | PA      | $-18712643.94 | -0.39%            | 2056-01-01      | Fixed         | 2.50%                 | 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      | $3245300.10   | 0.07%             | 2032-04-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 12 Ltd                                                                        | CUSIP: 74989HAQ5<br>LEI: 549300RLLUH00ZYECJ34 | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1210001.69   | 0.03%             | 2036-01-15      | Floating      | 5.50%                 | 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        |     60740 | PA      | $59063.59     | 0.00%             | 2065-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Milos CLO, LTD                               | Milos CLO Ltd                                                                    | CUSIP: 60162PAE2<br>LEI: 254900GFWI4EEB8IJS18 | Long             | ABS-CBDO         | CORP              | KY        |    282524 | PA      | $282524.23    | 0.01%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                          | MidOcean Credit CLO XII Ltd                                                      | CUSIP: 59803TBA8<br>LEI: 5493000CPZWPTWX7TF71 | Long             | ABS-CBDO         | CORP              | JE        |  12690000 | PA      | $12729325.04  | 0.26%             | 2038-07-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2001000 | PA      | $2037100.24   | 0.04%             | 2029-11-10      | Variable      | 9.21%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun               | Gracie Point International Funding 2024-1 LLC                                    | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4053000 | PA      | $4056059.61   | 0.08%             | 2028-03-01      | Floating      | 5.89%                 | 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-O            | CORP              | US        |   1206986 | PA      | $478111.03    | 0.01%             | 2036-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAC3<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |   1540000 | PA      | $1543296.68   | 0.03%             | 2039-01-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2510992.00   | 0.05%             | 2037-07-23      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-NQM1                                        | CUSIP: 10570FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $575342.28    | 0.01%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                  | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3367589.18   | 0.07%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                     | Rain City Mortgage Trust 2024-RTL1                                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256000 | PA      | $1270843.66   | 0.03%             | 2029-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXV Ltd                                                    | CUSIP: 55819MAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $721035.86    | 0.01%             | 2032-04-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CML PROJECT COLD 15-AUGUST-2030:TL LOAN/TERM | CML PROJECT COLD 15-AUGUST-2030:TL LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |   1298065 | PA      | $1748205.95   | 0.04%             | 2030-09-11      | Floating      | 6.87%                 | No            |                  3 | On Loan: No      |
| Affirm Master Trust                          | Affirm Master Trust                                                              | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    897000 | PA      | $903818.10    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | 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        |     78812 | PA      | $69685.26     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2005-QO2 Trust                                                       | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587258 | PA      | $509590.78    | 0.01%             | 2045-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H10 Mortgage Trust                                                    | CUSIP: 22758YAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496000 | PA      | $490436.17    | 0.01%             | 2071-01-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1083950.64   | 0.02%             | 2037-07-17      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 25 Ltd                                                             | CUSIP: 05876QAQ5<br>LEI: 2549000LY2B016K4LA62 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002549.50   | 0.02%             | 2038-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | CarVal CLO IV Ltd                                                                | CUSIP: 14687EAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7050000 | PA      | $7068169.97   | 0.15%             | 2038-03-31      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust               | HarborView Mortgage Loan Trust 2005-1                                            | CUSIP: 41161PLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874067 | PA      | $422770.27    | 0.01%             | 2035-03-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                      | Halseypoint CLO 7 LTD                                                            | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250843.50    | 0.01%             | 2038-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVI, LTD.                   | Sixth Street CLO IX Ltd                                                          | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   1546000 | PA      | $1551709.38   | 0.03%             | 2037-07-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO IV Ltd                                               | CUSIP: 08180FCG4<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500846.25    | 0.01%             | 2038-10-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXV Ltd                                                    | CUSIP: 55819MAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503757.65   | 0.03%             | 2032-04-20      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3165249 | PA      | $2289882.27   | 0.05%             | 2037-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                    | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1564000 | PA      | $1564956.39   | 0.03%             | 2029-08-15      | Floating      | 7.59%                 | 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      | $1786203.29   | 0.04%             | 2038-07-17      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2024-2                                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950351 | PA      | $953387.41    | 0.02%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003935.30   | 0.02%             | 2037-07-23      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1204322.28   | 0.02%             | 2037-10-19      | Floating      | 5.58%                 | 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        |    290390 | PA      | $290445.88    | 0.01%             | 2030-10-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CART                                         | CONE Trust 2024-DFW1                                                             | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2329020.00   | 0.05%             | 2041-08-15      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC2                         | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5976944 | PA      | $6034807.88   | 0.12%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort               | First Horizon Alternative Mortgage Securities Trust 2006-AA7                     | CUSIP: 32052CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2513247 | PA      | $1963554.45   | 0.04%             | 2037-01-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | AIMCO CLO 18 Ltd                                                                 | CUSIP: 00889EBA2<br>LEI: 2549005IX0D6XDJNNS95 | Long             | ABS-CBDO         | CORP              | JE        |   1730000 | PA      | $1736092.20   | 0.04%             | 2037-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                  | Extended Stay America Trust 2025-ESH                                             | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2477000 | PA      | $2480867.34   | 0.05%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                          | Elmwood CLO III Ltd                                                              | CUSIP: 29002HBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1080000 | PA      | $1083868.56   | 0.02%             | 2037-07-18      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-1                                    | CUSIP: 92261CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296380 | PA      | $302925.86    | 0.01%             | 2054-01-25      | Variable      | 8.44%                 | 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        |    220338 | PA      | $189549.81    | 0.00%             | 2038-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                   | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1300711.62   | 0.03%             | 2033-03-10      | Variable      | 5.62%                 | 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        |    958094 | PA      | $550626.73    | 0.01%             | 2046-06-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                    | Regatta XXIV Funding Ltd                                                         | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1805751.36   | 0.04%             | 2038-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2024-RVR                                       | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1263000 | PA      | $1261763.02   | 0.03%             | 2041-08-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2024-2 LTD                                                     | CUSIP: 69703LAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2306741.99   | 0.05%             | 2037-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-CBM Mortgage Trust                                                     | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $641286.26    | 0.01%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3142000 | PA      | $3122378.84   | 0.06%             | 2035-03-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-13T1                                                 | CUSIP: 12668BZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1636920 | PA      | $768403.31    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                  | UPX HIL 2025-1 Issuer Trust                                                      | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7767374 | PA      | $7827366.91   | 0.16%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM5                                           | CUSIP: 06745XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  45640330 | PA      | $45429361.89  | 0.94%             | 2055-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-NC2                          | CUSIP: 81378GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446000 | PA      | $341208.51    | 0.01%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5026422 | PA      | $1245292.01   | 0.03%             | 2036-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                  | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30405000 | PA      | $195604.49    | 0.00%             | 2039-06-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-2                                                  | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |   4496204 | PA      | $4537415.19   | 0.09%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO 2024-NQM6                                                                  | CUSIP: 05613JAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $254595.08    | 0.01%             | 2064-08-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBU9<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501644.45    | 0.01%             | 2038-07-22      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884300 | PA      | $778545.32    | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman CLO XXI Ltd                                                     | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |   6990000 | PA      | $7017191.10   | 0.15%             | 2039-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4501398.15   | 0.09%             | 2034-01-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291900 | PA      | $259977.99    | 0.01%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2137669 | PA      | $2135193.21   | 0.04%             | 2041-04-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-P2                                   | CUSIP: 92262XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723348 | PA      | $720857.64    | 0.01%             | 2055-10-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXVI Ltd                                                        | CUSIP: 09630GAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1120000 | PA      | $1120146.61   | 0.02%             | 2034-10-20      | Floating      | 7.65%                 | 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      | $599671.20    | 0.01%             | 2033-04-15      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2025-A                                                 | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10315478 | PA      | $10277028.04  | 0.21%             | 2057-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor               | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2842389 | PA      | $1215776.94   | 0.03%             | 2035-12-25      | Fixed         | 6.50%                 | 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-O            | CORP              | US        |   4648932 | PA      | $2219938.71   | 0.05%             | 2036-11-25      | Floating      | 4.07%                 | 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        |    366169 | PA      | $336430.69    | 0.01%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2022-3                                                | CUSIP: 92538UAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2188000 | PA      | $1730467.98   | 0.04%             | 2067-02-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690AAW7<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250742.30    | 0.01%             | 2037-07-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                         | WEST Trust 2025-ROSE                                                             | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1836000 | PA      | $1864418.34   | 0.04%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAY2<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500177.20    | 0.01%             | 2036-10-15      | Floating      | 5.08%                 | 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        |    285728 | PA      | $267813.63    | 0.01%             | 2052-06-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II,               | Compass Datacenters Issuer II LLC                                                | CUSIP: 20469CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5266719 | PA      | $5256735.57   | 0.11%             | 2050-11-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-3                                    | CUSIP: 92258RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2188891 | PA      | $1559162.77   | 0.03%             | 2051-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV2                                                                   | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |   8329379 | PA      | $8392584.20   | 0.17%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Merit                                        | MHP 2021-STOR                                                                    | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1105000 | PA      | $1103645.71   | 0.02%             | 2038-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $651975.74    | 0.01%             | 2037-10-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2015-6R                                                              | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072544 | PA      | $851526.40    | 0.02%             | 2036-03-27      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu               | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $109893.05    | 0.00%             | 2051-06-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition               | JP Morgan Mortgage Acquisition Trust 2007-CH1                                    | CUSIP: 46630LAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $103534.63    | 0.00%             | 2036-11-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-P2                                   | CUSIP: 92262XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    647518 | PA      | $645645.76    | 0.01%             | 2055-10-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                       | Argent Securities Trust 2006-W2                                                  | CUSIP: 040104RW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532112 | PA      | $300099.77    | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Wellington Management CLO                    | Wellington Management Clo 4 Ltd                                                  | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |   1520000 | PA      | $1518144.38   | 0.03%             | 2038-04-18      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2007-HE5                            | CUSIP: 073859AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6161119 | PA      | $5641390.27   | 0.12%             | 2047-06-25      | Floating      | 4.23%                 | 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        |   1561285 | PA      | $1452018.57   | 0.03%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                          | HONO 2021-LULU Mortgage Trust                                                    | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2761700 | PA      | $2727293.91   | 0.06%             | 2036-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| PFSFC_22-E                                   | PFSFC_22-E                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9000000 | PA      | $9050400.00   | 0.19%             | 2027-10-29      | Fixed         | 5.16%                 | No            |                  3 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAU6<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $320651.39    | 0.01%             | 2034-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                          | EQT Trust 2024-EXTR                                                              | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28949000 | PA      | $29624137.00  | 0.61%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT             | GBP/USD FORWARD                                                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7989.51     | -0.00%            |  |  |  | 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      | $53912.16     | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | 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        |   2162620 | PA      | $1832890.64   | 0.04%             | 2051-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415905 | PA      | $1157170.71   | 0.02%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2025-11 Mortgage Loan Trust                                                 | CUSIP: 12676KAJ2<br>LEI: 213800CETFGZSOQ6WF79 | Long             | ABS-MBS          | CORP              | US        |    586000 | PA      | $587496.12    | 0.01%             | 2070-11-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7459382 | PA      | $7479805.79   | 0.15%             | 2038-07-19      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MCM 2021-VFN1: CERT CMO/WHOLE                | MCM 2021-VFN1: CERT CMO/WHOLE                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1783544 | PA      | $1437551.64   | 0.03%             | 2031-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-P2                                   | CUSIP: 92262XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752526 | PA      | $749528.81    | 0.02%             | 2055-10-25      | Variable      | 9.45%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                      | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1630000 | PA      | $1635299.62   | 0.03%             | 2038-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2014-10R                                                             | CUSIP: 12649BAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    861573 | PA      | $274360.80    | 0.01%             | 2036-05-27      | Variable      | 4.50%                 | 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      | $136495.80    | 0.00%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2810000 | PA      | $2821760.13   | 0.06%             | 2037-10-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-5MW                                          | CUSIP: 088921AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12660000 | PA      | $12962937.34  | 0.27%             | 2042-10-10      | Variable      | 9.83%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-167G Mortgage Trust                                                    | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1743000 | PA      | $1748136.97   | 0.04%             | 2040-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $803644.48    | 0.02%             | 2037-04-28      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| 610 Funding 2 CLO Ltd                        | 610 Funding CLO 2 Ltd                                                            | CUSIP: 83004LAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $760602.07    | 0.02%             | 2034-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                     | FBR Securitization Trust                                                         | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1413493 | PA      | $1404442.04   | 0.03%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-III Ltd                                                        | CUSIP: 12554VBC9<br>LEI: 254900SVOWCOSOG16T40 | Long             | ABS-CBDO         | CORP              | KY        |   1550000 | PA      | $1554546.46   | 0.03%             | 2038-01-16      | Floating      | 5.69%                 | 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        |    303104 | PA      | $299893.29    | 0.01%             | 2038-11-25      | Fixed         | 3.58%                 | 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      | $1413145.65   | 0.03%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XXIX Ltd                                                            | CUSIP: 87168GAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $3307616.40   | 0.07%             | 2035-10-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717000 | PA      | $1331068.54   | 0.03%             | 2062-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-P2                                   | CUSIP: 92262XAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265858 | PA      | $1261456.21   | 0.03%             | 2055-10-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4249923 | PA      | $1708718.65   | 0.04%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus               | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2354000 | PA      | $2405451.85   | 0.05%             | 2040-07-15      | Variable      | 7.72%                 | 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-O            | CORP              | US        |    507894 | PA      | $448229.64    | 0.01%             | 2046-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                           | Whitebox Clo I Ltd                                                               | CUSIP: 96467FBJ8<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   5040000 | PA      | $5037863.54   | 0.10%             | 2037-01-24      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO IV Ltd                                               | CUSIP: 08180FCJ8<br>LEI: 5493002BNZCV0YE1MG83 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250565.80    | 0.01%             | 2038-10-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                             | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAA8<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |   1060000 | PA      | $1063684.03   | 0.02%             | 2037-10-17      | Floating      | 5.23%                 | 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        |    316313 | PA      | $292591.57    | 0.01%             | 2036-02-25      | Floating      | 5.03%                 | 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        |      5853 | PA      | $87.11        | 0.00%             | 2060-09-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-19 Ltd                                                              | CUSIP: 670881BE0<br>LEI: 254900ZMV4RGFPV8TK42 | Long             | ABS-CBDO         | CORP              | KY        |    970000 | PA      | $972803.49    | 0.02%             | 2038-04-20      | Floating      | 6.58%                 | 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      | $269765.38    | 0.01%             | 2032-05-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| CQS US CLO Ltd                               | CQS US CLO 2025-4 Ltd                                                            | CUSIP: 12674KAC9<br>LEI: 25490009GM1MG9XIPV52 | Long             | ABS-CBDO         | CORP              | KY        |   4840000 | PA      | $4857152.96   | 0.10%             | 2036-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 2 Ltd                                                           | CUSIP: 64754LAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3120000 | PA      | $3131425.44   | 0.06%             | 2038-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                  | INV 2024-IND Mortgage Trust                                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3510000 | PA      | $3483738.18   | 0.07%             | 2041-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                 | Post CLO 2023-1 Ltd                                                              | CUSIP: 73743CAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1420000 | PA      | $1429680.57   | 0.03%             | 2038-10-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                              | AREIT 2025-CRE11                                                                 | CUSIP: 04002DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4098000 | PA      | $4104053.98   | 0.08%             | 2043-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2023-3 Ltd                                                     | CUSIP: 87122FAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002852.40   | 0.02%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-29CB                                                 | CUSIP: 12667GUS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209350 | PA      | $117570.38    | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | 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        |    154263 | PA      | $149928.52    | 0.00%             | 2035-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                      | OHA Credit Partners XI Ltd                                                       | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |   3844719 | PA      | $3858979.06   | 0.08%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                           | A&D Mortgage Trust 2024-NQM5                                                     | CUSIP: 00039KAF7<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   4238000 | PA      | $4292195.97   | 0.09%             | 2069-11-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Series 2014-9R                                                              | CUSIP: 12648UBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54707 | PA      | $45736.92     | 0.00%             | 2036-08-27      | Floating      | 4.31%                 | 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        |    677671 | PA      | $690225.25    | 0.01%             | 2040-12-28      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5270000 | PA      | $5276514.25   | 0.11%             | 2041-06-15      | Floating      | 5.59%                 | 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        |   3391000 | PA      | $2895727.50   | 0.06%             | 2039-09-15      | Variable      | 3.48%                 | 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      | $1119510.33   | 0.02%             | 2035-04-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBW4<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |   1625000 | PA      | $1633557.74   | 0.03%             | 2037-04-28      | Floating      | 6.31%                 | 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        |    260549 | PA      | $217152.85    | 0.00%             | 2035-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-4                                            | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3561037 | PA      | $3380024.89   | 0.07%             | 2037-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2020-BNK28                                                                  | CUSIP: 06540YAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  29819566 | PA      | $1225360.52   | 0.03%             | 2063-03-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Truist Bank Auto Credit-Linked               | Truist Bank Auto Credit-Linked Notes Series 2025-1                               | CUSIP: 897926CB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6550216 | PA      | $6560796.82   | 0.14%             | 2033-09-26      | Fixed         | 4.73%                 | 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-O            | CORP              | US        |   1891699 | PA      | $583844.00    | 0.01%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Cerberus                                     | Cerberus Loan Funding XLIV LLC                                                   | CUSIP: 15674DAA2<br>LEI: 6354005DPIRML7EMPA20 | Long             | ABS-CBDO         | CORP              | US        |   1710000 | PA      | $1713876.91   | 0.04%             | 2036-01-15      | Floating      | 6.25%                 | 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        |    650000 | PA      | $553324.92    | 0.01%             | 2038-08-05      | Variable      | 4.27%                 | 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        |    182400 | PA      | $182627.07    | 0.00%             | 2038-04-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14005 | PA      | $11455.41     | 0.00%             | 2036-12-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2025-31 Ltd                                                          | CUSIP: 67400BAA8<br>LEI: 254900UVA9JUCC0JI897 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1304156.88   | 0.03%             | 2038-07-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                       | CSTL Commercial Mortgage Trust 2024-GATE                                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7600000 | PA      | $7648345.88   | 0.16%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 31 Ltd                                                                       | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3350000 | PA      | $3352457.56   | 0.07%             | 2034-07-20      | Floating      | 5.16%                 | 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      | $419586.68    | 0.01%             | 2034-07-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-P2                                   | CUSIP: 92262XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274141 | PA      | $250067.08    | 0.01%             | 2055-10-25      | Variable      | 10.21%                | 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        |    711493 | PA      | $606113.91    | 0.01%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1406361 | PA      | $1413321.30   | 0.03%             | 2041-04-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU               | SoFi Consumer Loan Program 2025-1 Trust                                          | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373000 | PA      | $1388171.38   | 0.03%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190949 | PA      | $191008.11    | 0.00%             | 2037-02-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust               | PENN Commercial Mortgage Trust 2025-P11                                          | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2087000 | PA      | $2137814.28   | 0.04%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-2                                    | CUSIP: 39571VAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5959000 | PA      | $6006208.99   | 0.12%             | 2060-06-25      | Fixed         | 5.56%                 | 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      | $2323306.32   | 0.05%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515100 | PA      | $471880.48    | 0.01%             | 2062-07-25      | Variable      | 3.00%                 | 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        |    893395 | PA      | $855379.20    | 0.02%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-2                                    | CUSIP: 39571VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1828000 | PA      | $1858289.96   | 0.04%             | 2060-06-25      | Fixed         | 7.79%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | Oak Hill Credit Partners X-R Ltd                                                 | CUSIP: 67707CBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2290000 | PA      | $2286671.49   | 0.05%             | 2038-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2006-17                                          | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195887 | PA      | $85244.23     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issu               | GreenSky Home Improvement Issuer Trust 2025-2                                    | CUSIP: 39571VAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5586000 | PA      | $5633636.85   | 0.12%             | 2060-06-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 13 Ltd                                                      | CUSIP: 25256GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3370000 | PA      | $3370000.00   | 0.07%             | 2039-01-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru               | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2111799 | PA      | $2108187.31   | 0.04%             | 2052-06-17      | Floating      | 5.07%                 | 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        |   1273620 | PA      | $1143853.59   | 0.02%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust               | CFMT 2024-HB15 LLC                                                               | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |    358000 | PA      | $349810.00    | 0.01%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-A                                                  | CUSIP: 009692AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8302666 | PA      | $7960222.24   | 0.16%             | 2062-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                            | Cedar Funding VII Clo Ltd                                                        | CUSIP: 15032FAW6<br>LEI: 549300G87EGFMLOYN341 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $721080.72    | 0.01%             | 2038-10-20      | Floating      | 5.20%                 | 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      | $93820.94     | 0.00%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                   | NMLT 2021-INV1 Trust                                                             | CUSIP: 62923JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922300 | PA      | $728471.74    | 0.02%             | 2056-05-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2016-I Ltd                                                          | CUSIP: 17180TBN1<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500500.55    | 0.01%             | 2031-10-21      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                | NYC Commercial Mortgage Trust 2025-28L                                           | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2181000 | PA      | $2185614.12   | 0.05%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LIX Ltd                                                     | CUSIP: 55822EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $270827.90    | 0.01%             | 2037-04-18      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition               | JP Morgan Mortgage Acquisition Trust 2006-CH1                                    | CUSIP: 46629TAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3498000 | PA      | $3212417.33   | 0.07%             | 2036-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-CNYN                                                               | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3267877 | PA      | $3270900.88   | 0.07%             | 2041-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RR 36 LTD                                    | RR 36 Ltd                                                                        | CUSIP: 74989AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501321.35    | 0.01%             | 2040-01-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462000 | PA      | $356194.65    | 0.01%             | 2066-10-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                        | Kennedy Lewis CLO 13 Ltd                                                         | CUSIP: 370918AA2<br>LEI: 549300OHYOREA2V0F579 | Long             | ABS-CBDO         | CORP              | JE        |   1360000 | PA      | $1360545.77   | 0.03%             | 2037-01-20      | Floating      | 5.67%                 | 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      | $501753.40    | 0.01%             | 2030-07-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust               | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5730000 | PA      | $5737079.99   | 0.12%             | 2041-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1322000 | PA      | $1320025.59   | 0.03%             | 2038-09-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-59                                                   | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792284 | PA      | $776663.98    | 0.02%             | 2035-11-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles CLO IX Ltd                                                              | CUSIP: 894932AC6<br>LEI: 254900TP9ZGKPKCMHR24 | Long             | ABS-CBDO         | CORP              | KY        |   4970000 | PA      | $4981185.98   | 0.10%             | 2039-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2021-8 LTD                                                        | CUSIP: 143120AS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7530156.00   | 0.16%             | 2038-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-I Ltd                                                          | CUSIP: 12572VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249742.95    | 0.01%             | 2038-04-23      | Floating      | 5.01%                 | 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      | $3069054.95   | 0.06%             | 2063-10-25      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367715 | PA      | $188734.95    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2025-NQM5                                        | CUSIP: 10569RAC6<br>LEI: 254900HGOJX787MBR512 | Long             | ABS-MBS          | CORP              | US        |   3567953 | PA      | $3596941.10   | 0.07%             | 2065-02-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3889455 | PA      | $3908257.56   | 0.08%             | 2058-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2024-25 Ltd                                                  | CUSIP: 117913AG8<br>LEI: 391200WG98O5N39H7C57 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502176.50    | 0.01%             | 2038-01-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2005-16                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1114620 | PA      | $1003510.61   | 0.02%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACJ0<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |    880874 | PA      | $880851.31    | 0.02%             | 2030-07-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QBA3<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000807.10   | 0.02%             | 2036-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 23 Ltd                                                                   | CUSIP: 00119EAN7<br>LEI: 54930001FYWQPYWEPQ30 | Long             | ABS-CBDO         | CORP              | KY        |   4390000 | PA      | $4385098.57   | 0.09%             | 2038-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM3 Trust                                                             | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5147281 | PA      | $5183600.52   | 0.11%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM2                                           | CUSIP: 066930AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31984109 | PA      | $840603.16    | 0.02%             | 2065-05-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397000 | PA      | $396758.58    | 0.01%             | 2039-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                 | USD/EUR FORWARD                                                                  | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $20862.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CFK Trust                                    | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62647750 | PA      | $453225.15    | 0.01%             | 2039-01-15      | Variable      | 0.23%                 | 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        |    354210 | PA      | $344350.84    | 0.01%             | 2037-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                    | BPR Trust 2024-PMDW                                                              | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $654867.58    | 0.01%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBJ1<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   6670000 | PA      | $6687622.81   | 0.14%             | 2038-10-27      | Floating      | 5.20%                 | 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        |    194898 | PA      | $173403.11    | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | 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-O            | CORP              | US        |    194441 | PA      | $48956.67     | 0.00%             | 2036-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2025-NQM5                                    | CUSIP: 64832GAC8<br>LEI: 213800USJ6KQFZEWGZ76 | Long             | ABS-MBS          | CORP              | US        |   4065480 | PA      | $4077223.83   | 0.08%             | 2065-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus               | WHARF Commercial Mortgage Trust 2025-DC                                          | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4020000 | PA      | $4130899.74   | 0.09%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust               | BRES Commercial Mortgage Trust 2025-ATCAP                                        | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2058000 | PA      | $2067399.50   | 0.04%             | 2042-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2815000 | PA      | $2826498.15   | 0.06%             | 2037-10-21      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368647 | PA      | $149028.73    | 0.00%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 23 Ltd                                         | CUSIP: 38139KAG4<br>LEI: 254900TP00US14X9AP48 | Long             | ABS-CBDO         | CORP              | KY        |   2470000 | PA      | $2477668.86   | 0.05%             | 2039-01-20      | Floating      | 5.48%                 | 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        |   2446957 | PA      | $2263580.68   | 0.05%             | 2046-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003939.40   | 0.04%             | 2037-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                       | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127000 | PA      | $1038581.89   | 0.02%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4205965 | PA      | $678941.22    | 0.01%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38379RHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2502892 | PA      | $69392.93     | 0.00%             | 2057-08-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                          | Owl Rock CLO VII LLC                                                             | CUSIP: 69121BAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    460000 | PA      | $459200.66    | 0.01%             | 2038-04-20      | Floating      | 5.28%                 | 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      | $2452852.15   | 0.05%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust               | BOCA Commercial Mortgage Trust 2025-BOCA                                         | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4620000 | PA      | $4625769.92   | 0.10%             | 2042-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4333000 | PA      | $4335738.02   | 0.09%             | 2068-03-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei               | Securitized Asset Backed Receivables LLC Trust 2007-BR1                          | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1964767 | PA      | $794259.99    | 0.02%             | 2037-02-25      | Floating      | 4.39%                 | 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        |    120660 | PA      | $114397.18    | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 18 Ltd                                                                   | CUSIP: 48251JAS2<br>LEI: 54930088PYF0FHKY5C94 | Long             | ABS-CBDO         | CORP              | KY        |   4980000 | PA      | $4956248.39   | 0.10%             | 2035-10-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-6                                                | CUSIP: 92538MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169000 | PA      | $136382.88    | 0.00%             | 2066-10-25      | Variable      | 4.05%                 | 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        |   1115453 | PA      | $1054814.16   | 0.02%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2022-3 Ltd                                                     | CUSIP: 69690ABC0<br>LEI: 5493000CAZ8VWJGUOH13 | Long             | ABS-CBDO         | CORP              | JE        |    450000 | PA      | $449653.19    | 0.01%             | 2037-07-20      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| First NLC Trust                              | First NLC Trust 2007-1                                                           | CUSIP: 32115BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693532 | PA      | $349006.29    | 0.01%             | 2037-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO I Ltd                      | Bridge Street CLO II Ltd                                                         | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 0.01%             | 2034-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO 43 Ltd                                                              | CUSIP: 87170BAA4<br>LEI: 254900QCSPTCYRSY3N68 | Long             | ABS-CBDO         | CORP              | KY        |    930000 | PA      | $933210.92    | 0.02%             | 2037-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3695000 | PA      | $3699589.93   | 0.08%             | 2037-05-15      | Floating      | 5.29%                 | 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-O            | CORP              | US        |   5449539 | PA      | $178492.03    | 0.00%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2021-2 Ltd                                                              | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    615000 | PA      | $614813.84    | 0.01%             | 2038-04-20      | Floating      | 5.05%                 | 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        |   5572409 | PA      | $5057197.85   | 0.10%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                           | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1704532.37   | 0.04%             | 2037-07-17      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336671 | PA      | $146331.47    | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                          | Owl Rock CLO XVIII LLC                                                           | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |   2990000 | PA      | $2982951.97   | 0.06%             | 2036-07-24      | Floating      | 5.57%                 | 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        |    301241 | PA      | $301241.29    | 0.01%             | 2031-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2566110 | PA      | $2610607.40   | 0.05%             | 2054-04-25      | Variable      | 10.74%                | 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        |     57387 | PA      | $66272.67     | 0.00%             | 2034-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2019-1 Ltd                                                    | CUSIP: 77342MAY2<br>LEI: 549300GGUAM1ZV2SKK63 | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1259601.46   | 0.03%             | 2034-04-20      | Floating      | 4.98%                 | 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        |   9276450 | PA      | $390273.24    | 0.01%             | 2052-06-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | Trestles CLO VI Ltd                                                              | CUSIP: 894940AQ8<br>LEI: 254900837GHK5VH7YU15 | Long             | ABS-CBDO         | CORP              | KY        |   2150000 | PA      | $2149090.55   | 0.04%             | 2038-04-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL CLO 37 Ltd                                                                   | CUSIP: 00121MAA3<br>LEI: 254900AZNZG3U1TNSN78 | Long             | ABS-CBDO         | CORP              | KY        |    460000 | PA      | $460927.50    | 0.01%             | 2038-04-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2022-INV3 Trust                                                              | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112131 | PA      | $1934036.75   | 0.04%             | 2066-12-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2021-2 Ltd                                                              | CUSIP: 92919AAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $812102.76    | 0.02%             | 2038-04-20      | Floating      | 5.43%                 | 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      | $1507383.43   | 0.03%             | 2065-05-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Barrow Hanley CLO LTD                        | Barrow Hanley CLO II Ltd                                                         | CUSIP: 06875RAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2305750.92   | 0.05%             | 2038-03-31      | Floating      | 5.19%                 | 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        |    112532 | PA      | $116792.53    | 0.00%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | Sofi Professional Loan Program 2018-D Trust                                      | CUSIP: 83401AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97105.79     | 0.00%             | 2048-02-25      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock Clo 29 Ltd                                                             | CUSIP: 05876GAA2<br>LEI: 254900DD7OSYIC2KWA70 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250839.90    | 0.01%             | 2038-07-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555022 | PA      | $145028.26    | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | 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        |     13002 | PA      | $12011.07     | 0.00%             | 2036-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XVIII Ltd                                                           | CUSIP: 89640LAL6<br>LEI: 2549005HDP7QU1IK5W96 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250176.38    | 0.01%             | 2035-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4173000 | PA      | $4193655.52   | 0.09%             | 2037-05-15      | Floating      | 6.94%                 | 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        |    722517 | PA      | $723607.92    | 0.01%             | 2040-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2025-SPOT                                           | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16955114 | PA      | $16965704.18  | 0.35%             | 2040-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                    | LQR Trust 2025-CALI                                                              | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1771000 | PA      | $1770995.40   | 0.04%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2024-VI Ltd                                                        | CUSIP: 70019KAA5<br>LEI: 213800RLFYTJFPXOL592 | Long             | ABS-CBDO         | CORP              | KY        |   1420000 | PA      | $1425511.02   | 0.03%             | 2038-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-IV Ltd                                                         | CUSIP: 12575MAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $541767.53    | 0.01%             | 2038-10-24      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XXIX Ltd                                             | CUSIP: 08186EAL2<br>LEI: 549300DICNUWMUKL3816 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $999526.70    | 0.02%             | 2038-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAE9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2010320.80   | 0.04%             | 2037-04-21      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $411456.54    | 0.01%             | 2035-03-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2024-NQM1                                                                   | CUSIP: 26845DAA3<br>LEI: 254900GTI06L3BTCLG55 | Long             | ABS-MBS          | CORP              | US        |   7215033 | PA      | $7276559.14   | 0.15%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                            | Riserva Clo Ltd                                                                  | CUSIP: 76761RBG3<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |   4610000 | PA      | $4610456.39   | 0.10%             | 2034-01-18      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 21 Ltd                                                                   | CUSIP: 750099AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4140000 | PA      | $4133889.77   | 0.09%             | 2037-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                 | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1287020 | PA      | $1288306.37   | 0.03%             | 2033-04-15      | Floating      | 5.20%                 | 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      | $4449958.59   | 0.09%             | 2036-06-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC                        | Coinstar Funding LLC Series 2017-1                                               | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    518805 | PA      | $592994.12    | 0.01%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO V-B Ltd                                              | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2366000 | PA      | $2373910.48   | 0.05%             | 2037-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                   | Impac Secured Assets Trust 2006-3                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1210979 | PA      | $1119099.10   | 0.02%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                 | Post CLO 2023-1 Ltd                                                              | CUSIP: 73743CAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2258273.70   | 0.05%             | 2038-10-20      | Floating      | 5.56%                 | 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-O            | CORP              | US        |   1230075 | PA      | $1077629.12   | 0.02%             | 2036-12-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2025-P2                                   | CUSIP: 92262XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7711753 | PA      | $7697663.14   | 0.16%             | 2055-10-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 7 LTD                                                           | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |    760000 | PA      | $762709.40    | 0.02%             | 2038-01-15      | Floating      | 5.26%                 | 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      | $1809268.73   | 0.04%             | 2052-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-2                                    | CUSIP: 92259PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1407676 | PA      | $1424545.12   | 0.03%             | 2054-04-25      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| Bank                                         | BANK 2019-BNK22                                                                  | CUSIP: 06540XBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  85561000 | PA      | $504596.00    | 0.01%             | 2062-11-15      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust               | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33973491 | PA      | $1902746.52   | 0.04%             | 2056-12-15      | Variable      | 0.91%                 | 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        |   3606312 | PA      | $3609605.18   | 0.07%             | 2032-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2021-NQM3 Trust                                                             | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $874097.71    | 0.02%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                   | MIRA Trust 2023-MILE                                                             | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978000 | PA      | $2054287.31   | 0.04%             | 2038-06-10      | Fixed         | 6.75%                 | 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-O            | CORP              | US        |   2905879 | PA      | $1366047.77   | 0.03%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307711 | PA      | $247100.82    | 0.01%             | 2051-08-25      | Variable      | 2.90%                 | 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        |   2530000 | PA      | $2314035.15   | 0.05%             | 2052-11-10      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                     | JP Morgan Mortgage Trust 2021-4                                                  | CUSIP: 46652VCB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230783 | PA      | $182163.46    | 0.00%             | 2051-08-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1321733.42   | 0.03%             | 2031-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                             | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426000 | PA      | $1429526.36   | 0.03%             | 2037-05-15      | Floating      | 6.19%                 | 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        |      5550 | PA      | $1930.52      | 0.00%             | 2057-12-25      | Variable      | 0.01%                 | 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      | $4403122.78   | 0.09%             | 2036-06-16      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XXXIX CLO Ltd                                                               | CUSIP: 04015WBN3<br>LEI: 5493005YAOTYJUJV3S58 | Long             | ABS-CBDO         | CORP              | KY        |    330000 | PA      | $331119.26    | 0.01%             | 2037-07-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T               | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2266286 | PA      | $478031.02    | 0.01%             | 2036-10-25      | Variable      | 6.51%                 | 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        |   1013342 | PA      | $984664.11    | 0.02%             | 2039-12-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                               | Barings CLO Ltd 2015-I                                                           | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |    248174 | PA      | $248260.13    | 0.01%             | 2031-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 3 Ltd                                                           | CUSIP: 647550AQ5<br>LEI: 549300CEYMYPINCEX579 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $1433973.11   | 0.03%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1197693 | PA      | $865175.23    | 0.02%             | 2027-08-15      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420900 | PA      | $373356.65    | 0.01%             | 2063-05-25      | Variable      | 2.50%                 | 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        |    141903 | PA      | $141762.90    | 0.00%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1509000 | PA      | $1524839.97   | 0.03%             | 2031-06-16      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Corp Trust 2025-NQM6                               | CUSIP: 362933AA1<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |   6275992 | PA      | $6271564.45   | 0.13%             | 2029-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76869 | PA      | $65901.08     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | 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        |    663650 | PA      | $491399.47    | 0.01%             | 2037-12-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313JAK0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $990057.70    | 0.02%             | 2037-07-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                       | RR 29 LTD                                                                        | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250995.03    | 0.01%             | 2039-07-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-OC1                                                  | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550838 | PA      | $543787.84    | 0.01%             | 2036-03-25      | Floating      | 4.31%                 | 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      | $268349.96    | 0.01%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                        | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAU6<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1453494.94   | 0.03%             | 2038-08-14      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-IV Ltd                                                         | CUSIP: 12575MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4980000 | PA      | $4993952.47   | 0.10%             | 2038-10-24      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST6                                   | CUSIP: 91533QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2154635 | PA      | $2158456.28   | 0.04%             | 2032-10-15      | Fixed         | 4.61%                 | 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      | $405945.54    | 0.01%             | 2035-11-25      | Floating      | 4.58%                 | 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      | $-109652.38   | -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        |   1519859 | PA      | $1519810.07   | 0.03%             | 2061-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei               | Santander Mortgage Asset Receivable Trust 2025-NQM6                              | CUSIP: 80265DAA1<br>LEI: 2549003RXF6LNJ2GP990 | Long             | ABS-MBS          | CORP              | US        |   3713601 | PA      | $3723842.66   | 0.08%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9104040 | PA      | $1975797.99   | 0.04%             | 2038-02-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners Clo 44M Ltd                                               | CUSIP: 38180NAA9<br>LEI: 254900KERZS5XFEN4I27 | Long             | ABS-CBDO         | CORP              | KY        |  11970000 | PA      | $11970460.85  | 0.25%             | 2038-10-21      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789300 | PA      | $720591.99    | 0.01%             | 2063-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO XXV Ltd                                                         | CUSIP: 09627FBA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $491577.31    | 0.01%             | 2038-01-15      | Floating      | 5.25%                 | 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      | $1000306.60   | 0.02%             | 2030-07-15      | Floating      | 5.72%                 | 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      | $2546544.00   | 0.05%             | 2052-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411239 | PA      | $1195334.13   | 0.02%             | 2047-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | TRINITAS CLO IV LTD                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |    119480 | PA      | $119511.38    | 0.00%             | 2031-10-18      | Floating      | 5.55%                 | 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        |    555227 | PA      | $543333.97    | 0.01%             | 2040-12-28      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Arizona Biltmore Trust                       | ARZ Trust 2024-BILT                                                              | CUSIP: 00218TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2710000 | PA      | $2785700.06   | 0.06%             | 2039-06-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXXVII                                                                | CUSIP: 03769HAA5<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |   1780000 | PA      | $1781780.36   | 0.04%             | 2034-10-22      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612000 | PA      | $619012.85    | 0.01%             | 2031-06-16      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                           | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1210000 | PA      | $1214997.78   | 0.03%             | 2037-04-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2021-LBA                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1699723 | PA      | $1697636.42   | 0.04%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   5360000 | PA      | $5375962.62   | 0.11%             | 2037-10-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 4 Ltd                                                         | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $672085.58    | 0.01%             | 2038-01-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                   | AMSR 2021-SFR2 Trust                                                             | CUSIP: 00179VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3756200 | PA      | $3702812.00   | 0.08%             | 2038-08-17      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XVIII Ltd                                            | CUSIP: 08186PAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7130000 | PA      | $7141375.92   | 0.15%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | ARES XLIV CLO Ltd                                                                | CUSIP: 04016NBR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2610000 | PA      | $2617845.14   | 0.05%             | 2034-04-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                        | Toorak Mortgage Trust 2024-2                                                     | CUSIP: 89055KAA0<br>LEI: 254900ZRJRVK75Z6JJ57 | Long             | ABS-MBS          | CORP              | US        |   1635000 | PA      | $1642719.49   | 0.03%             | 2031-10-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE5                            | CUSIP: 07388CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146286 | PA      | $2127665.30   | 0.04%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                    | Nelnet Student Loan Trust 2023-PL1                                               | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372034 | PA      | $1390228.59   | 0.03%             | 2053-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO I, Ltd                          | Owl Rock CLO III Ltd                                                             | CUSIP: 69120DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1110000 | PA      | $1111688.31   | 0.02%             | 2036-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1194000 | PA      | $1207592.62   | 0.03%             | 2031-06-16      | Fixed         | 9.28%                 | 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        |    382841 | PA      | $332980.49    | 0.01%             | 2046-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10176722 | PA      | $9887497.75   | 0.20%             | 2063-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2025-IV Ltd                                                         | CUSIP: 12575MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    540000 | PA      | $541732.27    | 0.01%             | 2038-10-24      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250904.05    | 0.01%             | 2037-10-20      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust               | Carrington Mortgage Loan Trust Series 2007-FRE1                                  | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3525515 | PA      | $3431890.69   | 0.07%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-660F                                         | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    774000 | PA      | $777868.84    | 0.02%             | 2042-11-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2020-20 Ltd                                                              | CUSIP: 670859AQ0<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |    370000 | PA      | $371067.19    | 0.01%             | 2037-04-18      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2020-1                                           | CUSIP: 76119CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622000 | PA      | $581807.98    | 0.01%             | 2060-01-26      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                      | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5140877 | PA      | $5111633.40   | 0.11%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solu               | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9414651 | PA      | $9535789.71   | 0.20%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    456000 | PA      | $461580.12    | 0.01%             | 2038-06-16      | Fixed         | 13.31%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5593000 | PA      | $5600476.72   | 0.12%             | 2041-11-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| SPLT_24-1                                    | SPLT_24-1                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135500 | PA      | $2310846.81   | 0.05%             | 2031-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11123000 | PA      | $11167080.45  | 0.23%             | 2038-09-10      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2025-1                                             | CUSIP: 81880NAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    779952 | PA      | $779928.45    | 0.02%             | 2065-12-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                           | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250251.13    | 0.01%             | 2037-04-18      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor               | Banc of America Funding Corp                                                     | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   1987518 | PA      | $1704212.93   | 0.04%             | 2036-03-27      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                  | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $3367589.18   | 0.07%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                 | Post CLO 2023-1 Ltd                                                              | CUSIP: 73743CAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $2025545.91   | 0.04%             | 2038-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos Loan Fund 2024-1 Ltd                                                      | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    150000 | PA      | $150372.99    | 0.00%             | 2038-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co               | Structured Asset Securities Corp                                                 | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572870 | PA      | $492269.32    | 0.01%             | 2035-06-25      | Floating      | 4.20%                 | 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        |    385910 | PA      | $255086.34    | 0.01%             | 2036-08-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST8                                   | CUSIP: 91535UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9433000 | PA      | $9452676.29   | 0.20%             | 2033-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi               | CWABS Asset-Backed Certificates Trust 2006-22                                    | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472304 | PA      | $466037.06    | 0.01%             | 2047-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                                | AGL CLO 6 LTD                                                                    | CUSIP: 00119VAY5<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |   4540000 | PA      | $4553620.00   | 0.09%             | 2038-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3779253 | PA      | $2034667.58   | 0.04%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR3 Trust | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2560267 | PA      | $2299344.40   | 0.05%             | 2046-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| KSLCMT_25-MAK                                | KSLCMT_25-MAK                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5699000 | PA      | $5692694.06   | 0.12%             | 2042-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2025-X LTD                                                         | CUSIP: 70019YAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1260000 | PA      | $1260000.00   | 0.03%             | 2039-01-20      | Floating      | 6.57%                 | 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        |   3102000 | PA      | $3108678.61   | 0.06%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                          | Sound Point CLO IX Ltd                                                           | CUSIP: 83609GBQ7<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2512548.50   | 0.05%             | 2032-07-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG Commercial Mortgage Trust 2025-FLWR                                          | CUSIP: 78438AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249000 | PA      | $249617.82    | 0.01%             | 2042-08-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2020-B21 Mortgage Trust                                                | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769000 | PA      | $680297.08    | 0.01%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2023-SHIP                                      | CUSIP: 36270GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002097.60   | 0.02%             | 2038-09-10      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                          | SG Residential Mortgage Trust 2025-1                                             | CUSIP: 81880NAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1258504 | PA      | $1258501.99   | 0.03%             | 2065-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock Clo 32 Ltd                                                             | CUSIP: 058944AA7<br>LEI: 254900RL3S1UBVHQYH63 | Long             | ABS-CBDO         | CORP              | KY        |   2020000 | PA      | $2023024.75   | 0.04%             | 2039-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| LMRE 2025-SFR1 Trust Issuing E               | LMRE 2025 SFR1 Trust                                                             | CUSIP: 50208WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3010000 | PA      | $2937123.59   | 0.06%             | 2042-12-17      | Fixed         | 4.50%                 | 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        |    271011 | PA      | $246709.34    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | 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        |  18278146 | PA      | $47808.32     | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1330160 | PA      | $1354754.18   | 0.03%             | 2032-03-15      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| Orion CLO Ltd.                               | Orion Clo 2023-1 Ltd                                                             | CUSIP: 68626CAJ3<br>LEI: 2138006D8Y42BDBTP628 | Long             | ABS-CBDO         | CORP              | JE        |  11060000 | PA      | $11077571.02  | 0.23%             | 2038-10-25      | Floating      | 5.13%                 | 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        |   2257465 | PA      | $2025361.10   | 0.04%             | 2037-12-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T               | EFMT 2025-INV3                                                                   | CUSIP: 26847NAA9<br>LEI: 254900C1B6ZW3SK54M36 | Long             | ABS-MBS          | CORP              | US        |   4910312 | PA      | $4953139.00   | 0.10%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust                | Alen 2021-ACEN Mortgage Trust                                                    | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    644000 | PA      | $613211.45    | 0.01%             | 2034-04-15      | Floating      | 5.02%                 | 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        |    492926 | PA      | $480946.34    | 0.01%             | 2039-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950000 | PA      | $1956063.33   | 0.04%             | 2037-01-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers                | Retained Vantage Data Centers Issuer LLC                                         | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   6258000 | PA      | $6200317.51   | 0.13%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                    | College Ave Student Loans Trust 2024-A                                           | CUSIP: 19424RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5243267 | PA      | $5318190.85   | 0.11%             | 2054-06-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38379U6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9389569 | PA      | $279753.76    | 0.01%             | 2056-12-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-660F                                         | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3896000 | PA      | $3906953.99   | 0.08%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                  | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33570000 | PA      | $32482.33     | 0.00%             | 2039-06-10      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                | BLP Commercial Mortgage Trust 2024-IND2                                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2546838 | PA      | $2548406.14   | 0.05%             | 2041-03-15      | Floating      | 5.09%                 | 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      | $303443.72    | 0.01%             | 2053-03-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XLI Clo Ltd                                                                 | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   1430000 | PA      | $1432399.97   | 0.03%             | 2034-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2025-6                                                | CUSIP: 92540YAA7<br>LEI: 213800KZO2G8SSFFDH61 | Long             | ABS-MBS          | CORP              | US        |   8543034 | PA      | $8614772.30   | 0.18%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2024-11                                                 | CUSIP: 03463QAA4<br>LEI: 2549009VFCBSE99NTJ29 | Long             | ABS-MBS          | CORP              | US        |   2325223 | PA      | $2346280.02   | 0.05%             | 2069-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2283700 | PA      | $1891091.78   | 0.04%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital CLO 10 Ltd                                                      | CUSIP: 25290BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3920000 | PA      | $3932088.10   | 0.08%             | 2038-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                  | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695965 | PA      | $647850.77    | 0.01%             | 2059-02-25      | Variable      | 4.25%                 | 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        |   2359474 | PA      | $2127916.75   | 0.04%             | 2034-06-25      | Floating      | 4.25%                 | 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      | $1990096.60   | 0.04%             | 2038-03-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a               | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1793261 | PA      | $1512243.79   | 0.03%             | 2036-10-25      | Variable      | 6.75%                 | 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        |    875012 | PA      | $866736.88    | 0.02%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Dwight 2025-FL1 Issuer LLC                   | Dwight 2025-FL1 Issuer LLC                                                       | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4725000 | PA      | $4734315.81   | 0.10%             | 2042-06-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                    | LQR Trust 2025-CALI                                                              | CUSIP: 50216WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5078000 | PA      | $5077972.58   | 0.11%             | 2043-01-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1730908 | PA      | $544306.14    | 0.01%             | 2036-11-25      | Floating      | 3.73%                 | 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        |  91390728 | PA      | $284554.17    | 0.01%             | 2032-02-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust | CUSIP: 939355AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499059 | PA      | $441177.95    | 0.01%             | 2047-04-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2021-NQM8                                                                   | CUSIP: 12659FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589750 | PA      | $454713.94    | 0.01%             | 2066-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-1                                           | CUSIP: 170255AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203570 | PA      | $87550.19     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                            | 720 East CLO V Ltd                                                               | CUSIP: 81789MAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004442.10   | 0.02%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus               | Residential Mortgage Loan Trust 2019-2                                           | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656000 | PA      | $651613.92    | 0.01%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3544100 | PA      | $3537512.94   | 0.07%             | 2038-10-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2019-VI Ltd                                                         | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4080000 | PA      | $4093496.64   | 0.08%             | 2037-07-16      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780663 | PA      | $725109.15    | 0.02%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2021-11 LTD                                                       | CUSIP: 143122AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501747.50    | 0.01%             | 2037-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                        | One Bryant Park Trust 2019-OBP                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1930000 | PA      | $1791474.25   | 0.04%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point Clo 3 Ltd                                                           | CUSIP: 827925AL2<br>LEI: 5493000HU7LKTSD3BK48 | Long             | ABS-CBDO         | CORP              | JE        |   1030000 | PA      | $1032382.08   | 0.02%             | 2039-01-18      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552530 | PA      | $441401.04    | 0.01%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939000 | PA      | $854023.50    | 0.02%             | 2034-11-15      | Floating      | 10.95%                | 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        |    766220 | PA      | $764161.58    | 0.02%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE1 Trust         | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194998 | PA      | $61079.55     | 0.00%             | 2036-11-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr               | SoFi Professional Loan Program 2020-ATrust                                       | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226000 | PA      | $202967.98    | 0.00%             | 2046-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-C                                                  | CUSIP: 009926AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    368400 | PA      | $324739.85    | 0.01%             | 2063-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC       | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $5309.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | VCC 2025-MC1 Trust                                                               | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2339766 | PA      | $2328370.16   | 0.05%             | 2055-05-25      | Variable      | 8.16%                 | 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        |    979900 | PA      | $435147.96    | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                           | 1301 Trust 2025-AOA                                                              | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1771575.23   | 0.04%             | 2042-08-11      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1068000 | PA      | $752708.24    | 0.02%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982283 | PA      | $479821.02    | 0.01%             | 2035-06-25      | Variable      | 6.00%                 | 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      | $312357.47    | 0.01%             | 2054-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                         | SCG 2024-MSP Mortgage Trust                                                      | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8372000 | PA      | $8371999.16   | 0.17%             | 2041-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAU6<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502136.60    | 0.01%             | 2037-10-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Golub Capital Private Credit F               | Golub Capital Private Credit Fund CLO 2                                          | CUSIP: 38181WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9570000 | PA      | $9571005.81   | 0.20%             | 2039-10-18      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Sand Trust                                   | Sandstone Peak II Ltd                                                            | CUSIP: 80013TAL7<br>LEI: 254900ZRRTOYR8JJD593 | Long             | ABS-CBDO         | CORP              | KY        |   3050000 | PA      | $3062087.46   | 0.06%             | 2038-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                       | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1310609 | PA      | $350922.08    | 0.01%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2007000 | PA      | $2009474.03   | 0.04%             | 2041-06-15      | Floating      | 6.34%                 | 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        |     63422 | PA      | $62439.40     | 0.00%             | 2036-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                         | ACRA Trust 2024-NQM1                                                             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6715963 | PA      | $6745059.23   | 0.14%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                    | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2104625 | PA      | $1952531.41   | 0.04%             | 2046-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                           | Whitebox Clo V Ltd                                                               | CUSIP: 96467PAE8<br>LEI: 254900XFXCOZ882U2O02 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002942.20   | 0.02%             | 2038-07-20      | Floating      | 5.95%                 | 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-O            | CORP              | US        |   1389493 | PA      | $1145234.46   | 0.02%             | 2037-01-25      | Floating      | 4.45%                 | 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      | $2934178.31   | 0.06%             | 2037-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                 | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2125000 | PA      | $2117489.19   | 0.04%             | 2041-11-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2678181 | PA      | $957809.97    | 0.02%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Thayer Park CLO, Ltd.                        | Thayer Park CLO Ltd                                                              | CUSIP: 883310AW4<br>LEI: 5493000PRLDBEVKBE571 | Long             | ABS-CBDO         | CORP              | KY        |   2830000 | PA      | $2826341.38   | 0.06%             | 2034-04-20      | Floating      | 4.87%                 | 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        |   1000000 | PA      | $948863.70    | 0.02%             | 2050-09-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXXIX Ltd                                                             | CUSIP: 03766HAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   9880000 | PA      | $9899002.20   | 0.20%             | 2038-10-21      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners Clo XXXVII Ltd                                           | CUSIP: 08182TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3470000 | PA      | $3481509.99   | 0.07%             | 2038-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | Carlyle US CLO 2025-6 LTD                                                        | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2750000 | PA      | $2749921.35   | 0.06%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2019-B12 Mortgage Trust                                                | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33188593 | PA      | $824487.62    | 0.02%             | 2052-08-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H8 Mortgage Trust                                                     | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4630048 | PA      | $4640103.89   | 0.10%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T               | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                             | CUSIP: 12668FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102208 | PA      | $99164.22     | 0.00%             | 2037-01-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630346 | PA      | $342156.97    | 0.01%             | 2060-12-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $390730.94    | 0.01%             | 2038-01-19      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                          | GSAT Trust 2025-BMF                                                              | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1691000 | PA      | $1693113.24   | 0.04%             | 2040-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 66B Ltd                                               | CUSIP: 38181AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    290000 | PA      | $290982.81    | 0.01%             | 2038-07-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                         | Diameter Capital Clo 2 Ltd                                                       | CUSIP: 25255LAS1<br>LEI: 2549008BUJNKS7JJUU65 | Long             | ABS-CBDO         | CORP              | KY        |   9990000 | PA      | $10027571.39  | 0.21%             | 2037-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                | CIP Commercial Mortgage Trust 2025-SBAY                                          | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5990000 | PA      | $5999265.93   | 0.12%             | 2037-10-15      | Floating      | 7.50%                 | 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        |   1859406 | PA      | $1807854.29   | 0.04%             | 2059-02-25      | Variable      | 3.38%                 | 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      | $7611222.99   | 0.16%             | 2062-04-20      | Fixed         | 4.75%                 | 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        |   1430374 | PA      | $1303749.73   | 0.03%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    828790 | PA      | $802071.69    | 0.02%             | 2035-03-25      | Floating      | 4.21%                 | 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        |   1630236 | PA      | $580613.73    | 0.01%             | 2046-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares XLI Clo Ltd                                                                 | CUSIP: 04016DAU9<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   2840000 | PA      | $2844118.28   | 0.06%             | 2034-04-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1857016 | PA      | $1733019.41   | 0.04%             | 2050-02-25      | Variable      | 2.61%                 | 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      | $1051533.57   | 0.02%             | 2049-12-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                   | AMSR 2021-SFR1 Trust                                                             | CUSIP: 00179DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2872000 | PA      | $2758868.19   | 0.06%             | 2038-06-17      | Fixed         | 3.60%                 | 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        |   7637315 | PA      | $249669.95    | 0.01%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2023-NQM4 Trust                                                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3371794 | PA      | $3220179.49   | 0.07%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2019-3                                    | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466285 | PA      | $395583.88    | 0.01%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo               | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489344 | PA      | $241639.04    | 0.01%             | 2037-09-25      | Floating      | 4.17%                 | 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      | $342473.95    | 0.01%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | Cifc Funding 2014-IV-R Ltd                                                       | CUSIP: 12552FBC6<br>LEI: 5493006JGTCIL6LCS728 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998978.40    | 0.02%             | 2035-01-17      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDN1<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |   1360000 | PA      | $1363390.48   | 0.03%             | 2038-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In               | RALI Series 2007-QH3 Trust                                                       | CUSIP: 74922WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4253266 | PA      | $4200253.79   | 0.09%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2016-12 Ltd                                                              | CUSIP: 67092RAY4<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2509080.00   | 0.05%             | 2037-10-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock CLO 15 Ltd                                                             | CUSIP: 05875TAJ6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |   4600000 | PA      | $4617153.40   | 0.10%             | 2038-01-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue CLO 2025-X LTD                                                         | CUSIP: 70019YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5840000 | PA      | $5840000.00   | 0.12%             | 2039-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO Ltd                        | Kennedy Lewis CLO 20 Ltd                                                         | CUSIP: 370912AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1930000 | PA      | $1936541.16   | 0.04%             | 2038-01-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                          | Affirm Master Trust                                                              | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11446000 | PA      | $11559884.27  | 0.24%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXIX Ltd                                                            | CUSIP: 89643BAA9<br>LEI: 2549000HOL90CNMWDO78 | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $441518.00    | 0.01%             | 2037-07-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU 2019-1 Ltd                     | Trimaran CAVU 2023-1 Ltd                                                         | CUSIP: 89624WAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1850000 | PA      | $1854116.44   | 0.04%             | 2038-03-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                        | Terwin Mortgage Trust Series TMTS 2005-10HE                                      | CUSIP: 881561VF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257014 | PA      | $239943.47    | 0.00%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 76 CLO Ltd                                                                | CUSIP: 26252WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    870000 | PA      | $873245.54    | 0.02%             | 2037-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5066408 | PA      | $5061880.85   | 0.10%             | 2057-08-25      | Variable      | 5.33%                 | 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        |    122656 | PA      | $122336.10    | 0.00%             | 2037-10-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3912 | PA      | $1847.59      | 0.00%             | 2060-12-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                   | NCMF Trust 2025-MFS                                                              | CUSIP: 62887TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9942000 | PA      | $10121438.19  | 0.21%             | 2033-06-10      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru               | THPT 2023-THL Mortgage Trust                                                     | CUSIP: 87252LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112531 | PA      | $1126419.51   | 0.02%             | 2034-12-10      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM2 Trust                                                             | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11487582 | PA      | $11576010.86  | 0.24%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                               | Romark CLO Ltd                                                                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90081 | PA      | $90121.49     | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor               | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3                         | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12130228 | PA      | $12215418.33  | 0.25%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2025-NQM2                                        | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |   5483657 | PA      | $5536799.25   | 0.11%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $786586.70    | 0.02%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2025-1                                                  | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2340764 | PA      | $2368823.41   | 0.05%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUS               | Stream Innovations 2025-1 Issuer Trust                                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2786270 | PA      | $2813433.71   | 0.06%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                          | Cali 2024-Sun                                                                    | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2390000 | PA      | $2392952.61   | 0.05%             | 2041-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2014-II-R Ltd                                                       | CUSIP: 12548RAH7<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10030010.00  | 0.21%             | 2037-10-24      | Floating      | 5.23%                 | 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        |   5260000 | PA      | $4979091.28   | 0.10%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2018-2 Ltd                                                              | CUSIP: 92917JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     59004 | PA      | $59032.50     | 0.00%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XL-R Ltd                                                    | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2340000 | PA      | $2346084.00   | 0.05%             | 2038-10-16      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2025-3 Ltd                                            | CUSIP: 696918AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    440000 | PA      | $441174.36    | 0.01%             | 2034-01-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos Clo LV                                                                    | CUSIP: 03771VAA0<br>LEI: 254900Z4DQDC7AU0J989 | Long             | ABS-CBDO         | CORP              | KY        |   3670000 | PA      | $3672238.70   | 0.08%             | 2039-01-20      | Floating      | 4.93%                 | No            |                  3 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338000 | PA      | $286863.98    | 0.01%             | 2033-03-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | Csmc 2022-Nqm1 Trust                                                             | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4139194 | PA      | $3794238.64   | 0.08%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| AB Bsl CLO 1 Ltd                             | AB BSL CLO 3 Ltd                                                                 | CUSIP: 00037QAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2080000 | PA      | $2084995.12   | 0.04%             | 2038-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO, Ltd.                       | Milford Park CLO Ltd                                                             | CUSIP: 59966PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2680000 | PA      | $2678608.54   | 0.06%             | 2038-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| LendingClub Rated Notes Issuer               | LendingClub Rated Notes Issuer Trust Series 2025-P1                              | CUSIP: 525943106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158000 | PA      | $433124.93    | 0.01%             | 2040-07-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4072000 | PA      | $4184598.94   | 0.09%             | 2032-08-20      | Fixed         | 9.49%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Trust 2025-EWEST                                                            | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8457000 | PA      | $8456986.47   | 0.18%             | 2042-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                       | CSTL Commercial Mortgage Trust 2025-GATE2                                        | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $558228.61    | 0.01%             | 2042-11-10      | Variable      | 4.56%                 | 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        |   1666095 | PA      | $1609213.32   | 0.03%             | 2042-07-28      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                  | DBC 2025-DBC Mortgage Trust                                                      | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5014000 | PA      | $5017872.31   | 0.10%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt               | Benefit Street Partners CLO XII-B Ltd                                            | CUSIP: 081917AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1870000 | PA      | $1876604.84   | 0.04%             | 2037-10-15      | Floating      | 5.27%                 | 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      | $4880019.50   | 0.10%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                          | LCM 29 Ltd                                                                       | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    996506 | PA      | $996678.30    | 0.02%             | 2031-04-15      | Floating      | 5.24%                 | 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        |   5147250 | PA      | $4893594.10   | 0.10%             | 2036-08-25      | Floating      | 3.80%                 | 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        |   1851219 | PA      | $844039.59    | 0.02%             | 2037-08-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $731369.55    | 0.02%             | 2038-01-19      | Floating      | 5.48%                 | 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-O            | CORP              | US        |   2221795 | PA      | $1713204.16   | 0.04%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust               | ONNI Commerical Mortgage Trust 2024-APT                                          | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952000 | PA      | $970169.49    | 0.02%             | 2039-07-15      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3234789 | PA      | $1791151.04   | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | 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      | $1235031.38   | 0.03%             | 2034-10-15      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2225517 | PA      | $2233509.28   | 0.05%             | 2037-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1794000 | PA      | $1847097.02   | 0.04%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                     | SoFi Personal Loan Trust 2023-1                                                  | CUSIP: 78474N102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43129 | PA      | $885794.18    | 0.02%             | 2030-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2024-NSTB                                         | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2162707 | PA      | $2134473.03   | 0.04%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trus               | Republic Finance Issuance Trust 2024-A                                           | CUSIP: 76041RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4430000 | PA      | $4527081.24   | 0.09%             | 2032-08-20      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                             | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6793000 | PA      | $6811914.43   | 0.14%             | 2041-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2025-27 Ltd                                                  | CUSIP: 11766GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2070000 | PA      | $2073170.41   | 0.04%             | 2039-01-22      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6301248 | PA      | $6293371.44   | 0.13%             | 2042-03-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park Funding 2023-19 Ltd                                                  | CUSIP: 11765AAQ2<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |    720000 | PA      | $719976.60    | 0.01%             | 2038-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |   5090000 | PA      | $5106734.39   | 0.11%             | 2037-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S               | Homes 2024-Nqm2 Trust                                                            | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |   3012116 | PA      | $3037784.57   | 0.06%             | 2069-10-25      | Variable      | 5.72%                 | 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      | $27531.71     | 0.00%             |  |  |  | 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        |   1026863 | PA      | $870308.72    | 0.02%             | 2050-07-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US                | GoldenTree Loan Management US CLO 16 Ltd                                         | CUSIP: 38090AAQ1<br>LEI: 549300KYU0TCMXRAI217 | Long             | ABS-CBDO         | CORP              | JE        |   2690000 | PA      | $2687586.53   | 0.06%             | 2038-01-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Summer Issuer, LLC                           | Summit Issuer LLC                                                                | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5682000 | PA      | $5694279.37   | 0.12%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LXVII Ltd                                                   | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4230000 | PA      | $4240794.11   | 0.09%             | 2037-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S               | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781000 | PA      | $703552.21    | 0.01%             | 2037-03-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924758 | PA      | $860892.52    | 0.02%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue Clo 2025-IX Ltd                                                        | CUSIP: 70019UAA3<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |   6250000 | PA      | $6268184.38   | 0.13%             | 2038-10-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Trust 2020-EYP                                                              | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353000 | PA      | $16871.91     | 0.00%             | 2035-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                              | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2668660.96   | 0.06%             | 2037-07-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2742000 | PA      | $2678280.58   | 0.06%             | 2067-07-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru               | OneMain Financial Issuance Trust 2023-2                                          | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1781948.38   | 0.04%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                               | Pikes Peak Clo 15 2023 Ltd                                                       | CUSIP: 720922AL7<br>LEI: 213800Z4RS2ZM3411T95 | Long             | ABS-CBDO         | CORP              | JE        |   1040000 | PA      | $1041582.36   | 0.02%             | 2038-10-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                     | Neuberger Berman Loan Advisers CLO 46 Ltd                                        | CUSIP: 64134QAL1<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |   1220000 | PA      | $1222001.04   | 0.03%             | 2037-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                        | Western Alliance Bank                                                            | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   3498646 | PA      | $3651049.04   | 0.08%             | 2059-07-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                      | Bryant Park 2025-27 CLO Ltd                                                      | CUSIP: 11765EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1910000 | PA      | $1916175.60   | 0.04%             | 2038-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4920000 | PA      | $4937051.24   | 0.10%             | 2037-10-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1336527 | PA      | $1504962.88   | 0.03%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2025-12                                               | CUSIP: 92490FAE0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |   2915497 | PA      | $2922460.26   | 0.06%             | 2070-12-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 23 Ltd                                                                   | CUSIP: 75009CAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1090000 | PA      | $1094849.63   | 0.02%             | 2037-04-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Upland CLO Ltd                               | Upland CLO Ltd                                                                   | CUSIP: 915328AW8<br>LEI: 54930052JF7HYEE5CO91 | Long             | ABS-CBDO         | CORP              | KY        |   2340000 | PA      | $2341215.40   | 0.05%             | 2031-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                        | Wildwood Park CLO Ltd                                                            | CUSIP: 96820DAA5<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $252437.30    | 0.01%             | 2037-10-20      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2025-45 Ltd                                                              | CUSIP: 67126BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1240000 | PA      | $1242033.48   | 0.03%             | 2038-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners 48 LP                                                     | CUSIP: 38177DAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1906261.07   | 0.04%             | 2038-04-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3894022 | PA      | $3833702.23   | 0.08%             | 2066-07-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2024-CES2                                        | CUSIP: 10570PAA1<br>LEI: 2549009UFWL9U1TS6959 | Long             | ABS-MBS          | CORP              | US        |   1287018 | PA      | $1294589.60   | 0.03%             | 2054-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5708779 | PA      | $5705797.73   | 0.12%             | 2061-06-25      | Variable      | 4.88%                 | 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        |   1527797 | PA      | $1492887.81   | 0.03%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 225914AE0<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    960000 | PA      | $961833.31    | 0.02%             | 2038-01-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                          | BHMS Commercial Mortgage Trust 2025-ATLS                                         | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8165000 | PA      | $8195690.60   | 0.17%             | 2042-08-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                             | Symphony CLO XVI Ltd                                                             | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |    615454 | PA      | $615874.90    | 0.01%             | 2031-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2025-ATRM                                           | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4960000 | PA      | $4952293.65   | 0.10%             | 2042-08-15      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 12 Ltd                                                           | CUSIP: 82671XAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    980000 | PA      | $983363.36    | 0.02%             | 2037-07-18      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2025-INV1                                   | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5524986 | PA      | $5536304.45   | 0.11%             | 2060-11-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORP                         | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |     57743 | PA      | $75065.38     | 0.00%             | N/A             | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                     | OZLM XIX Ltd                                                                     | CUSIP: 67112CBE6<br>LEI: 5493009C40QUU66J8E83 | Long             | ABS-CBDO         | CORP              | KY        |   3540000 | PA      | $3541622.38   | 0.07%             | 2035-01-15      | Floating      | 5.25%                 | No            |                  2 | 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      | $597038.34    | 0.01%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AGL CLO 1 Ltd.                               | AGL Core CLO 36 Ltd                                                              | CUSIP: 00121WAE3<br>LEI: 2549000U240BORO02Z85 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752057.85    | 0.02%             | 2038-01-23      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2021-21 Ltd                                                              | CUSIP: 671000AL1<br>LEI: 2549000M7NBNQ7XU2038 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1499400.00   | 0.03%             | 2038-01-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3454000 | PA      | $3454306.02   | 0.07%             | 2042-02-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                     | Mill City Mortgage Loan Trust 2023-NQM1                                          | CUSIP: 59980DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3454234 | PA      | $3450497.49   | 0.07%             | 2067-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora               | Chase Mortgage Finance Corp                                                      | CUSIP: 16163YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    401172 | PA      | $365877.96    | 0.01%             | 2045-04-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                  | ELM Trust 2024-ELM                                                               | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4157000 | PA      | $4168814.19   | 0.09%             | 2039-06-10      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2020-1 Ltd                                                           | CUSIP: 67402FAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    820000 | PA      | $821402.20    | 0.02%             | 2038-01-15      | Floating      | 5.45%                 | 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        |   1594734 | PA      | $899859.89    | 0.02%             | 2036-04-25      | Variable      | 5.83%                 | 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        |   2007318 | PA      | $2082585.30   | 0.04%             | 2061-01-25      | None          | 0.00%                 | 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        |   1504000 | PA      | $1357912.12   | 0.03%             | 2054-10-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act               | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AC3<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |    475299 | PA      | $472659.45    | 0.01%             | 2051-07-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                     | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314287 | PA      | $1286999.28   | 0.03%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                             | Bbam US Clo V Ltd                                                                | CUSIP: 05556BAE2<br>LEI: 213800MKXSA1BGWGVJ66 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2008671.20   | 0.04%             | 2038-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                | LUX 2023-LION                                                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1281135 | PA      | $1293840.14   | 0.03%             | 2040-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM | CML PROJECT SPIDER 6-DEC-2029: CML LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3085473 | PA      | $3084120.11   | 0.06%             | 2029-12-06      | Floating      | 6.93%                 | No            |                  3 | 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      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| CML PROJECT COLD 15-AUGUST-2030:TL LOAN/TERM | CML PROJECT COLD 15-AUGUST-2030:TL LOAN/TERM                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |   4273799 | PA      | $5018145.38   | 0.10%             | 2030-09-11      | Floating      | 5.17%                 | No            |                  3 | On Loan: No      |
| Cascade MH Asset Trust                       | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3940388 | PA      | $3801238.98   | 0.08%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAJ5<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $319192.61    | 0.01%             | 2037-10-22      | Floating      | 6.86%                 | 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      | $1538872.79   | 0.03%             | 2061-10-25      | Fixed         | 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        |    475171 | PA      | $472713.15    | 0.01%             | 2051-07-25      | Floating      | 6.34%                 | 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      | $365132.44    | 0.01%             | 2038-07-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                 | NY Commercial Mortgage Trust 2025-299P                                           | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697000 | PA      | $726226.53    | 0.02%             | 2047-02-10      | Variable      | 5.93%                 | 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      | $2356489.53   | 0.05%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-NQM3 Trust                                                             | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2291000 | PA      | $2276431.53   | 0.05%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| HET_24                                       | HET_24                                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5717275 | PA      | $5971693.28   | 0.12%             | 2054-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    390000 | PA      | $390280.80    | 0.01%             | 2037-04-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                       | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397304 | PA      | $176481.53    | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc               | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389669 | PA      | $1402355.38   | 0.03%             | 2032-11-15      | Variable      | 6.89%                 | 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      | $250315.08    | 0.01%             | 2034-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                           | Elmwood CLO 39 Ltd                                                               | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4494779.10   | 0.09%             | 2038-04-17      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1956639 | PA      | $1399761.36   | 0.03%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                         | Elmwood CLO VIII Ltd                                                             | CUSIP: 290021AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $229272.25    | 0.00%             | 2037-04-20      | Floating      | 11.88%                | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                           | Subway Funding LLC                                                               | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3569940 | PA      | $3645025.83   | 0.08%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                         | Birch Grove CLO 13 Ltd                                                           | CUSIP: 09090QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3070000 | PA      | $3077040.12   | 0.06%             | 2038-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                       | CSTL Commercial Mortgage Trust 2025-GATE2                                        | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2040000 | PA      | $2035386.13   | 0.04%             | 2042-11-10      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2025-NQM4                                    | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |   2382922 | PA      | $2401464.25   | 0.05%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1148166.13   | 0.02%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2021-8                                                | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1644042 | PA      | $1525015.76   | 0.03%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-NQM5 Trust                                                             | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4607514 | PA      | $4618049.15   | 0.10%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                | TYSN 2023-CRNR Mortgage Trust                                                    | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1410624.70   | 0.03%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit               | Bain Capital Credit CLO 2018-2                                                   | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1300460.72   | 0.03%             | 2031-07-19      | Floating      | 5.43%                 | 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        |   1190000 | PA      | $1117496.63   | 0.02%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9276772 | PA      | $8206650.81   | 0.17%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAG5<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500106.05    | 0.01%             | 2031-10-20      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2024-5                                    | CUSIP: 92261AAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505118 | PA      | $503589.79    | 0.01%             | 2054-10-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    881100 | PA      | $865310.25    | 0.02%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | RAD CLO 27 Ltd                                                                   | CUSIP: 749972AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6320000 | PA      | $6343188.08   | 0.13%             | 2038-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                      | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2144000 | PA      | $2150272.92   | 0.04%             | 2037-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                              | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAQ0<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |   4650000 | PA      | $4667849.03   | 0.10%             | 2037-07-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III               | Compass Datacenters Issuer III LLC                                               | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8109000 | PA      | $8157722.12   | 0.17%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite               | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2860000 | PA      | $2862645.79   | 0.06%             | 2034-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Corp Trust 2025-NQM6                               | CUSIP: 362933AG8<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $746977.20    | 0.02%             | 2029-11-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5520000 | PA      | $5554994.59   | 0.12%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006800 | PA      | $992063.77    | 0.02%             | 2064-01-25      | Variable      | 8.65%                 | 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        |    900000 | PA      | $244551.87    | 0.01%             | 2038-07-15      | Floating      | 7.22%                 | 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        |    993797 | PA      | $976674.11    | 0.02%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Lyra MUSIC Assets (Delaware) L               | Lyra Music Assets Delaware LP                                                    | CUSIP: 552339AD5<br>LEI: 9845007N9EAB0C048A12 | Long             | ABS-O            | CORP              | US        |   2073680 | PA      | $2090961.05   | 0.04%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2025-INV1                                   | CUSIP: 24382EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1238000 | PA      | $1238153.64   | 0.03%             | 2060-11-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                           | 1301 Trust 2025-AOA                                                              | CUSIP: 682461AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232000 | PA      | $1241639.66   | 0.03%             | 2042-08-11      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2025-NQM7                                           | CUSIP: 06690AAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  49852000 | PA      | $51229380.85  | 1.06%             | 2064-12-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1371186.26   | 0.03%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                          | CFSP 2024-AHP1 Mortgage Trust                                                    | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6544817 | PA      | $6365278.19   | 0.13%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust               | Mariner Finance Issuance Trust 2025-A                                            | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9101000 | PA      | $9216599.08   | 0.19%             | 2038-05-20      | Fixed         | 4.98%                 | 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        |    804063 | PA      | $792504.20    | 0.02%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                   | MFA 2024-NPL1 Trust                                                              | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5004803 | PA      | $5011806.68   | 0.10%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2020-FACT                                                                   | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134000 | PA      | $1027812.24   | 0.02%             | 2037-10-15      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92726 | PA      | $90231.83     | 0.00%             | 2062-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD 2024-VICT Mortgage Trust                                                    | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970000 | PA      | $2982870.79   | 0.06%             | 2041-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200 | PA      | $1359.32      | 0.00%             | 2064-01-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| QTS ISSUER ABS II LLC                        | QTS Issuer ABS II LLC                                                            | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7517000 | PA      | $7450676.01   | 0.15%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381JDG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776338 | PA      | $702035.39    | 0.01%             | 2063-09-16      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                     | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |    888259 | PA      | $843948.69    | 0.02%             | 2042-01-15      | Fixed         | 2.19%                 | 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      | $101601.17    | 0.00%             | 2039-05-10      | Variable      | 0.38%                 | 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      | $-219304.76   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-AIRC                                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7249896 | PA      | $7263415.33   | 0.15%             | 2041-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                        | Western Alliance Bank                                                            | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   5002758 | PA      | $5299787.10   | 0.11%             | 2059-07-25      | Floating      | 7.57%                 | 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      | $3629813.66   | 0.08%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2022-3                                      | CUSIP: 24381YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349000 | PA      | $1229478.73   | 0.03%             | 2067-07-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                     | Brex Commercial Charge Card Master Trust                                         | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2027000 | PA      | $2033121.74   | 0.04%             | 2027-07-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698000 | PA      | $504343.81    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10971491 | PA      | $274444.17    | 0.01%             | 2064-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2022-SFR1                                    | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502000 | PA      | $491351.93    | 0.01%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1810000 | PA      | $1816043.59   | 0.04%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                  | RCKT Mortgage Trust 2024-CES8                                                    | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3223150 | PA      | $3246428.87   | 0.07%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                   | SDAL Trust 2025-DAL                                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1651000 | PA      | $1661254.69   | 0.03%             | 2042-04-15      | Floating      | 6.19%                 | 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      | $4587142.00   | 0.09%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                  | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12440000 | PA      | $12312539.76  | 0.25%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2025-5                                                  | CUSIP: 03466EAA8<br>LEI: 254900QA46POYH7UR768 | Long             | ABS-MBS          | CORP              | US        |  10980355 | PA      | $11080132.69  | 0.23%             | 2070-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| AGL CLO 13 Ltd                               | AGL CLO 13 Ltd                                                                   | CUSIP: 00120JAN3<br>LEI: 254900DIJ0G5TXNJMM06 | Long             | ABS-CBDO         | CORP              | KY        |   2660000 | PA      | $2663358.52   | 0.06%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                  | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2482971 | PA      | $2481432.90   | 0.05%             | 2038-11-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                  | PRKCM 2021-AFC2 Trust                                                            | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947160 | PA      | $848562.34    | 0.02%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XVIII-R                                                               | CUSIP: 03767NAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1354421.25   | 0.03%             | 2038-01-22      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-6 Trust   | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3770078 | PA      | $1472656.22   | 0.03%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $398419.40    | 0.01%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-LUNR                                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400231 | PA      | $4405728.89   | 0.09%             | 2040-06-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                     | SoFi Personal Loan Trust 2023-1                                                  | CUSIP: 78474NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1672194 | PA      | $1690954.14   | 0.04%             | 2030-11-12      | Fixed         | 6.00%                 | 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        |    184984 | PA      | $174011.60    | 0.00%             | 2049-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    887018 | PA      | $892645.72    | 0.02%             | 2064-01-25      | Variable      | 6.11%                 | 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        |    606902 | PA      | $599270.02    | 0.01%             | 2038-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2323863 | PA      | $2876047.38   | 0.06%             | 2060-03-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag               | PRPM 2025-RCF2 LLC                                                               | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2551138 | PA      | $2511133.66   | 0.05%             | 2064-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                           | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAL0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |   4109000 | PA      | $4108897.28   | 0.09%             | 2035-10-15      | Floating      | 5.17%                 | 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      | $4656772.48   | 0.10%             | 2031-05-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 14 Ltd                                                           | CUSIP: 82667FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9930000 | PA      | $9962659.77   | 0.21%             | 2038-01-22      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite               | DK Trust 2024-SPBX                                                               | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8186000 | PA      | $8203775.08   | 0.17%             | 2034-03-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6510000 | PA      | $6640449.33   | 0.14%             | 2029-11-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                     | OHA Credit Funding 10-R Ltd                                                      | CUSIP: 67121RAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3190000 | PA      | $3193246.78   | 0.07%             | 2037-07-18      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust               | Morgan Stanley Capital I Trust 2021-230P                                         | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $373021.84    | 0.01%             | 2038-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                 | Navient Refinance Loan Trust 2025-B                                              | CUSIP: 63943NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6545286 | PA      | $6550249.60   | 0.14%             | 2055-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-1, Ltd.                     | Invesco CLO 2022-1 Ltd                                                           | CUSIP: 460988AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    980000 | PA      | $982899.33    | 0.02%             | 2035-04-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                             | Great Wolf Trust 2024-WOLF                                                       | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369000 | PA      | $369569.74    | 0.01%             | 2039-03-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu               | Bear Stearns Asset Backed Securities I Trust 2006-HE9                            | CUSIP: 07389MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2385135 | PA      | $2414303.34   | 0.05%             | 2036-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                   | Navient Private Education Refi Loan Trust 2024-A                                 | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7127948 | PA      | $7304078.00   | 0.15%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAC4<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $620594.70    | 0.01%             | 2031-10-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                | New Residential Mortgage Loan Trust 2025-NQM4                                    | CUSIP: 64832FAG1<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $699130.53    | 0.01%             | 2065-07-25      | Variable      | 7.02%                 | 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      | $1636345.80   | 0.03%             | 2069-04-15      | Fixed         | 2.95%                 | 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        |    910000 | PA      | $909433.62    | 0.02%             | 2039-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2021-4                                                  | CUSIP: 03464EAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $142682.86    | 0.00%             | 2065-01-20      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | Ares LVI CLO Ltd                                                                 | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2130000 | PA      | $2134495.79   | 0.04%             | 2038-01-25      | Floating      | 5.11%                 | 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        |   3160132 | PA      | $635171.10    | 0.01%             | 2036-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2844750.60   | 0.06%             | 2037-02-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                   | Atlas Senior Loan Fund XX Ltd                                                    | CUSIP: 049410AN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    498000 | PA      | $498000.00    | 0.01%             | 2037-10-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 14 Ltd                                                                   | CUSIP: 75009RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4550000 | PA      | $4554552.73   | 0.09%             | 2035-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677444 | PA      | $681963.74    | 0.01%             | 2064-01-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                           | AGL Core CLO 4 LTD                                                               | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |   4350000 | PA      | $4366549.14   | 0.09%             | 2037-10-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd                          | 522 Funding CLO 2017-1 A Ltd                                                     | CUSIP: 33836JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1402130.52   | 0.03%             | 2034-10-20      | Floating      | 5.85%                 | 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        |    156267 | PA      | $151649.21    | 0.00%             | 2036-05-28      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                            | Battalion CLO X Ltd                                                              | CUSIP: 07132JBL7<br>LEI: 549300RRK5G3IT4Y7N27 | Long             | ABS-CBDO         | CORP              | KY        |   2360000 | PA      | $2359713.02   | 0.05%             | 2035-01-24      | Floating      | 4.87%                 | 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        |    169111 | PA      | $155372.74    | 0.00%             | 2036-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| OZLM Funding Ltd                             | OZLM Funding II Ltd                                                              | CUSIP: 67108BCG8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2530000 | PA      | $2531771.00   | 0.05%             | 2037-07-30      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                | Ballyrock Clo 32 Ltd                                                             | CUSIP: 058944AG4<br>LEI: 254900RL3S1UBVHQYH63 | Long             | ABS-CBDO         | CORP              | KY        |   1510000 | PA      | $1514198.56   | 0.03%             | 2039-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg               | Saluda Grade Alternative Mortgage Trust 2024-RTL4                                | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5668000 | PA      | $5675909.13   | 0.12%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                              | Oaktree CLO 2024-27 Ltd                                                          | CUSIP: 67402UAC0<br>LEI: 2549005VHJ8BB9WPL105 | Long             | ABS-CBDO         | CORP              | KY        |    610000 | PA      | $612424.81    | 0.01%             | 2037-10-22      | Floating      | 5.43%                 | 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        |   6099812 | PA      | $6009692.58   | 0.12%             | 2067-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                            | Park Blue Clo 2025-IX Ltd                                                        | CUSIP: 70019UAG0<br>LEI: 213800GMETRF98C4D824 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3265204.48   | 0.07%             | 2038-10-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2023-B                                                  | CUSIP: 009691AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5712718 | PA      | $5666113.28   | 0.12%             | 2062-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    878800 | PA      | $887666.30    | 0.02%             | 2064-01-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                | 1988 CLO 2 Ltd                                                                   | CUSIP: 653947AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2710000 | PA      | $2709719.24   | 0.06%             | 2038-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2025-4 Ltd                                                              | CUSIP: 92946DAA3<br>LEI: 254900U7M8PTC5C6HY46 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501462.25    | 0.01%             | 2038-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                        | Sycamore Tree CLO 2021-1 Ltd                                                     | CUSIP: 87122VAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2509966.75   | 0.05%             | 2038-01-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3282075 | PA      | $3314257.25   | 0.07%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    717601 | PA      | $717642.70    | 0.01%             | 2030-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST5                                   | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5754000 | PA      | $5777126.48   | 0.12%             | 2032-09-15      | Fixed         | 5.25%                 | 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        |   1005245 | PA      | $1015431.78   | 0.02%             | 2036-07-26      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi               | Freddie Mac Multiclass Certificates Series 2024-P015                             | CUSIP: 3137HDJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1380116 | PA      | $1376631.20   | 0.03%             | 2032-11-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag               | Wells Fargo Commercial Mortgage Trust 2019-C49                                   | CUSIP: 95001WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $292683.59    | 0.01%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                             | COLT 2022-1 Mortgage Loan Trust                                                  | CUSIP: 19688HAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227000 | PA      | $194677.79    | 0.00%             | 2066-12-27      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8471000 | PA      | $8470988.14   | 0.18%             | 2042-02-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469200 | PA      | $476327.05    | 0.01%             | 2064-01-25      | Variable      | 8.65%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                 | Atrium Hotel Portfolio Trust 2025-ATRM                                           | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2336000 | PA      | $2338428.51   | 0.05%             | 2042-08-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                | BAMLL Trust 2024-BHP                                                             | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $821353.98    | 0.02%             | 2039-08-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2017-3 Ltd                                                    | CUSIP: 77341DAG2<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $401118.56    | 0.01%             | 2030-10-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511900 | PA      | $520566.57    | 0.01%             | 2064-01-25      | Variable      | 8.09%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                     | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14418466 | PA      | $357618.32    | 0.01%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo               | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2223368 | PA      | $571826.01    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2025-12                                               | CUSIP: 92490FAP5<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002791.42   | 0.02%             | 2070-12-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                      | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $289023.26    | 0.01%             | 2037-10-25      | Floating      | 5.60%                 | 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-O            | CORP              | US        |   2634220 | PA      | $2403089.67   | 0.05%             | 2036-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                           | 1301 Trust 2025-AOA                                                              | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15045000 | PA      | $15397009.37  | 0.32%             | 2042-08-11      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                | CitiMortgage Alternative Loan Trust Series 2007-A6                               | CUSIP: 18976GAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770167 | PA      | $688316.30    | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | 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        |     12985 | PA      | $11364.51     | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                             | BBAM US CLO VI Ltd                                                               | CUSIP: 05556TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4460000 | PA      | $4468231.82   | 0.09%             | 2039-01-27      | Floating      | 5.06%                 | 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        |   2152307 | PA      | $1857294.45   | 0.04%             | 2035-09-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FHV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003830 | PA      | $858958.44    | 0.02%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Aimco                                        | AIMCO CLO Series 2018-A                                                          | CUSIP: 00900GAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3460000 | PA      | $3472888.50   | 0.07%             | 2037-10-17      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                  | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1718000 | PA      | $1710756.22   | 0.04%             | 2057-08-25      | Variable      | 5.92%                 | 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        |    510956 | PA      | $510734.31    | 0.01%             | 2036-02-15      | Floating      | 4.66%                 | 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        |   5408000 | PA      | $4882504.64   | 0.10%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    639473 | PA      | $303167.59    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | 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      | $1034370.90   | 0.02%             | 2033-08-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                          | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1046649 | PA      | $991221.56    | 0.02%             | 2033-03-10      | Fixed         | 3.45%                 | 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      | $575238.74    | 0.01%             | 2065-05-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                  | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2930000 | PA      | $2940831.04   | 0.06%             | 2040-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas               | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 Trust  | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2042067 | PA      | $1746514.40   | 0.04%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                      | Sagard-Halseypoint Clo 9 Ltd                                                     | CUSIP: 78662EAA2<br>LEI: 254900XOQCO9R6J0SO60 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1904753.80   | 0.04%             | 2038-04-20      | Floating      | 5.17%                 | 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      | $774720.67    | 0.02%             | 2033-08-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                | GS Mortgage-Backed Securities Trust 2025-DSC2                                    | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |   1887793 | PA      | $1891275.24   | 0.04%             | 2066-01-25      | Variable      | 5.04%                 | 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        |     95057 | PA      | $95049.27     | 0.00%             | 2035-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage               | Deephaven Residential Mortgage Trust 2025-CES1                                   | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2982985 | PA      | $2993511.72   | 0.06%             | 2055-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                         | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6350000 | PA      | $6359517.38   | 0.13%             | 2030-10-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL5                                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2512360 | PA      | $2513906.95   | 0.05%             | 2041-03-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust               | Upgrade Master Pass-Thru Trust Series 2025-ST4                                   | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2710355 | PA      | $2724669.41   | 0.06%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                         | Signal Peak CLO 8 Ltd                                                            | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1230000 | PA      | $1234461.21   | 0.03%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CreekSource (Dunes Creek) CLO                | Creeksource 2024-1 Dunes Creek Clo Ltd                                           | CUSIP: 225914AA8<br>LEI: 254900CZYOXX4AZ15302 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501884.80    | 0.01%             | 2038-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL PLC       | CDS CMBX.NA.BBB-.9                                                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              | CORP              | GB        |         1 | NC      | $10422.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 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        |   1896056 | PA      | $1627922.94   | 0.03%             | 2047-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1883152.00   | 0.04%             | 2041-04-17      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                          | COMM 2025-SBX Mortgage Trust                                                     | CUSIP: 20047UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1647000 | PA      | $1653492.31   | 0.03%             | 2041-08-10      | Variable      | 5.55%                 | 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      | $1658574.81   | 0.03%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust               | PENN Commercial Mortgage Trust 2025-P11                                          | CUSIP: 69382VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1772000 | PA      | $1835208.66   | 0.04%             | 2042-08-10      | Variable      | 6.51%                 | 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      | $437304.61    | 0.01%             | 2039-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6306970 | PA      | $6306969.94   | 0.13%             | 2034-05-15      | Floating      | 5.29%                 | 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        |     57889 | PA      | $57723.35     | 0.00%             | 2035-10-15      | Fixed         | 2.82%                 | 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        |     24974 | PA      | $17846.78     | 0.00%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| TCW Gem Ltd                                  | TCW CLO 2019-2 Ltd                                                               | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1202533.92   | 0.02%             | 2038-01-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T               | Regional Management Issuance Trust 2024-1                                        | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1637000 | PA      | $1686197.09   | 0.03%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                               | Carval Clo VIII-C Ltd                                                            | CUSIP: 14686NAL5<br>LEI: 254900NZG2CMHKHNPU97 | Long             | ABS-CBDO         | CORP              | JE        |    770000 | PA      | $772554.09    | 0.02%             | 2037-10-22      | Floating      | 5.28%                 | 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        |    155816 | PA      | $143364.41    | 0.00%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| VRTX Trust                                   | VRTX Trust 2025-HQ                                                               | CUSIP: 91835XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1530000 | PA      | $1546349.58   | 0.03%             | 2042-08-05      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd               | Palmer Square Loan Funding 2025-3 Ltd                                            | CUSIP: 696918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7930000 | PA      | $7928557.53   | 0.16%             | 2034-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                 | ARES Loan Funding III Ltd                                                        | CUSIP: 04009BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2715000 | PA      | $2717181.77   | 0.06%             | 2036-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64433 | PA      | $51473.47     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4374279 | PA      | $4373859.55   | 0.09%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                    | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBY6<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |   3720000 | PA      | $3736007.90   | 0.08%             | 2038-07-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                 | Voya CLO 2025-4 Ltd                                                              | CUSIP: 92946DAE5<br>LEI: 254900U7M8PTC5C6HY46 | Long             | ABS-CBDO         | CORP              | KY        |   1235000 | PA      | $1239947.53   | 0.03%             | 2038-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A               | Government National Mortgage Association                                         | CUSIP: 38381MZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3920000 | PA      | $3948673.30   | 0.08%             | 2056-10-16      | Fixed         | 5.00%                 | 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        |    398047 | PA      | $362099.12    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                   | BFLD Commercial Mortgage Trust 2025-5MW                                          | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3315000 | PA      | $3314805.08   | 0.07%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2023-1                                    | CUSIP: 92259VAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1816442 | PA      | $1737285.13   | 0.04%             | 2053-01-25      | Variable      | 9.62%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                  | Houston Galleria Mall Trust 2025-HGLR                                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $338833.54    | 0.01%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                     | Angel Oak Mortgage Trust 2022-2                                                  | CUSIP: 03464PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208813 | PA      | $199978.29    | 0.00%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                             | TRESTLES CLO V LTD                                                               | CUSIP: 89532UAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $519971.30    | 0.01%             | 2034-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IV Ltd                           | Elmwood CLO IV Ltd                                                               | CUSIP: 29002GAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000623.60   | 0.02%             | 2037-04-18      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| Wildwood Park CLO LTD                        | Wildwood Park CLO Ltd                                                            | CUSIP: 968209AA4<br>LEI: 254900BZ1VFIEIOEK304 | Long             | ABS-CBDO         | CORP              | JE        |   3110000 | PA      | $3121578.53   | 0.06%             | 2037-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105247 | PA      | $1106243.00   | 0.02%             | 2051-11-25      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust               | Bayview Commercial Asset Trust 2007-5                                            | CUSIP: 07325WAE2<br>LEI: 549300I4K1GWFS0CTQ34 | Long             | ABS-MBS          | CORP              | US        |   1927191 | PA      | $1128683.00   | 0.02%             | 2037-10-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                      | Halseypoint Clo 6 Ltd                                                            | CUSIP: 40639GAN9<br>LEI: 5493001PG85K1980W896 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003392.00   | 0.02%             | 2038-01-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                        | KKR CLO 30 Ltd                                                                   | CUSIP: 48250EBE4<br>LEI: 549300NB16RGUJOZXI16 | Long             | ABS-CBDO         | CORP              | KY        |   1670000 | PA      | $1674800.92   | 0.03%             | 2037-04-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Concord Music Royalties, LLC                 | Concord Music Royalties LLC                                                      | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2133000 | PA      | $2152106.13   | 0.04%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                   | Progress Residential 2024-SFR2 Trust                                             | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1878580.20   | 0.04%             | 2041-04-17      | Variable      | 3.40%                 | 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      | $984526.70    | 0.02%             | 2039-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                       | Rockford Tower CLO 2018-2 Ltd                                                    | CUSIP: 77342KAA8<br>LEI: 5493001SZ764RMCNU069 | Long             | ABS-CBDO         | CORP              | KY        |     70586 | PA      | $70614.17     | 0.00%             | 2031-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding XXXVII Ltd                                                  | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    570000 | PA      | $572008.68    | 0.01%             | 2037-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2187491 | PA      | $3062487.40   | 0.06%             | 2051-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM1                                           | CUSIP: 06745AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300989 | PA      | $1310459.07   | 0.03%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon Capital CLO 2019-2 Ltd                                                    | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7420000 | PA      | $7409041.40   | 0.15%             | 2034-10-15      | Floating      | 4.91%                 | 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        |     30451 | PA      | $10369.22     | 0.00%             | 2047-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                     | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2288049 | PA      | $2330542.40   | 0.05%             | 2061-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                  | GSAMP Trust 2007-HSBC1                                                           | CUSIP: 362429AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3417638 | PA      | $3420760.38   | 0.07%             | 2037-02-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                       | Taco Bell Funding LLC                                                            | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7703000 | PA      | $7659799.27   | 0.16%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T               | Alternative Loan Trust 2005-J4                                                   | CUSIP: 12667GNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127581 | PA      | $126799.58    | 0.00%             | 2035-07-25      | Floating      | 5.87%                 | 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        |    409013 | PA      | $351328.46    | 0.01%             | 2047-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                          | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $903283.38    | 0.02%             | 2037-10-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GCAT                                         | GCAT 2020-NQM2 Trust                                                             | CUSIP: 36166RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2533000 | PA      | $2415573.92   | 0.05%             | 2065-04-25      | Variable      | 4.85%                 | 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        |   2099891 | PA      | $1857443.08   | 0.04%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                 | CSMC 2022-NQM6 Trust                                                             | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6948097 | PA      | $6963346.33   | 0.14%             | 2067-12-25      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd               | Golub Capital Partners CLO 78M                                                   | CUSIP: 381934AC2<br>LEI: 254900PSE4IZIZUH7U62 | Long             | ABS-CBDO         | CORP              | US        |    575000 | PA      | $575000.00    | 0.01%             | 2039-04-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi               | CARLYLE US CLO 2019-4 LTD                                                        | CUSIP: 14317VAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5190000 | PA      | $5193575.39   | 0.11%             | 2035-04-15      | Floating      | 5.22%                 | 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        |    341413 | PA      | $309578.10    | 0.01%             | 2035-11-20      | Floating      | 4.49%                 | 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      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Apidos CLO                                   | Apidos CLO XXXIX Ltd                                                             | CUSIP: 03766HAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $482117.80    | 0.01%             | 2038-10-21      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733375 | PA      | $1750952.12   | 0.04%             | 2064-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak Ltd.                          | Sandstone Peak Ltd                                                               | CUSIP: 800130AN6<br>LEI: 5493000VXRKO2Z5KET86 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500018.15    | 0.01%             | 2034-10-15      | Floating      | 5.18%                 | 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        |   4682147 | PA      | $3991162.09   | 0.08%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                      | Dryden 64 CLO Ltd                                                                | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    301161 | PA      | $301179.92    | 0.01%             | 2031-04-18      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                   | Verus Securitization Trust 2025-5                                                | CUSIP: 92540XAA9<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |   3455460 | PA      | $3483078.89   | 0.07%             | 2070-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-VOLT                                                               | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4330000 | PA      | $4332693.26   | 0.09%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2021-NQM1                                        | CUSIP: 10569TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426612 | PA      | $1174286.42   | 0.02%             | 2049-02-25      | Variable      | 3.17%                 | 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        |   1157256 | PA      | $982169.16    | 0.02%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer L               | Planet Fitness Master Issuer LLC                                                 | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   6430000 | PA      | $6427583.61   | 0.13%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                               | Apidos CLO XXXVI                                                                 | CUSIP: 03769LAU2<br>LEI: 549300NWD6NYUKJT1J26 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248739.28    | 0.01%             | 2039-01-20      | Floating      | 6.32%                 | 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      | $65839.83     | 0.00%             | 2061-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                    | CIM Trust 2019-J2                                                                | CUSIP: 12558TBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    813779 | PA      | $666359.81    | 0.01%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| UPG HI Issuer Trust                          | UPG HI 2025-2 Issuer Trust                                                       | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3016000 | PA      | $3014708.25   | 0.06%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216 | PA      | $200.76       | 0.00%             | 2063-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Sesac Finance                                | Sesac Finance LLC                                                                | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5960000 | PA      | $5923012.84   | 0.12%             | 2055-07-25      | Fixed         | 5.50%                 | 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      | $501394.55    | 0.01%             | 2030-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8317560 | PA      | $8276104.70   | 0.17%             | 2030-03-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust               | FirstKey Homes 2022-SFR1 Trust                                                   | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3967597.20   | 0.08%             | 2039-05-19      | Fixed         | 5.00%                 | 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        |    831826 | PA      | $713081.84    | 0.01%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39               | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5640000 | PA      | $5641227.83   | 0.12%             | 2030-10-20      | Floating      | 5.68%                 | 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        |    410193 | PA      | $323547.50    | 0.01%             | 2037-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                         | New Mountain CLO 8 Ltd                                                           | CUSIP: 64755GAA5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |    940000 | PA      | $942287.68    | 0.02%             | 2038-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Sesac Finance                                | Sesac Finance LLC                                                                | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    662205 | PA      | $671664.80    | 0.01%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                             | Trinitas CLO XXVIII LTD                                                          | CUSIP: 89640FAA3<br>LEI: 254900DPIAGU6GHOTB83 | Long             | ABS-CBDO         | CORP              | KY        |   1450000 | PA      | $1454852.43   | 0.03%             | 2037-04-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1616700 | PA      | $1632368.41   | 0.03%             | 2064-06-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                              | Invesco US CLO 2023-3 Ltd                                                        | CUSIP: 46091RAN3<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5021282.00   | 0.10%             | 2038-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                             | CIFC Funding 2021-III Ltd                                                        | CUSIP: 12564DAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    613000 | PA      | $613618.27    | 0.01%             | 2038-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                         | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |   2640000 | PA      | $2648754.24   | 0.05%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642622 | PA      | $1652729.66   | 0.03%             | 2039-02-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT               | Golub Capital Partners CLO 76 B Ltd                                              | CUSIP: 38180BAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    560000 | PA      | $561232.22    | 0.01%             | 2037-10-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BX Trust                                     | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2210000 | PA      | $2210000.00   | 0.05%             | 2041-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus               | BRAVO Residential Funding Trust 2021-NQM1                                        | CUSIP: 10569TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $269706.50    | 0.01%             | 2049-02-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                | NYC Commercial Mortgage Trust 2025-300P                                          | CUSIP: 67121TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1590000 | PA      | $1610648.69   | 0.03%             | 2042-07-13      | Variable      | 7.39%                 | 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        |    599537 | PA      | $599559.93    | 0.01%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                       | Canyon Capital CLO 2016-1 Ltd                                                    | CUSIP: 13887PAK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    416523 | PA      | $416675.30    | 0.01%             | 2031-07-15      | Floating      | 5.24%                 | 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        |    245550 | PA      | $245521.68    | 0.01%             | 2035-11-25      | Variable      | 5.64%                 | 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      | $135252.00    | 0.00%             | 2050-03-15      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                           | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1904000 | PA      | $1930156.77   | 0.04%             | 2039-06-12      | Fixed         | 8.72%                 | 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        |    830779 | PA      | $8.31         | 0.00%             | 2050-04-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor               | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                   | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5223000 | PA      | $5261611.55   | 0.11%             | 2039-11-09      | Variable      | 8.22%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer               | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16162 | PA      | $14903.72     | 0.00%             | 2037-03-25      | Variable      | 4.95%                 | 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        |   3544426 | PA      | $3075934.79   | 0.06%             | 2052-02-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2023-NQM3                                           | CUSIP: 06744FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15976842 | PA      | $112576.02    | 0.00%             | 2063-10-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo               | Velocity Commercial Capital Loan Trust 2021-1                                    | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795704 | PA      | $1347490.07   | 0.03%             | 2051-05-25      | Variable      | 5.03%                 | 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      | $838502.69    | 0.02%             | 2035-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                           | Whitebox Clo II Ltd                                                              | CUSIP: 96466CBA5<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $410615.90    | 0.01%             | 2037-10-24      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Acquisiti               | Spruce Hill Mortgage Loan Trust 2020-SH2                                         | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465039 | PA      | $1444829.03   | 0.03%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                        | Silver Point CLO 12 Ltd                                                          | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3710000 | PA      | $3719275.00   | 0.08%             | 2038-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                         | Cross 2025-H4 Mortgage Trust                                                     | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5716712 | PA      | $5769046.99   | 0.12%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                 | Barclays Mortgage Loan Trust 2024-NQM3                                           | CUSIP: 066941AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1109000 | PA      | $1127587.51   | 0.02%             | 2064-06-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                  | OCP CLO 2019-16 Ltd                                                              | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |   1127095 | PA      | $1127335.74   | 0.02%             | 2033-04-10      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                   | Affirm Asset Securitization Trust 2025-X2                                        | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362000 | PA      | $362658.19    | 0.01%             | 2030-10-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                         | FS Rialto 2025-FL10 Issuer LLC                                                   | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1240000 | PA      | $1239466.30   | 0.03%             | 2042-08-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                     | Madison Park Funding LVII Ltd                                                    | CUSIP: 55822GAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4550000 | PA      | $4550013.65   | 0.09%             | 2034-07-27      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-24

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

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer