# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0000940400-26-007532
**Filing Date:** 2026-2
**Character Count:** 410100
**Document Hash:** 4efe1dbcb71cbdcf0f35fc20aa12d26e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007532.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0000940400-26-007532

**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:** 26675590

**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: Short Duration Taxable Total Return Series (Series ID: S000001471)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000003893 | BATS: Short Duration Taxable Total Return Series | BRASX           |

## Nport-Ex

Schedule of Investments (unaudited)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

**(Formerly BATS: Series S 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; 720 East CLO Ltd., Series 2023-IA, Class A1R, (3-mo. <br> CME Term SOFR + 1.37%), 5.28%, 04/15/38<sup>(a)(b)</sup><br>| USD  | 265 | $265932 |
| Affirm Asset Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-X1, Class A, 5.08%, 04/15/30<sup>(a)</sup> |  | 140 | 140109 |
| &nbsp;&nbsp;&nbsp; Series 2025-X2, Class A, 4.45%, 10/15/30<sup>(a)</sup> |  | 305 | 304823 |
| &nbsp;&nbsp;&nbsp; Affirm Master Trust, Series 2025-3A, Class A, 4.45%, <br> 10/16/34<sup>(a)</sup><br>|  | 765 | 767397 |
| American Express Credit Account Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31 |  | 406 | 423127 |
| &nbsp;&nbsp;&nbsp; Series 2025-4, Class A, 4.30%, 07/15/30 |  | 1901 | 1925662 |
| &nbsp;&nbsp;&nbsp; Anchorage Capital CLO 7 Ltd., Series 2015-7A, <br> Class AR3, (3-mo. CME Term SOFR + 1.56%), <br> 5.42%, 04/28/37<sup>(a)(b)</sup><br>|  | 865 | 868176 |
| ARI Fleet Lease Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.30%, 11/15/32<sup>(a)</sup> |  | 110 | 110760 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A2, 5.54%, 04/15/33<sup>(a)</sup> |  | 58 | 58732 |
| &nbsp;&nbsp;&nbsp; Series 2025-B, Class A2, 4.59%, 03/15/34<sup>(a)</sup> |  | 1062 | 1069584 |
| &nbsp;&nbsp;&nbsp; AutoNation Finance Trust, Series 2025-1A, Class A3, <br> 4.62%, 11/13/29<sup>(a)</sup><br>|  | 55 | 55504 |
| &nbsp;&nbsp;&nbsp; BA Credit Card Trust, Series 2024-A1, Class A, 4.93%, <br> 05/15/29<br>|  | 1383 | 1404666 |
| &nbsp;&nbsp;&nbsp; Benefit Street Partners CLO X Ltd., Series 2016-10A, <br> Class BR3, (3-mo. CME Term SOFR + 1.85%), <br> 5.73%, 07/20/38<sup>(a)(b)</sup><br>|  | 250 | 250834 |
| BMW Vehicle Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 5.47%, 02/25/28 |  | 267 | 268577 |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.56%, 09/25/29 |  | 500 | 505029 |
| &nbsp;&nbsp;&nbsp; BofA Auto Trust, Series 2025-1A, Class A3, 4.35%, <br> 11/20/29<sup>(a)</sup><br>|  | 253 | 254676 |
| &nbsp;&nbsp;&nbsp; Canyon CLO Ltd., Series 2021-4A, Class BR, (3-mo. <br> CME Term SOFR + 1.60%), 5.51%, 10/15/34<sup>(a)(b)</sup><br>|  | 250 | 250394 |
| &nbsp;&nbsp;&nbsp; Capital One Multi-Asset Execution Trust, Series 2019-<br> A3, Class A3, 2.06%, 08/15/28<br>|  | 2000 | 1978558 |
| &nbsp;&nbsp;&nbsp; Capital One Prime Auto Receivables Trust, <br> Series 2022-2, Class A3, 3.66%, 05/17/27<br>|  | 283 | 283127 |
| &nbsp;&nbsp;&nbsp; CarMax Auto Owner Trust, Series 2022-3, Class A3, <br> 3.97%, 04/15/27<br>|  | 117 | 116956 |
| Chase Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-A1, Class A, 5.16%, 09/15/28 |  | 2680 | 2705220 |
| &nbsp;&nbsp;&nbsp; Series 2024-A2, Class A, 4.72%, 01/15/31 |  | 293 | 300403 |
| &nbsp;&nbsp;&nbsp; Series 2025-A1, Class A, 4.16%, 07/15/30 |  | 1728 | 1744795 |
| Chesapeake Funding II LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2A, Class A1, 6.16%, 10/15/35<sup>(a)</sup> |  | 148 | 150001 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 5.52%, 05/15/36<sup>(a)</sup> |  | 310 | 313619 |
| CNH Equipment Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.89%, 11/15/27 |  | 183 | 183192 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.77%, 06/15/29 |  | 376 | 379234 |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.03%, 01/15/30 |  | 203 | 203669 |
| College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A1, (1-mo. CME Term SOFR <br> + 0.91%), 4.65%, 06/25/52<sup>(a)(b)</sup><br>|  | 140 | 138348 |
| &nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup> |  | 65 | 60878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, (SOFR (30-day) + <br> 1.90%), 5.77%, 05/25/55<sup>(a)(b)</sup><br>|  | 347 | 352572 |
| Dell Equipment Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 4.68%, 07/22/27<sup>(a)</sup> |  | 265 | 265932 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.61%, 02/24/31<sup>(a)</sup> |  | 337 | 340810 |
| &nbsp;&nbsp;&nbsp; EDvestinU Private Education Loan Issue No. 3 LLC, <br> Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup><br>|  | 45 | 42265 |
| ELFI Graduate Loan Program LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 4.51%, 08/26/47<sup>(a)</sup> |  | 373 | 368628 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 6.37%, 02/04/48<sup>(a)</sup> |  | 343 | 359169 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; Elmwood CLO III Ltd., Series 2019-3A, Class A2RR, <br> (3-mo. CME Term SOFR + 1.60%), 5.48%, <br> 07/18/37<sup>(a)(b)</sup><br>| USD  | 425 | $425993 |
| Enterprise Fleet Financing LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A2, 5.56%, 04/22/30<sup>(a)</sup> |  | 280 | 281275 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 5.23%, 03/20/30<sup>(a)</sup> |  | 223 | 225032 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A3, 5.16%, 09/20/30<sup>(a)</sup> |  | 50 | 50956 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class A3, 4.98%, 08/21/28<sup>(a)</sup> |  | 200 | 202818 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class A4, 5.06%, 03/20/31<sup>(a)</sup> |  | 66 | 67534 |
| &nbsp;&nbsp;&nbsp; Series 2024-4, Class A3, 4.56%, 11/20/28<sup>(a)</sup> |  | 182 | 183862 |
| &nbsp;&nbsp;&nbsp; Series 2024-4, Class A4, 4.70%, 06/20/31<sup>(a)</sup> |  | 50 | 50791 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A3, 4.41%, 06/20/29<sup>(a)</sup> |  | 342 | 345535 |
| &nbsp;&nbsp;&nbsp; Flatiron CLO 23 LLC, Series 2023-1A, Class AR, (3-<br> mo. CME Term SOFR + 1.24%), 5.12%, <br> 04/17/36<sup>(a)(b)</sup><br>|  | 250 | 250387 |
| Ford Credit Auto Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.93%, 08/15/27 |  | 249 | 248868 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A, 4.85%, 08/15/35<sup>(a)</sup> |  | 1380 | 1407552 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.28%, 02/15/36<sup>(a)</sup> |  | 1675 | 1731242 |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 4.65%, 02/15/28 |  | 78 | 77925 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 4.87%, 08/15/36<sup>(a)(c)</sup> |  | 1288 | 1320839 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.09%, 12/15/28 |  | 1787 | 1802194 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A, 4.37%, 02/15/38<sup>(a)(c)</sup> |  | 1870 | 1885410 |
| &nbsp;&nbsp;&nbsp; Ford Credit Auto Owner Trust/Ford Credit, <br> Series 2025-1, Class A, 4.86%, 08/15/37<sup>(a)(c)</sup><br>|  | 715 | 734768 |
| Ford Credit Floorplan Master Owner Trust A |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-4, Class A, 4.06%, 11/15/30 |  | 907 | 910594 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 4.92%, 05/15/28<sup>(a)</sup> |  | 1246 | 1249971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), <br> 5.23%, 05/15/28<sup>(a)(b)</sup><br>|  | 1785 | 1791064 |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 5.31%, 05/15/28<sup>(a)</sup> |  | 280 | 281123 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31<sup>(a)</sup> |  | 545 | 565031 |
| Foundation Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.50%, 12/15/49<sup>(a)</sup> |  | 241 | 246615 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.95%, 04/15/50<sup>(a)</sup> |  | 275 | 278598 |
| &nbsp;&nbsp;&nbsp; FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-<br> mo. CME Term SOFR + 1.33%), 5.07%, <br> 05/16/38<sup>(a)(b)</sup><br>|  | 98 | 97657 |
| GM Financial Consumer Automobile Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A4, 1.51%, 04/17/28 |  | 142 | 141316 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A4, 3.25%, 04/17/28 |  | 598 | 596615 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A4, 3.71%, 12/16/27 |  | 887 | 886088 |
| &nbsp;&nbsp;&nbsp; Series 2023-4, Class A3, 5.78%, 08/16/28 |  | 471 | 476230 |
| &nbsp;&nbsp;&nbsp; Series 2024-4, Class A3, 4.40%, 08/16/29 |  | 1103 | 1111271 |
| &nbsp;&nbsp;&nbsp; Series 2025-3, Class A3, 4.18%, 08/16/30 |  | 1245 | 1255041 |
| &nbsp;&nbsp;&nbsp; Series 2025-4, Class A3, 3.84%, 02/18/31 |  | 1198 | 1198957 |
| GM Financial Revolving Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.77%, 08/11/36<sup>(a)</sup> |  | 1904 | 1998251 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 4.98%, 12/11/36<sup>(a)</sup> |  | 284 | 292058 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 4.52%, 03/11/37<sup>(a)</sup> |  | 824 | 837430 |
| GoodLeap Sustainable Home Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup> |  | 46 | 37874 |
| &nbsp;&nbsp;&nbsp; Series 2022-1GS, Class A, 2.70%, 01/20/49<sup>(a)</sup> |  | 82 | 72632 |
| &nbsp;&nbsp;&nbsp; Series 2022-2CS, Class A, 4.00%, 04/20/49<sup>(a)</sup> |  | 36 | 32406 |
| GreatAmerica Leasing Receivables Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A2, 5.28%, 03/15/27<sup>(a)</sup> |  | 120 | 120720 |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.49%, 04/16/29<sup>(a)</sup> |  | 180 | 182124 |
| &nbsp;&nbsp;&nbsp; Higley Park CLO Ltd., Series 2025-1A, Class B1, (3-<br> mo. CME Term SOFR + 1.65%), 5.52%, <br> 07/24/38<sup>(a)(b)</sup><br>|  | 400 | 401605 |
| &nbsp;&nbsp;&nbsp; Honda Auto Receivables Owner Trust, Series 2023-4, <br> Class A3, 5.67%, 06/21/28<br>|  | 664 | 671291 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| Hyundai Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 4.58%, 04/15/27 | USD  | 172 | $171913 |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A3, 5.48%, 04/17/28 |  | 748 | 752763 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.99%, 02/15/29 |  | 963 | 971747 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.84%, 03/15/29 |  | 1338 | 1352964 |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.41%, 05/15/29 |  | 1622 | 1634786 |
| &nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.32%, 10/15/29 |  | 366 | 368710 |
| &nbsp;&nbsp;&nbsp; Series 2025-C, Class A3, 3.88%, 04/15/30 |  | 479 | 480002 |
| John Deere Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-B, Class A3, 5.18%, 03/15/28 |  | 294 | 295710 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.96%, 11/15/28 |  | 981 | 989596 |
| &nbsp;&nbsp;&nbsp; Kubota Credit Owner Trust, Series 2025-1A, Class A2, <br> 4.61%, 12/15/27<sup>(a)</sup><br>|  | 193 | 193952 |
| &nbsp;&nbsp;&nbsp; Lyra Music Assets Delaware LP, Series 2025-1A, <br> Class A2, 5.60%, 09/20/65<sup>(a)</sup><br>|  | 113 | 113934 |
| &nbsp;&nbsp;&nbsp; M&T Equipment Notes, Series 2025-1A, Class A2, <br> 4.70%, 12/16/27<sup>(a)</sup><br>|  | 85 | 85409 |
| &nbsp;&nbsp;&nbsp; Mercedes-Benz Auto Receivables Trust, <br> Series 2023-2, Class A3, 5.95%, 11/15/28<br>|  | 512 | 518877 |
| MMAF Equipment Finance LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.95%, 07/14/31<sup>(a)</sup> |  | 150 | 152085 |
| &nbsp;&nbsp;&nbsp; Series 2024-A, Class A4, 5.10%, 07/13/49<sup>(a)</sup> |  | 745 | 770211 |
| &nbsp;&nbsp;&nbsp; Navient Education Loan Trust, Series 2025-A, Class A, <br> 5.02%, 07/15/55<sup>(a)</sup><br>|  | 299 | 302286 |
| &nbsp;&nbsp;&nbsp; Navient Private Education Loan Trust, Series 2020-A, <br> Class A2B, (1-mo. CME Term SOFR + 1.01%), <br> 4.77%, 11/15/68<sup>(a)(b)</sup><br>|  | 651 | 649488 |
| Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-CA, Class A2, 3.13%, 02/15/68<sup>(a)</sup> |  | 84 | 82769 |
| &nbsp;&nbsp;&nbsp; Series 2019-GA, Class A, 2.40%, 10/15/68<sup>(a)</sup> |  | 44 | 42659 |
| &nbsp;&nbsp;&nbsp; Series 2020-BA, Class A2, 2.12%, 01/15/69<sup>(a)</sup> |  | 184 | 176258 |
| &nbsp;&nbsp;&nbsp; Series 2020-DA, Class A, 1.69%, 05/15/69<sup>(a)</sup> |  | 219 | 209686 |
| &nbsp;&nbsp;&nbsp; Series 2020-FA, Class A, 1.22%, 07/15/69<sup>(a)</sup> |  | 312 | 295576 |
| &nbsp;&nbsp;&nbsp; Series 2020-IA, Class A1A, 1.33%, 04/15/69<sup>(a)</sup> |  | 513 | 479958 |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 0.84%, 05/15/69<sup>(a)</sup> |  | 41 | 37892 |
| &nbsp;&nbsp;&nbsp; Series 2021-BA, Class A, 0.94%, 07/15/69<sup>(a)</sup> |  | 266 | 243511 |
| &nbsp;&nbsp;&nbsp; Series 2022-BA, Class A, 4.16%, 10/15/70<sup>(a)</sup> |  | 665 | 654416 |
| &nbsp;&nbsp;&nbsp; Navient Refinance Loan Trust, Series 2025-C, <br> Class A, 4.80%, 10/15/55<sup>(a)</sup><br>|  | 321 | 321556 |
| &nbsp;&nbsp;&nbsp; Navient Student Loan Trust, Series 2023-BA, <br> Class A1B, (SOFR (30-day) + 1.70%), 5.68%, <br> 03/15/72<sup>(a)(b)</sup><br>|  | 150 | 151152 |
| &nbsp;&nbsp;&nbsp; Navistar Financial Dealer Note Master Owner Trust, <br> Series 2024-1, Class A, 5.59%, 04/25/29<sup>(a)</sup><br>|  | 390 | 391849 |
| Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup> |  | 328 | 309913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class AFL, (1-mo. CME Term <br> SOFR + 0.85%), 4.59%, 04/20/62<sup>(a)(b)</sup><br>|  | 247 | 246074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, (SOFR (30-day) + <br> 0.75%), 4.91%, 10/25/33<sup>(a)(b)</sup><br>|  | 615 | 614986 |
| &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>|  | 357 | 355374 |
| &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>|  | 702 | 706481 |
| &nbsp;&nbsp;&nbsp; Nissan Auto Receivables Owner Trust, Series 2023-A, <br> Class A3, 4.91%, 11/15/27<br>|  | 743 | 744737 |
| &nbsp;&nbsp;&nbsp; OCP CLO Ltd., Series 2016-12A, Class BAR3, (3-mo. <br> CME Term SOFR + 1.68%), 5.56%, 10/18/37<sup>(a)(b)</sup><br>|  | 260 | 260774 |
| &nbsp;&nbsp;&nbsp; OHA Credit Partners XVI, Series 2021-16A, Class AR, <br> (3-mo. CME Term SOFR + 1.35%), 5.23%, <br> 10/18/37<sup>(a)(b)</sup><br>|  | 420 | 421468 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 3.14%, 10/14/36<sup>(a)</sup> | USD  | 402 | $396313 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.50%, 06/14/38<sup>(a)</sup> |  | 150 | 154873 |
| &nbsp;&nbsp;&nbsp; OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. <br> CME Term SOFR + 1.76%), 5.64%, 01/17/31<sup>(a)(b)</sup><br>|  | 180 | 179557 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust, <br> Series 2023-1, Class A, 3.60%, 10/25/40<sup>(a)</sup><br>|  | 495 | 482333 |
| PFS Financing Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 5.80%, 03/15/28<sup>(a)</sup> |  | 1030 | 1033527 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A, 5.52%, 10/15/28<sup>(a)</sup> |  | 432 | 436896 |
| &nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 4.95%, 02/15/29<sup>(a)</sup> |  | 140 | 141458 |
| &nbsp;&nbsp;&nbsp; Series 2024-D, Class A, 5.34%, 04/15/29<sup>(a)</sup> |  | 115 | 116997 |
| &nbsp;&nbsp;&nbsp; Series 2025-B, Class A, 4.85%, 02/15/30<sup>(a)</sup> |  | 738 | 751213 |
| &nbsp;&nbsp;&nbsp; Series 2025-F, Class A, 4.40%, 08/15/30<sup>(a)</sup> |  | 493 | 497789 |
| &nbsp;&nbsp;&nbsp; Pikes Peak CLO 14 Ltd., Series 2023-14A, Class A1R, <br> (3-mo. CME Term SOFR + 1.38%), 5.26%, <br> 07/20/38<sup>(a)(b)</sup><br>|  | 250 | 250913 |
| &nbsp;&nbsp;&nbsp; Point Broadband & Funding LLC, Series 2025-1A, <br> Class A2, 5.34%, 07/20/55<sup>(a)</sup><br>|  | 116 | 116848 |
| &nbsp;&nbsp;&nbsp; Porsche Financial Auto Securitization Trust, <br> Series 2024-1A, Class A3, 4.44%, 01/22/30<sup>(a)</sup><br>|  | 2163 | 2170882 |
| &nbsp;&nbsp;&nbsp; Prodigy Finance DAC, Series 2021-1A, Class A, (1-<br> mo. CME Term SOFR + 1.36%), 5.09%, <br> 07/25/51<sup>(a)(b)</sup><br>|  | 29 | 28446 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR10, <br> Class A, 2.39%, 12/17/40<sup>(a)</sup><br>|  | 434 | 413084 |
| &nbsp;&nbsp;&nbsp; QTS Issuer ABS II LLC, Series 2025-1A, Class A2, <br> 5.04%, 10/05/55<sup>(a)</sup><br>|  | 425 | 421250 |
| &nbsp;&nbsp;&nbsp; Rad CLO 18 Ltd., Series 2023-18A, Class A1R, (3-mo. <br> CME Term SOFR + 1.40%), 5.31%, 07/15/37<sup>(a)(b)</sup><br>|  | 490 | 491331 |
| Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 5.83%, 07/15/36<sup>(a)</sup> |  | 103 | 104992 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> |  | 100 | 100776 |
| &nbsp;&nbsp;&nbsp; RR 21 Ltd., Series 2022-21A, Class A1AR, (3-mo. <br> CME Term SOFR + 1.40%), 5.31%, 07/15/39<sup>(a)(b)</sup><br>|  | 260 | 260853 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2023-5, Class A3, 6.02%, 09/15/28<br>|  | 276 | 276992 |
| SFS Auto Receivables Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 4.75%, 07/22/30<sup>(a)</sup> |  | 450 | 454779 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A, Class A3, 4.44%, 12/20/30<sup>(a)</sup> |  | 656 | 661847 |
| &nbsp;&nbsp;&nbsp; SLM Student Loan Trust, Series 2013-4, Class A, <br> (SOFR (30-day) + 0.66%), 4.54%, 06/25/43<sup>(b)</sup><br>|  | 112 | 110725 |
| SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B, Class A2B, (1-mo. CME Term SOFR <br> + 1.11%), 4.87%, 06/15/37<sup>(a)(b)</sup><br>|  | 298 | 298295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2A1, (1-mo. CME Term <br> SOFR + 0.84%), 4.60%, 01/15/53<sup>(a)(b)</sup><br>|  | 555 | 549952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class APL, (1-mo. CME Term SOFR <br> + 0.84%), 0.00%, 01/15/53<sup>(a)(b)</sup><br>|  | 652 | 646219 |
| &nbsp;&nbsp;&nbsp; Series 2022-A, Class APT, 2.85%, 11/16/54<sup>(a)</sup> |  | 453 | 428327 |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A1A, 3.94%, 02/16/55<sup>(a)</sup> |  | 469 | 459362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class A1B, (SOFR (30-day) + <br> 1.80%), 5.78%, 10/16/56<sup>(a)(b)</sup><br>|  | 517 | 526977 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A1A, 5.67%, 11/15/52<sup>(a)</sup> |  | 110 | 112452 |
| &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>|  | 239 | 241562 |
| &nbsp;&nbsp;&nbsp; Series 2024-C, Class A1A, 5.50%, 06/17/52<sup>(a)</sup> |  | 960 | 985105 |
| SoFi Consumer Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> |  | 155 | 155818 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A, 4.82%, 06/25/34<sup>(a)</sup> |  | 661 | 664799 |
| SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> |  | 66 | 66783 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
| SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> | USD  | 90 | $89649 |
| SoFi Professional Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-A, Class A2FX, 2.54%, 05/15/46<sup>(a)</sup> |  | 110 | 106041 |
| &nbsp;&nbsp;&nbsp; Series 2020-C, Class AFX, 1.95%, 02/15/46<sup>(a)</sup> |  | 164 | 154937 |
| &nbsp;&nbsp;&nbsp; Summit Issuer LLC, Series 2025-1A, Class A2, 5.21%, <br> 11/20/55<sup>(a)</sup><br>|  | 264 | 264571 |
| &nbsp;&nbsp;&nbsp; Symphony CLO 40 Ltd., Series 2023-40A, Class AR, <br> (3-mo. CME Term SOFR + 1.31%), 5.22%, <br> 01/05/38<sup>(a)(b)</sup><br>|  | 645 | 647397 |
| Toyota Auto Loan Extended Note Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.07%, 02/27/34<sup>(a)</sup> |  | 572 | 569497 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 4.93%, 06/25/36<sup>(a)</sup> |  | 1000 | 1023124 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.65%, 05/25/38<sup>(a)</sup> |  | 1195 | 1218952 |
| Toyota Auto Receivables Owner Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.11%, 08/16/27 |  | 446 | 445222 |
| &nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 5.16%, 04/17/28 |  | 214 | 215050 |
| &nbsp;&nbsp;&nbsp; Trinitas CLO XIX Ltd., Series 2022-19A, Class A1R, <br> (3-mo. CME Term SOFR + 1.11%), 4.99%, <br> 10/20/33<sup>(a)(b)</sup><br>|  | 363 | 362890 |
| &nbsp;&nbsp;&nbsp; UPX HIL Issuer Trust, Series 2025-1, Class A, 5.16%, <br> 01/25/47<sup>(a)</sup><br>|  | 165 | 166205 |
| &nbsp;&nbsp;&nbsp; Vantage Data Centers Issuer LLC, Series 2025-2A, <br> Class A2, 5.24%, 11/15/55<sup>(a)</sup><br>|  | 166 | 164405 |
| Verizon Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 4.83%, 12/22/31<sup>(a)</sup> |  | 266 | 272359 |
| &nbsp;&nbsp;&nbsp; Series 2024-8, Class A1A, 4.62%, 11/20/30 |  | 1042 | 1057258 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust, Series 2025-<br> P1, Class A3, 4.58%, 06/15/29<sup>(a)</sup><br>|  | 216 | 217996 |
| &nbsp;&nbsp;&nbsp; WF Card Issuance Trust, Series 2024-A1, Class A, <br> 4.94%, 02/15/29<br>|  | 1902 | 1927180 |
| &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>|  | 410 | 409826 |
| **Total Asset-Backed Securities — 22.5%** <br>**(Cost: $86,671,162)** | **Total Asset-Backed Securities — 22.5%** <br>**(Cost: $86,671,162)** | **Total Asset-Backed Securities — 22.5%** <br>**(Cost: $86,671,162)** | 87291307 |
| **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** | **Corporate Bonds** |
| **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** |
| Boeing Co. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.30%, 05/01/29 |  | 349 | 370445 |
| &nbsp;&nbsp;&nbsp; 5.15%, 05/01/30 |  | 320 | 328803 |
| L3Harris Technologies, Inc., 5.40%, 01/15/27 |  | 28 | 28405 |
| RTX Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 11/01/26 |  | 38 | 37602 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/27 |  | 470 | 467727 |
| &nbsp;&nbsp;&nbsp; 3.13%, 05/04/27 |  | 770 | 761777 |
| &nbsp;&nbsp;&nbsp; 5.75%, 01/15/29 |  | 349 | 365029 |
|  |  |  | 2359788 |
| **Automobile Components — 0.1%** | **Automobile Components — 0.1%** | **Automobile Components — 0.1%** | **Automobile Components — 0.1%** |
| Aptiv Swiss Holdings Ltd., 4.65%, 09/13/29 |  | 440 | 448229 |
| **Automobiles — 0.1%** | **Automobiles — 0.1%** | **Automobiles — 0.1%** | **Automobiles — 0.1%** |
| Stellantis NV, 3.38%, 11/19/28<sup>(d)</sup> | EUR  | 200 | 237387 |
| **Banks — 8.1%** | **Banks — 8.1%** | **Banks — 8.1%** | **Banks — 8.1%** |
| Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.56%, 04/23/27 | USD  | 914 | 912329 |
| &nbsp;&nbsp;&nbsp; 1.73%, 07/22/27 |  | 715 | 705879 |
| &nbsp;&nbsp;&nbsp; 6.20%, 11/10/28 |  | 474 | 492539 |
| &nbsp;&nbsp;&nbsp; 3.42%, 12/20/28 |  | 152 | 150088 |
| &nbsp;&nbsp;&nbsp; 4.98%, 01/24/29 |  | 690 | 702913 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.62%, 05/09/29 | USD  | 766 | $776162 |
| &nbsp;&nbsp;&nbsp; 5.82%, 09/15/29 |  | 166 | 173152 |
| &nbsp;&nbsp;&nbsp; 3.97%, 02/07/30 |  | 457 | 454427 |
| &nbsp;&nbsp;&nbsp; 5.16%, 01/24/31 |  | 1165 | 1202693 |
| &nbsp;&nbsp;&nbsp; Series N, 1.66%, 03/11/27 |  | 1220 | 1214282 |
| Citibank N.A., 4.91%, 05/29/30 |  | 375 | 385766 |
| Citigroup, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.20%, 10/21/26 |  | 530 | 526904 |
| &nbsp;&nbsp;&nbsp; 4.64%, 05/07/28 |  | 1771 | 1785376 |
| &nbsp;&nbsp;&nbsp; 5.17%, 02/13/30 |  | 941 | 965608 |
| &nbsp;&nbsp;&nbsp; 4.54%, 09/19/30 |  | 525 | 529175 |
| &nbsp;&nbsp;&nbsp; 4.95%, 05/07/31 |  | 1225 | 1251196 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/11/31 |  | 952 | 954946 |
| JPMorgan Chase & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.96%, 01/29/27 |  | 97 | 96983 |
| &nbsp;&nbsp;&nbsp; 1.47%, 09/22/27 |  | 230 | 225803 |
| &nbsp;&nbsp;&nbsp; 6.07%, 10/22/27 |  | 696 | 706943 |
| &nbsp;&nbsp;&nbsp; 5.57%, 04/22/28 |  | 585 | 596637 |
| &nbsp;&nbsp;&nbsp; 4.98%, 07/22/28 |  | 1002 | 1016926 |
| &nbsp;&nbsp;&nbsp; 4.92%, 01/24/29 |  | 1880 | 1914949 |
| &nbsp;&nbsp;&nbsp; 5.30%, 07/24/29 |  | 969 | 998603 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/22/30 |  | 505 | 518451 |
| &nbsp;&nbsp;&nbsp; 5.14%, 01/24/31 |  | 93 | 96124 |
| &nbsp;&nbsp;&nbsp; 5.10%, 04/22/31 |  | 1397 | 1442370 |
| &nbsp;&nbsp;&nbsp; 4.26%, 10/22/31 |  | 530 | 528392 |
| Morgan Stanley Bank N.A. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.95%, 01/14/28 |  | 915 | 923564 |
| &nbsp;&nbsp;&nbsp; 4.97%, 07/14/28 |  | 765 | 775667 |
| &nbsp;&nbsp;&nbsp; 5.02%, 01/12/29 |  | 675 | 687409 |
| Morgan Stanley Private Bank N.A. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 11/17/28 |  | 605 | 606890 |
| &nbsp;&nbsp;&nbsp; 4.73%, 07/18/31 |  | 250 | 253424 |
| PNC Bank N.A., 4.54%, 05/13/27 |  | 1060 | 1061542 |
| Truist Financial Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 6.05%, 06/08/27 |  | 351 | 353824 |
| &nbsp;&nbsp;&nbsp; 5.44%, 01/24/30 |  | 94 | 97321 |
| Wells Fargo & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.71%, 04/22/28 |  | 165 | 168415 |
| &nbsp;&nbsp;&nbsp; 3.58%, 05/22/28 |  | 440 | 437108 |
| &nbsp;&nbsp;&nbsp; 4.81%, 07/25/28 |  | 95 | 96064 |
| &nbsp;&nbsp;&nbsp; 4.97%, 04/23/29 |  | 334 | 340217 |
| &nbsp;&nbsp;&nbsp; 4.08%, 09/15/29 |  | 1050 | 1049157 |
| &nbsp;&nbsp;&nbsp; 5.15%, 04/23/31 |  | 1119 | 1155035 |
| &nbsp;&nbsp;&nbsp; Series W, 4.90%, 01/24/28 |  | 821 | 827912 |
| Westpac Banking Corp., 4.18%, 05/22/28<sup>(a)</sup> |  | 1205 | 1215649 |
|  |  |  | 31374814 |
| **Biotechnology — 0.3%** | **Biotechnology — 0.3%** | **Biotechnology — 0.3%** | **Biotechnology — 0.3%** |
| AbbVie, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.80%, 03/15/29 |  | 304 | 311457 |
| &nbsp;&nbsp;&nbsp; 3.20%, 11/21/29 |  | 143 | 138678 |
| Amgen, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.60%, 08/19/26 |  | 346 | 343318 |
| &nbsp;&nbsp;&nbsp; 4.05%, 08/18/29 |  | 482 | 481605 |
|  |  |  | 1275058 |
| **Broadline Retail — 0.2%** | **Broadline Retail — 0.2%** | **Broadline Retail — 0.2%** | **Broadline Retail — 0.2%** |
| Amazon.com, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.90%, 11/20/28 |  | 375 | 376148 |
| &nbsp;&nbsp;&nbsp; 4.10%, 11/20/30 |  | 290 | 290316 |
|  |  |  | 666464 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Capital Markets — 4.0%** | **Capital Markets — 4.0%** | **Capital Markets — 4.0%** | **Capital Markets — 4.0%** |
| Deutsche Bank AG, 5.37%, 01/10/29 | USD  | 336 | $342878 |
| Goldman Sachs Group, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.43%, 03/09/27 |  | 555 | 552164 |
| &nbsp;&nbsp;&nbsp; 1.54%, 09/10/27 |  | 1030 | 1011953 |
| &nbsp;&nbsp;&nbsp; 1.95%, 10/21/27 |  | 689 | 677347 |
| &nbsp;&nbsp;&nbsp; 2.64%, 02/24/28 |  | 400 | 393761 |
| &nbsp;&nbsp;&nbsp; 4.94%, 04/23/28 |  | 1515 | 1532304 |
| &nbsp;&nbsp;&nbsp; 4.15%, 10/21/29 |  | 1465 | 1464672 |
| &nbsp;&nbsp;&nbsp; 6.48%, 10/24/29 |  | 175 | 185585 |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/23/30 |  | 950 | 973383 |
| &nbsp;&nbsp;&nbsp; 5.22%, 04/23/31 |  | 938 | 968811 |
| &nbsp;&nbsp;&nbsp; 4.37%, 10/21/31 |  | 930 | 927784 |
| Morgan Stanley |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.88%, 01/27/26 |  | 758 | 757897 |
| &nbsp;&nbsp;&nbsp; 1.59%, 05/04/27 |  | 1719 | 1704040 |
| &nbsp;&nbsp;&nbsp; 4.99%, 04/12/29 |  | 935 | 953520 |
| &nbsp;&nbsp;&nbsp; 5.17%, 01/16/30 |  | 630 | 646737 |
| &nbsp;&nbsp;&nbsp; 5.66%, 04/18/30 |  | 417 | 434441 |
| &nbsp;&nbsp;&nbsp; 5.04%, 07/19/30 |  | 1092 | 1119612 |
| &nbsp;&nbsp;&nbsp; 4.65%, 10/18/30 |  | 375 | 379537 |
| &nbsp;&nbsp;&nbsp; Series I, 4.13%, 10/18/29 |  | 225 | 224928 |
| &nbsp;&nbsp;&nbsp; Series I, 4.36%, 10/22/31 |  | 80 | 79737 |
| UBS Group AG, 4.40%, 09/23/31<sup>(a)</sup> |  | 235 | 233857 |
|  |  |  | 15564948 |
| **Chemicals — 0.0%** | **Chemicals — 0.0%** | **Chemicals — 0.0%** | **Chemicals — 0.0%** |
| LYB International Finance III LLC, 5.13%, 01/15/31 |  | 105 | 105390 |
| **Consumer Finance — 1.0%** | **Consumer Finance — 1.0%** | **Consumer Finance — 1.0%** | **Consumer Finance — 1.0%** |
| Ally Financial, Inc., 5.74%, 05/15/29 |  | 180 | 184570 |
| Capital One Financial Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.88%, 11/02/27 |  | 488 | 478810 |
| &nbsp;&nbsp;&nbsp; 6.31%, 06/08/29 |  | 343 | 359962 |
| &nbsp;&nbsp;&nbsp; 4.49%, 09/11/31 |  | 320 | 319531 |
| Ford Motor Credit Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.80%, 03/05/27 |  | 255 | 258176 |
| &nbsp;&nbsp;&nbsp; 4.95%, 05/28/27 |  | 215 | 215781 |
| &nbsp;&nbsp;&nbsp; 7.35%, 11/04/27 |  | 470 | 490529 |
| &nbsp;&nbsp;&nbsp; 5.88%, 11/07/29 |  | 400 | 410606 |
| Synchrony Financial |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.02%, 07/29/29 |  | 160 | 162013 |
| &nbsp;&nbsp;&nbsp; 5.94%, 08/02/30 |  | 115 | 119850 |
| &nbsp;&nbsp;&nbsp; 5.45%, 03/06/31 |  | 720 | 738216 |
|  |  |  | 3738044 |
| **Diversified REITs — 3.3%** | **Diversified REITs — 3.3%** | **Diversified REITs — 3.3%** | **Diversified REITs — 3.3%** |
| American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.65%, 03/15/27 |  | 531 | 528649 |
| &nbsp;&nbsp;&nbsp; 3.55%, 07/15/27 |  | 516 | 511908 |
| &nbsp;&nbsp;&nbsp; 5.80%, 11/15/28 |  | 361 | 376858 |
| &nbsp;&nbsp;&nbsp; 5.20%, 02/15/29 |  | 164 | 168782 |
| &nbsp;&nbsp;&nbsp; 2.90%, 01/15/30 |  | 350 | 332245 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/31/30 |  | 229 | 234485 |
| &nbsp;&nbsp;&nbsp; 4.90%, 03/15/30 |  | 708 | 723103 |
| Crown Castle, Inc., 1.05%, 07/15/26 |  | 559 | 549755 |
| &nbsp;&nbsp;&nbsp; Equinix Europe 2 Financing Corp. LLC, 4.60%, <br> 11/15/30<br>|  | 601 | 602811 |
| Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 11/18/26 |  | 672 | 665333 |
| &nbsp;&nbsp;&nbsp; 1.80%, 07/15/27 |  | 722 | 697499 |
| &nbsp;&nbsp;&nbsp; 1.55%, 03/15/28 |  | 195 | 184972 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/15/28 |  | 89 | 84928 |
| &nbsp;&nbsp;&nbsp; 3.20%, 11/18/29 |  | 555 | 532771 |
| &nbsp;&nbsp;&nbsp; 2.15%, 07/15/30 |  | 235 | 213139 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Diversified REITs (continued)** | **Diversified REITs (continued)** | **Diversified REITs (continued)** | **Diversified REITs (continued)** |
| &nbsp;&nbsp;&nbsp; GLP Capital LP/GLP Financing II, Inc., 5.30%, <br> 01/15/29<br>| USD  | 610 | $620617 |
| VICI Properties LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 |  | 771 | 778530 |
| &nbsp;&nbsp;&nbsp; 4.75%, 04/01/28 |  | 110 | 111158 |
| &nbsp;&nbsp;&nbsp; 4.95%, 02/15/30 |  | 225 | 227701 |
| VICI Properties LP/VICI Note Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/26<sup>(a)</sup> |  | 533 | 533520 |
| &nbsp;&nbsp;&nbsp; 4.25%, 12/01/26<sup>(a)</sup> |  | 775 | 774870 |
| &nbsp;&nbsp;&nbsp; 5.75%, 02/01/27<sup>(a)</sup> |  | 680 | 687632 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/28<sup>(a)</sup> |  | 874 | 875755 |
| &nbsp;&nbsp;&nbsp; 3.88%, 02/15/29<sup>(a)</sup> |  | 320 | 313780 |
| &nbsp;&nbsp;&nbsp; 4.63%, 12/01/29<sup>(a)</sup> |  | 861 | 859320 |
| &nbsp;&nbsp;&nbsp; 4.13%, 08/15/30<sup>(a)</sup> |  | 590 | 572114 |
|  |  |  | 12762235 |
| **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** |
| AT&T Inc., 1.65%, 02/01/28 |  | 435 | 414653 |
| NTT Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.37%, 07/27/27<sup>(a)</sup> |  | 275 | 276433 |
| &nbsp;&nbsp;&nbsp; 4.62%, 07/16/28<sup>(a)</sup> |  | 245 | 248259 |
|  |  |  | 939345 |
| **Electric Utilities — 2.6%** | **Electric Utilities — 2.6%** | **Electric Utilities — 2.6%** | **Electric Utilities — 2.6%** |
| Dominion Energy, Inc., 5.00%, 06/15/30 |  | 229 | 235283 |
| Duke Energy Carolinas LLC, 4.85%, 03/15/30 |  | 335 | 344894 |
| Duke Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.85%, 01/05/29 |  | 600 | 611755 |
| &nbsp;&nbsp;&nbsp; 3.40%, 06/15/29 |  | 110 | 107373 |
| Enel Finance International NV, 4.38%, 09/30/30<sup>(a)</sup> |  | 510 | 507844 |
| Eversource Energy |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.75%, 05/15/26 |  | 285 | 285715 |
| &nbsp;&nbsp;&nbsp; 4.45%, 12/15/30 |  | 150 | 149160 |
| Exelon Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/15/28 |  | 253 | 258477 |
| &nbsp;&nbsp;&nbsp; 5.15%, 03/15/29 |  | 270 | 277603 |
| FirstEnergy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 03/01/30 |  | 295 | 275052 |
| &nbsp;&nbsp;&nbsp; Series B, 3.90%, 07/15/27 |  | 230 | 229082 |
| &nbsp;&nbsp;&nbsp; Series B, 2.25%, 09/01/30 |  | 108 | 97781 |
| FirstEnergy Transmission LLC, 4.55%, 01/15/30 |  | 141 | 142091 |
| &nbsp;&nbsp;&nbsp; National Rural Utilities Cooperative Finance Corp., <br> 4.75%, 02/07/28<br>|  | 29 | 29440 |
| NextEra Energy Capital Holdings, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.69%, 09/01/27 |  | 445 | 450288 |
| &nbsp;&nbsp;&nbsp; 4.85%, 02/04/28 |  | 477 | 485738 |
| NRG Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.45%, 12/02/27<sup>(a)</sup> |  | 243 | 234828 |
| &nbsp;&nbsp;&nbsp; 4.73%, 10/15/30<sup>(a)</sup> |  | 295 | 295374 |
| Ohio Edison Co., 4.95%, 12/15/29<sup>(a)</sup> |  | 131 | 133962 |
| Oncor Electric Delivery Co. LLC, 4.65%, 11/01/29 |  | 413 | 419739 |
| Pacific Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.10%, 08/01/27 |  | 159 | 154143 |
| &nbsp;&nbsp;&nbsp; 5.55%, 05/15/29 |  | 947 | 977088 |
| &nbsp;&nbsp;&nbsp; 4.55%, 07/01/30 |  | 407 | 405251 |
| &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc., 4.90%, <br> 03/15/30<br>|  | 212 | 216781 |
| Southern California Edison Co., 5.65%, 10/01/28 |  | 77 | 79685 |
| Southern Co. (The), 5.50%, 03/15/29 |  | 641 | 665263 |
| &nbsp;&nbsp;&nbsp; Texas Electric Market Stabilization Funding N LLC, <br> Series A-1, 4.27%, 08/01/34<sup>(a)</sup><br>|  | 270 | 269442 |
| Vistra Operations Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.05%, 12/30/26<sup>(a)</sup> |  | 120 | 120856 |
| &nbsp;&nbsp;&nbsp; 3.70%, 01/30/27<sup>(a)</sup> |  | 265 | 263142 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** | **Electric Utilities (continued)** |
| Vistra Operations Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.30%, 10/15/28<sup>(a)</sup> | USD  | 400 | $400308 |
| &nbsp;&nbsp;&nbsp; 4.30%, 07/15/29<sup>(a)</sup> |  | 460 | 456792 |
| &nbsp;&nbsp;&nbsp; 4.60%, 10/15/30<sup>(a)</sup> |  | 485 | 484803 |
|  |  |  | 10065033 |
| **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** | **Electrical Equipment — 0.0%** |
| &nbsp;&nbsp;&nbsp; NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 3.40%, <br> 05/01/30<br>|  | 12 | 11564 |
| **Financial Services — 0.8%** | **Financial Services — 0.8%** | **Financial Services — 0.8%** | **Financial Services — 0.8%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation <br> Trust, 4.38%, 11/15/30<br>|  | 270 | 269173 |
| Glencore Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/27/27<sup>(a)</sup> |  | 686 | 685309 |
| &nbsp;&nbsp;&nbsp; 5.34%, 04/04/27<sup>(a)</sup> |  | 216 | 219339 |
| &nbsp;&nbsp;&nbsp; 4.91%, 04/01/28<sup>(a)</sup> |  | 133 | 135214 |
| &nbsp;&nbsp;&nbsp; 5.40%, 05/08/28<sup>(a)</sup> |  | 254 | 260549 |
| &nbsp;&nbsp;&nbsp; 6.13%, 10/06/28<sup>(a)</sup> |  | 423 | 443750 |
| &nbsp;&nbsp;&nbsp; 4.88%, 03/12/29<sup>(a)</sup> |  | 185 | 187968 |
| &nbsp;&nbsp;&nbsp; 5.37%, 04/04/29<sup>(a)</sup> |  | 310 | 319927 |
| &nbsp;&nbsp;&nbsp; 5.19%, 04/01/30<sup>(a)</sup> |  | 400 | 411067 |
|  |  |  | 2932296 |
| **Ground Transportation — 0.7%** | **Ground Transportation — 0.7%** | **Ground Transportation — 0.7%** | **Ground Transportation — 0.7%** |
| Ryder System, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.85%, 03/01/27 |  | 370 | 365190 |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/01/28 |  | 130 | 133449 |
| &nbsp;&nbsp;&nbsp; 4.90%, 12/01/29 |  | 65 | 66348 |
| Uber Technologies, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/29<sup>(a)</sup> |  | 1125 | 1125138 |
| &nbsp;&nbsp;&nbsp; 4.30%, 01/15/30 |  | 410 | 412561 |
| &nbsp;&nbsp;&nbsp; 4.15%, 01/15/31 |  | 715 | 712355 |
|  |  |  | 2815041 |
| **Health Care Providers & Services — 1.6%** | **Health Care Providers & Services — 1.6%** | **Health Care Providers & Services — 1.6%** | **Health Care Providers & Services — 1.6%** |
| Elevance Health, Inc., 5.15%, 06/15/29 |  | 316 | 326068 |
| HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.25%, 06/15/26 |  | 590 | 590459 |
| &nbsp;&nbsp;&nbsp; 5.38%, 09/01/26 |  | 876 | 877891 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/28 |  | 1263 | 1286541 |
| &nbsp;&nbsp;&nbsp; 5.63%, 09/01/28 |  | 235 | 242232 |
| &nbsp;&nbsp;&nbsp; 4.13%, 06/15/29 |  | 1351 | 1346419 |
| &nbsp;&nbsp;&nbsp; 5.25%, 03/01/30 |  | 500 | 516163 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/30 |  | 411 | 395242 |
| &nbsp;&nbsp;&nbsp; 4.30%, 11/15/30 |  | 310 | 308828 |
| Humana, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.75%, 03/01/28 |  | 124 | 127848 |
| &nbsp;&nbsp;&nbsp; 5.38%, 04/15/31 |  | 290 | 299827 |
|  |  |  | 6317518 |
| **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** |
| Honeywell International, Inc., 4.70%, 02/01/30 |  | 320 | 327032 |
| **Interactive Media & Services — 0.2%** | **Interactive Media & Services — 0.2%** | **Interactive Media & Services — 0.2%** | **Interactive Media & Services — 0.2%** |
| Alphabet, Inc., 4.10%, 11/15/30 |  | 330 | 331013 |
| Netflix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 11/15/28 |  | 215 | 226047 |
| &nbsp;&nbsp;&nbsp; 4.88%, 06/15/30<sup>(a)</sup> |  | 280 | 287063 |
|  |  |  | 844123 |
| **IT Services — 0.6%** | **IT Services — 0.6%** | **IT Services — 0.6%** | **IT Services — 0.6%** |
| Dell International LLC/EMC Corp., 4.50%, 02/15/31 |  | 240 | 239657 |
| Fidelity National Information Services, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.15%, 03/01/26 |  | 349 | 347308 |
| &nbsp;&nbsp;&nbsp; 1.65%, 03/01/28 |  | 225 | 213584 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** | **IT Services (continued)** |
| Foundry JV Holdco LLC, 5.50%, 01/25/31<sup>(a)</sup> | USD  | 390 | $402556 |
| Global Payments, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.20%, 03/01/26 |  | 282 | 280683 |
| &nbsp;&nbsp;&nbsp; 4.80%, 04/01/26 |  | 178 | 178036 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/15/28 |  | 400 | 400761 |
| &nbsp;&nbsp;&nbsp; 4.88%, 11/15/30 |  | 150 | 150167 |
|  |  |  | 2212752 |
| **Media — 0.6%** | **Media — 0.6%** | **Media — 0.6%** | **Media — 0.6%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter <br> Communications Operating Capital<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 |  | 813 | 808954 |
| &nbsp;&nbsp;&nbsp; 2.25%, 01/15/29 |  | 1372 | 1284320 |
| Warnermedia Holdings, Inc., 3.76%, 03/15/27 |  | 145 | 144024 |
|  |  |  | 2237298 |
| **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** |
| Steel Dynamics, Inc., 4.00%, 12/15/28 |  | 390 | 389552 |
| **Multi-Utilities — 0.1%** | **Multi-Utilities — 0.1%** | **Multi-Utilities — 0.1%** | **Multi-Utilities — 0.1%** |
| Consumers Energy Co. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.60%, 05/30/29 |  | 129 | 131095 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/31 |  | 270 | 272975 |
|  |  |  | 404070 |
| **Oil, Gas & Consumable Fuels — 3.8%** | **Oil, Gas & Consumable Fuels — 3.8%** | **Oil, Gas & Consumable Fuels — 3.8%** | **Oil, Gas & Consumable Fuels — 3.8%** |
| Cheniere Corpus Christi Holdings LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.13%, 06/30/27 |  | 341 | 344298 |
| &nbsp;&nbsp;&nbsp; 3.70%, 11/15/29 |  | 600 | 585949 |
| Cheniere Energy Partners LP, 4.50%, 10/01/29 |  | 2178 | 2182579 |
| Diamondback Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 |  | 493 | 478249 |
| &nbsp;&nbsp;&nbsp; 5.15%, 01/30/30 |  | 480 | 493712 |
| Enbridge, Inc., 5.25%, 04/05/27 |  | 174 | 176402 |
| Energy Transfer LP |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.20%, 04/15/27 |  | 126 | 126054 |
| &nbsp;&nbsp;&nbsp; 6.10%, 12/01/28 |  | 827 | 868660 |
| &nbsp;&nbsp;&nbsp; 5.25%, 07/01/29 |  | 365 | 375613 |
| EQT Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.13%, 05/15/26<sup>(a)</sup> |  | 111 | 110366 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/27 |  | 155 | 157989 |
| &nbsp;&nbsp;&nbsp; 3.90%, 10/01/27 |  | 521 | 518627 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/29 |  | 650 | 651533 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/29 |  | 188 | 190451 |
| &nbsp;&nbsp;&nbsp; 6.38%, 04/01/29 |  | 881 | 911642 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 |  | 433 | 470304 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30 |  | 890 | 978972 |
| &nbsp;&nbsp;&nbsp; 4.75%, 01/15/31 |  | 380 | 382494 |
| Expand Energy Corp., 5.38%, 03/15/30 |  | 907 | 919325 |
| Occidental Petroleum Corp., 5.00%, 08/01/27 |  | 68 | 69240 |
| Sabine Pass Liquefaction LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 5.88%, 06/30/26 |  | 160 | 160226 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 |  | 101 | 101679 |
| &nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 |  | 748 | 748736 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/30 |  | 404 | 405635 |
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources <br> Partners Finance Corp., 5.50%, 03/01/30<br>|  | 918 | 932142 |
| Viper Energy Partners LLC, 4.90%, 08/01/30 |  | 1285 | 1299739 |
| Williams Cos., Inc. (The), 3.75%, 06/15/27 |  | 95 | 94619 |
|  |  |  | 14735235 |
| **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** | **Passenger Airlines — 0.1%** |
| AS Mileage Plan IP Ltd., 5.02%, 10/20/29<sup>(a)</sup> |  | 545 | 548783 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** | **Pharmaceuticals — 0.1%** |
| Merck & Co., Inc., 4.15%, 03/15/31 | USD  | 230 | $229279 |
| Pfizer, Inc., 4.20%, 11/15/30 |  | 295 | 296366 |
|  |  |  | 525645 |
| **Professional Services — 0.2%** | **Professional Services — 0.2%** | **Professional Services — 0.2%** | **Professional Services — 0.2%** |
| Paychex, Inc., 5.10%, 04/15/30 |  | 555 | 571380 |
| **Retail REITs — 0.0%** | **Retail REITs — 0.0%** | **Retail REITs — 0.0%** | **Retail REITs — 0.0%** |
| Realty Income Corp., 3.25%, 06/15/29 |  | 52 | 50534 |
| **Semiconductors & Semiconductor Equipment — 0.7%** | **Semiconductors & Semiconductor Equipment — 0.7%** | **Semiconductors & Semiconductor Equipment — 0.7%** | **Semiconductors & Semiconductor Equipment — 0.7%** |
| Applied Materials, Inc., 4.00%, 01/15/31 |  | 240 | 238781 |
| Broadcom, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/29<sup>(a)</sup> |  | 551 | 548677 |
| &nbsp;&nbsp;&nbsp; 5.05%, 07/12/29 |  | 807 | 830869 |
| &nbsp;&nbsp;&nbsp; 4.35%, 02/15/30 |  | 140 | 140914 |
| &nbsp;&nbsp;&nbsp; 4.60%, 07/15/30 |  | 140 | 142244 |
| &nbsp;&nbsp;&nbsp; 4.20%, 10/15/30 |  | 126 | 125904 |
| &nbsp;&nbsp;&nbsp; 4.15%, 11/15/30 |  | 415 | 413299 |
| Micron Technology, Inc., 5.30%, 01/15/31 |  | 430 | 445402 |
|  |  |  | 2886090 |
| **Software — 1.1%** | **Software — 1.1%** | **Software — 1.1%** | **Software — 1.1%** |
| AppLovin Corp., 5.13%, 12/01/29 |  | 2118 | 2172486 |
| Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.65%, 07/15/26 |  | 71 | 70416 |
| &nbsp;&nbsp;&nbsp; 2.80%, 04/01/27 |  | 195 | 191131 |
| &nbsp;&nbsp;&nbsp; 3.25%, 11/15/27 |  | 738 | 721963 |
| &nbsp;&nbsp;&nbsp; 4.20%, 09/27/29 |  | 245 | 240114 |
| &nbsp;&nbsp;&nbsp; 4.45%, 09/26/30 |  | 420 | 410901 |
| Synopsys, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.65%, 04/01/28 |  | 190 | 192560 |
| &nbsp;&nbsp;&nbsp; 4.85%, 04/01/30 |  | 390 | 398328 |
|  |  |  | 4397899 |
| **Tobacco — 1.6%** | **Tobacco — 1.6%** | **Tobacco — 1.6%** | **Tobacco — 1.6%** |
| Altria Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.88%, 02/04/28 |  | 98 | 99615 |
| &nbsp;&nbsp;&nbsp; 6.20%, 11/01/28 |  | 399 | 421381 |
| &nbsp;&nbsp;&nbsp; 4.80%, 02/14/29 |  | 689 | 700776 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/06/30 |  | 368 | 370934 |
| BAT Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.56%, 08/15/27 |  | 1406 | 1395186 |
| &nbsp;&nbsp;&nbsp; 6.34%, 08/02/30 |  | 414 | 447770 |
| BAT International Finance PLC |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.67%, 03/25/26 |  | 91 | 90498 |
| &nbsp;&nbsp;&nbsp; 4.45%, 03/16/28 |  | 277 | 279152 |
| &nbsp;&nbsp;&nbsp; 5.93%, 02/02/29 |  | 555 | 582377 |
| Philip Morris International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.88%, 02/15/28 |  | 642 | 654323 |
| &nbsp;&nbsp;&nbsp; 3.13%, 03/02/28 |  | 152 | 149528 |
| &nbsp;&nbsp;&nbsp; 3.88%, 10/27/28 |  | 151 | 150816 |
| &nbsp;&nbsp;&nbsp; 4.38%, 04/30/30 |  | 406 | 408503 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/29/30 |  | 495 | 490506 |
|  |  |  | 6241365 |
| **Wireless Telecommunication Services — 1.2%** | **Wireless Telecommunication Services — 1.2%** | **Wireless Telecommunication Services — 1.2%** | **Wireless Telecommunication Services — 1.2%** |
| Rogers Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.90%, 11/15/26 |  | 60 | 59386 |
| &nbsp;&nbsp;&nbsp; 3.20%, 03/15/27 |  | 825 | 816714 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/29 |  | 257 | 261872 |
| T-Mobile U.S.A., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/15/26 |  | 260 | 259149 |
| &nbsp;&nbsp;&nbsp; 4.75%, 02/01/28 |  | 868 | 868340 |
| &nbsp;&nbsp;&nbsp; 2.05%, 02/15/28 |  | 902 | 865875 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** | **Wireless Telecommunication Services (continued)** |
| T-Mobile U.S.A., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.38%, 04/15/29 | USD  | 694 | $676387 |
| &nbsp;&nbsp;&nbsp; 3.88%, 04/15/30 |  | 778 | 765066 |
|  |  |  | 4572789 |
| **Total Corporate Bonds — 34.1%** <br>**(Cost: $130,810,777)** | **Total Corporate Bonds — 34.1%** <br>**(Cost: $130,810,777)** | **Total Corporate Bonds — 34.1%** <br>**(Cost: $130,810,777)** | 132557701 |
| **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** |
| **Canada — 0.2%** | **Canada — 0.2%** | **Canada — 0.2%** | **Canada — 0.2%** |
| OMERS Finance Trust, 4.38%, 03/20/30<sup>(a)</sup> |  | 550 | 559391 |
| **Uruguay — 0.0%** | **Uruguay — 0.0%** | **Uruguay — 0.0%** | **Uruguay — 0.0%** |
| Oriental Republic of Uruguay, 4.38%, 01/23/31 |  | 0 <br><sup>(e)</sup><br>| 3 |
| **Total Foreign Government Obligations — 0.2%** <br>**(Cost: $548,768)** | **Total Foreign Government Obligations — 0.2%** <br>**(Cost: $548,768)** | **Total Foreign Government Obligations — 0.2%** <br>**(Cost: $548,768)** | 559394 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 7.3%** | **Collateralized Mortgage Obligations — 7.3%** | **Collateralized Mortgage Obligations — 7.3%** | **Collateralized Mortgage Obligations — 7.3%** |
| &nbsp;&nbsp;&nbsp; ACRA Trust, Series 2024-NQM1, Class A1, 5.61%, <br> 10/25/64<sup>(a)(c)</sup><br>|  | 331 | 332562 |
| Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-2, Class A1A, 2.53%, 01/26/65<sup>(a)(b)</sup> |  | 384 | 365994 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup> |  | 239 | 228547 |
| &nbsp;&nbsp;&nbsp; Series 2023-6, Class A1, 6.50%, 12/25/67<sup>(a)(c)</sup> |  | 130 | 131227 |
| &nbsp;&nbsp;&nbsp; Series 2025-11, Class A1, 4.98%, 10/25/70<sup>(a)(b)</sup> |  | 304 | 304417 |
| &nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(c)</sup> |  | 196 | 198235 |
| &nbsp;&nbsp;&nbsp; Series 2025-7, Class A1, 5.51%, 06/25/70<sup>(a)(c)</sup> |  | 735 | 741829 |
| &nbsp;&nbsp;&nbsp; Arroyo Mortgage Trust, Series 2022-2, Class A1, <br> 4.95%, 07/25/57<sup>(a)(c)</sup><br>|  | 198 | 197273 |
| &nbsp;&nbsp;&nbsp; Barclays Mortgage Loan Trust, Series 2024-NQM1, <br> Class A1, 5.90%, 01/25/64<sup>(a)(c)</sup><br>|  | 280 | 281696 |
| BRAVO Residential Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.60%, 09/25/63<sup>(a)(c)</sup> |  | 279 | 280764 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.94%, 12/01/63<sup>(a)(c)</sup> |  | 509 | 512216 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, 11/25/64<sup>(a)(c)</sup> |  | 272 | 274861 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.57%, 03/25/65<sup>(a)(c)</sup> |  | 127 | 127730 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.61%, 02/25/65<sup>(a)(c)</sup> |  | 328 | 331734 |
| &nbsp;&nbsp;&nbsp; Bunker Hill Loan Depositary Trust, Series 2019-3, <br> Class A1, 2.72%, 11/25/59<sup>(a)(c)</sup><br>|  | 77 | 76192 |
| Chase Home Lending Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2019-ATR2, Class A3, 3.50%, 07/25/49<sup>(a)(b)</sup> |  | 120 | 109595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-11, Class A11, (SOFR (30-day) + <br> 1.30%), 5.17%, 02/25/56<sup>(a)(b)</sup><br>|  | 545 | 547323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class A11, (SOFR (30-day) + <br> 1.30%), 5.17%, 02/25/56<sup>(a)(b)</sup><br>|  | 487 | 486817 |
| COLT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 3.90%, 02/25/67<sup>(a)(b)</sup> |  | 98 | 96655 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A1, 6.60%, 07/25/68<sup>(a)(c)</sup> |  | 103 | 103007 |
| &nbsp;&nbsp;&nbsp; Series 2025-4, Class A1, 5.79%, 04/25/70<sup>(a)(c)</sup> |  | 431 | 436413 |
| Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-3, Class A9, 3.50%, 03/25/45<sup>(a)(b)</sup> |  | 63 | 59139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-ATH1, Class A1A, 2.87%, <br> 01/25/67<sup>(a)(b)</sup><br>|  | 189 | 184203 |
| Cross Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-H2, Class A1, 5.36%, 03/25/70<sup>(a)(b)</sup> |  | 294 | 295552 |
| &nbsp;&nbsp;&nbsp; Series 2025-H3, Class A1, 5.88%, 04/25/70<sup>(a)(b)</sup> |  | 603 | 611324 |
| &nbsp;&nbsp;&nbsp; Ellington Financial Mortgage Trust, Series 2025-INV2, <br> Class A1, 5.39%, 05/26/70<sup>(a)(c)</sup><br>|  | 387 | 390260 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Flagstar Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1INV, Class A11, (1-mo. CME Term <br> SOFR + 0.96%), 4.70%, 03/25/50<sup>(a)(b)</sup><br>| USD  | 349 | $334553 |
| &nbsp;&nbsp;&nbsp; Series 2021-12, Class A19, 5.00%, 11/25/51<sup>(a)(b)</sup> |  | 566 | 558021 |
| GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM7, Class A1, 1.92%, 08/25/66<sup>(a)(b)</sup> |  | 157 | 147109 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 0.00%, 10/25/70<sup>(a)(b)</sup> |  | 223 | 222616 |
| GS Mortgage-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-DSC2, Class A1, 5.04%, 01/25/66<sup>(a)(c)</sup> |  | 236 | 236466 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.01%, 07/25/65<sup>(a)(c)</sup> |  | 173 | 173411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-PJ10, Class A27, (SOFR (30-day) + <br> 1.35%), 5.22%, 04/25/56<sup>(a)(b)</sup><br>|  | 367 | 367650 |
| HOMES Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM1, Class A1, 6.18%, 01/25/68<sup>(a)(c)</sup> |  | 636 | 634754 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.46%, 02/25/68<sup>(a)(c)</sup> |  | 573 | 573911 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 5.72%, 10/25/69<sup>(a)(c)</sup> |  | 408 | 411353 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.43%, 02/25/70<sup>(a)(c)</sup> |  | 372 | 374642 |
| JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2014-2, Class 1A1, 3.00%, 06/25/29<sup>(a)(b)</sup> |  | 67 | 65786 |
| &nbsp;&nbsp;&nbsp; Series 2023-DSC1, Class A1, 4.63%, 07/25/63<sup>(a)(b)</sup> |  | 309 | 305231 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A3, 6.00%, 08/25/54<sup>(a)(b)</sup> |  | 63 | 63361 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 4.95%, 03/25/66<sup>(a)(b)</sup> |  | 664 | 664688 |
| Mello Mortgage Capital Acceptance |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-MTG1, Class A9, 3.50%, 03/25/48<sup>(a)(b)</sup> |  | 679 | 622899 |
| &nbsp;&nbsp;&nbsp; Series 2022-INV2, Class A3, 3.00%, 04/25/52<sup>(a)(b)</sup> |  | 377 | 329280 |
| MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-INV2, Class A1, 1.91%, 11/25/56<sup>(a)(b)</sup> |  | 201 | 184560 |
| &nbsp;&nbsp;&nbsp; Series 2023-INV2, Class A1, 6.78%, 10/25/58<sup>(a)(c)</sup> |  | 122 | 122879 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.62%, 07/25/68<sup>(a)(c)</sup> |  | 291 | 292754 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.44%, 03/25/70<sup>(a)(c)</sup> |  | 474 | 476777 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, 05/27/70<sup>(a)(c)</sup> |  | 319 | 321411 |
| Mill City Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-1, Class M2, 3.25%, 11/25/58<sup>(a)(b)</sup> |  | 69 | 68213 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.24%, 12/25/67<sup>(a)(c)</sup> |  | 369 | 369510 |
| &nbsp;&nbsp;&nbsp; Mill City Mortgage Trust, Series 2015-2, Class M3, <br> 3.69%, 09/25/57<sup>(a)(b)</sup><br>|  | 242 | 240733 |
| Morgan Stanley Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class A1, 5.65%, 10/25/69<sup>(a)(b)</sup> |  | 579 | 585356 |
| &nbsp;&nbsp;&nbsp; Series 2025-DSC1, Class A1, 5.56%, 03/25/70<sup>(a)(c)</sup> |  | 367 | 371356 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.59%, 06/25/70<sup>(a)(c)</sup> |  | 517 | 520914 |
| New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-1A, Class A1B, 3.50%, 10/25/59<sup>(a)(b)</sup> |  | 237 | 224010 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.57%, 04/25/65<sup>(a)(c)</sup> |  | 242 | 244971 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM5, Class A1, 5.11%, 08/25/65<sup>(a)(b)</sup> |  | 451 | 451968 |
| OBX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EXP3, Class 2A1B, (1-mo. CME Term <br> SOFR + 1.01%), 4.75%, 01/25/60<sup>(a)(b)</sup><br>|  | 383 | 382281 |
| &nbsp;&nbsp;&nbsp; Series 2022-INV3, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup> |  | 165 | 144259 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM1, Class A1, 6.12%, 11/25/62<sup>(a)(b)</sup> |  | 620 | 618356 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.52%, 07/25/63<sup>(a)(c)</sup> |  | 315 | 316227 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.65%, 12/01/64<sup>(a)(c)</sup> |  | 143 | 144873 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.40%, 02/25/55<sup>(a)(c)</sup> |  | 288 | 289843 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM6, Class A1, 5.60%, 03/25/65<sup>(a)(c)</sup> |  | 240 | 242003 |
| &nbsp;&nbsp;&nbsp; PRET Trust, Series 2025-RPL2, Class A1, 4.00%, <br> 08/25/64<sup>(a)(c)</sup><br>|  | 93 | 90709 |
| PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, 11/25/56<sup>(a)(b)</sup> |  | 270 | 241514 |
| &nbsp;&nbsp;&nbsp; Series 2023-AFC3, Class A1, 6.58%, 09/25/58<sup>(a)(c)</sup> |  | 931 | 936467 |
| PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.25%, 08/25/68<sup>(a)(c)</sup> |  | 98 | 98755 |
| &nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.22%, 11/25/68<sup>(a)(c)</sup> |  | 322 | 325443 |
| &nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 6.33%, 06/25/69<sup>(a)(c)</sup> |  | 79 | 79890 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-RCF1, Class A1, 4.00%, 01/25/54<sup>(a)(c)</sup> | USD  | 78 | $76832 |
| &nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, 11/25/69<sup>(a)(c)</sup> |  | 218 | 219318 |
| &nbsp;&nbsp;&nbsp; RCKT Mortgage Trust, Series 2022-2, Class A1, <br> 3.00%, 02/25/52<sup>(a)(b)</sup><br>|  | 382 | 334646 |
| &nbsp;&nbsp;&nbsp; Residential Mortgage Loan Trust, Series 2019-3, <br> Class M1, 3.26%, 09/25/59<sup>(a)(b)</sup><br>|  | 208 | 206309 |
| &nbsp;&nbsp;&nbsp; Santander Mortgage Asset Receivable Trust, <br> Series 2025-NQM2, Class A1, 5.73%, 02/25/65<sup>(a)(c)</sup><br>|  | 308 | 311648 |
| Sequoia Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HYB1, Class A1A, 4.51%, <br> 11/25/63<sup>(a)(b)</sup><br>|  | 343 | 344339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-10, Class A26F, (SOFR (30-day) + <br> 1.25%), 5.12%, 11/25/55<sup>(a)(b)</sup><br>|  | 558 | 557821 |
| &nbsp;&nbsp;&nbsp; SG Residential Mortgage Trust, Series 2022-2, <br> Class A1, 5.35%, 08/25/62<sup>(a)(c)</sup><br>|  | 120 | 120202 |
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust, Series 2020-3, <br> Class A1, 1.49%, 04/25/65<sup>(a)(b)</sup><br>|  | 66 | 64212 |
| Towd Point Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2015-1, Class A5, 4.57%, 10/25/53<sup>(a)(b)</sup> |  | 147 | 146812 |
| &nbsp;&nbsp;&nbsp; Series 2016-2, Class M1, 3.00%, 08/25/55<sup>(a)(b)</sup> |  | 132 | 131020 |
| &nbsp;&nbsp;&nbsp; Series 2017-4, Class A1, 2.75%, 06/25/57<sup>(a)(b)</sup> |  | 231 | 227381 |
| &nbsp;&nbsp;&nbsp; Series 2018-1, Class A1, 3.00%, 01/25/58<sup>(a)(b)</sup> |  | 58 | 57463 |
| &nbsp;&nbsp;&nbsp; Series 2018-2, Class A1, 3.25%, 03/25/58<sup>(a)(b)</sup> |  | 222 | 220458 |
| &nbsp;&nbsp;&nbsp; Series 2018-6, Class A1A, 3.75%, 03/25/58<sup>(a)(b)</sup> |  | 155 | 153955 |
| Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 2.72%, 01/25/67<sup>(a)(c)</sup> |  | 121 | 113862 |
| &nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 4.26%, 02/25/67<sup>(a)(c)</sup> |  | 200 | 192680 |
| &nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 4.13%, 02/25/67<sup>(a)(c)</sup> |  | 296 | 284857 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A1, 6.19%, 03/25/68<sup>(a)(c)</sup> |  | 900 | 899238 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A2, 6.60%, 03/25/68<sup>(a)(c)</sup> |  | 155 | 154608 |
| &nbsp;&nbsp;&nbsp; Series 2023-3, Class A1, 5.93%, 03/25/68<sup>(a)(c)</sup> |  | 531 | 531080 |
| &nbsp;&nbsp;&nbsp; Series 2025-3, Class A1, 5.62%, 05/25/70<sup>(a)(c)</sup> |  | 599 | 605507 |
| &nbsp;&nbsp;&nbsp; Series 2025-9, Class A1, 4.94%, 10/27/70<sup>(a)(b)</sup> |  | 289 | 288877 |
|  |  |  | 28420453 |
| **Commercial Mortgage-Backed Securities — 8.0%** | **Commercial Mortgage-Backed Securities — 8.0%** | **Commercial Mortgage-Backed Securities — 8.0%** | **Commercial Mortgage-Backed Securities — 8.0%** |
| 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>|  | 260 | 260809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AOA, Class B, (1-mo. CME Term <br> SOFR + 2.00%), 5.75%, 06/15/42<sup>(a)(b)</sup><br>|  | 147 | 147350 |
| ALA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OANA, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 5.49%, 06/15/40<sup>(a)(b)</sup><br>|  | 299 | 300121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OANA, Class B, (1-mo. CME Term <br> SOFR + 1.84%), 5.59%, 06/15/40<sup>(a)(b)</sup><br>|  | 211 | 211527 |
| &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>|  | 420 | 399920 |
| &nbsp;&nbsp;&nbsp; Arbor Multifamily Mortgage Securities Trust, <br> Series 2020-MF1, Class ASB, 2.58%, 05/15/53<sup>(a)</sup><br>|  | 439 | 426642 |
| &nbsp;&nbsp;&nbsp; ARES Trust, Series 2025-IND3, Class A, (1-mo. CME <br> Term SOFR + 1.50%), 5.25%, 04/15/42<sup>(a)(b)</sup><br>|  | 300 | 300187 |
| BANK5 |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR10, Class A3, 5.30%, 10/15/57 |  | 975 | 1004730 |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR11, Class A3, 5.89%, 11/15/57 |  | 195 | 204977 |
| &nbsp;&nbsp;&nbsp; Series 2024-5YR8, Class A3, 5.88%, 08/15/57 |  | 220 | 230405 |
| &nbsp;&nbsp;&nbsp; Barclays Commercial Mortgage Trust, Series 2019-C5, <br> Class ASB, 2.99%, 11/15/52<br>|  | 181 | 178633 |
| &nbsp;&nbsp;&nbsp; BAY Mortgage Trust, Series 2025-LIVN, Class A, (1-<br> mo. CME Term SOFR + 1.80%), 5.55%, <br> 05/15/35<sup>(a)(b)</sup><br>|  | 386 | 386268 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BBCMS Mortgage Trust |  |  |  |
| &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>| USD  | 200 | $189319 |
| &nbsp;&nbsp;&nbsp; Series 2024-5C29, Class A3, 5.21%, 09/15/57 |  | 640 | 657756 |
| &nbsp;&nbsp;&nbsp; Series 2024-5C31, Class A3, 5.61%, 12/15/57 |  | 390 | 406553 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C33, Class A4, 5.84%, 03/15/58 |  | 250 | 263195 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2022-B34, Class AM, 3.82%, 04/15/55<sup>(b)</sup> |  | 265 | 240284 |
| &nbsp;&nbsp;&nbsp; Series 2024-V12, Class A3, 5.74%, 12/15/57 |  | 1100 | 1150796 |
| &nbsp;&nbsp;&nbsp; Series 2025-V18, Class B, 5.95%, 10/15/58 |  | 270 | 277567 |
| BFLD Trust |  |  |  |
| &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>|  | 100 | 100062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class B, (1-mo. CME Term <br> SOFR + 1.84%), 5.59%, 11/15/41<sup>(a)(b)</sup><br>|  | 70 | 70108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WRHS, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.24%, 07/15/39<sup>(a)(b)</sup><br>|  | 278 | 278186 |
| &nbsp;&nbsp;&nbsp; Series 2025-5MW, Class B, 5.16%, 10/10/42<sup>(a)(b)</sup> |  | 378 | 381904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class B, (1-mo. CME Term <br> SOFR + 1.80%), 5.55%, 11/15/42<sup>(a)(b)</sup><br>|  | 305 | 305949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class B, (1-mo. CME Term <br> SOFR + 1.90%), 5.65%, 06/15/42<sup>(a)(b)</sup><br>|  | 260 | 260000 |
| &nbsp;&nbsp;&nbsp; Series 2025-FPM, Class A, 5.01%, 10/10/40<sup>(a)(b)</sup> |  | 161 | 162827 |
| &nbsp;&nbsp;&nbsp; Series 2025-FPM, Class B, 5.59%, 10/10/40<sup>(a)(b)</sup> |  | 190 | 192430 |
| BMO Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-5C6, Class A3, 5.32%, 09/15/57 |  | 330 | 339366 |
| &nbsp;&nbsp;&nbsp; Series 2025-5C9, Class AS, 6.17%, 04/15/58<sup>(b)</sup> |  | 155 | 162166 |
| &nbsp;&nbsp;&nbsp; Series 2025-C11, Class A5, 5.69%, 02/15/58 |  | 216 | 227970 |
| &nbsp;&nbsp;&nbsp; Series 2025-C11, Class ASB, 5.68%, 02/15/58 |  | 185 | 195874 |
| &nbsp;&nbsp;&nbsp; BPR Trust, Series 2025-STAR, Class B, 5.38%, <br> 11/05/42<sup>(a)(b)</sup><br>|  | 200 | 200729 |
| BSTN Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-1C, Class A, 5.37%, 06/15/44<sup>(a)(b)</sup> |  | 197 | 202292 |
| &nbsp;&nbsp;&nbsp; Series 2025-HUB, Class A, 4.90%, 04/13/41<sup>(a)(b)</sup> |  | 150 | 150593 |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term SOFR <br> + 1.76%), 5.51%, 12/09/40<sup>(a)(b)</sup><br>|  | 344 | 344003 |
| &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>|  | 421 | 422073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class B, (1-mo. CME Term <br> SOFR + 2.14%), 5.89%, 08/15/41<sup>(a)(b)</sup><br>|  | 309 | 310475 |
| &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>|  | 201 | 202105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class B, (1-mo. CME Term SOFR <br> + 1.69%), 5.44%, 02/15/39<sup>(a)(b)</sup><br>|  | 124 | 124078 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-IND, Class A, (1-mo. CME Term SOFR <br> + 1.49%), 5.24%, 04/15/37<sup>(a)(b)</sup><br>|  | 429 | 429434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BIO, Class A, (1-mo. CME Term SOFR <br> + 1.64%), 5.39%, 02/15/41<sup>(a)(b)</sup><br>|  | 626 | 624642 |
| &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>|  | 95 | 95360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term SOFR <br> + 2.09%), 5.84%, 03/15/41<sup>(a)(b)</sup><br>|  | 250 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class B, (1-mo. CME Term SOFR <br> + 3.04%), 6.79%, 03/15/41<sup>(a)(b)</sup><br>|  | 100 | 100406 |
| &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>|  | 380 | 379881 |
| &nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, 06/13/47<sup>(a)(b)</sup> |  | 500 | 511312 |
| &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>|  | 257 | 257160 |

---

---

| | | | |
|:---|:---|:---|:---|
| *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 2025-ROIC, Class A, (1-mo. CME Term <br> SOFR + 1.14%), 4.89%, 03/15/30<sup>(a)(b)</sup><br>| USD  | 511 | $510369 |
| &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>|  | 185 | 185000 |
| &nbsp;&nbsp;&nbsp; CALI Mortgage Trust, Series 2024-SUN, Class A, (1-<br> mo. CME Term SOFR + 1.89%), 5.67%, <br> 07/15/41<sup>(a)(b)</sup><br>|  | 260 | 260321 |
| CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-CD2, Class A4, 3.53%, 11/10/49<sup>(b)</sup> |  | 520 | 508246 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD5, Class A4, 3.43%, 08/15/50 |  | 525 | 518173 |
| &nbsp;&nbsp;&nbsp; Series 2017-CD5, Class AAB, 3.22%, 08/15/50 |  | 253 | 251032 |
| &nbsp;&nbsp;&nbsp; CFCRE Commercial Mortgage Trust, Series 2016-C6, <br> Class A3, 3.22%, 11/10/49<sup>(b)</sup><br>|  | 820 | 813667 |
| Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C3, Class AAB, 2.98%, 11/15/49 |  | 31 | 31391 |
| &nbsp;&nbsp;&nbsp; Series 2018-B2, Class A4, 4.01%, 03/10/51 |  | 535 | 532412 |
| &nbsp;&nbsp;&nbsp; COAST Commercial Mortgage Trust, Series 2023-<br> 2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), <br> 6.34%, 08/15/36<sup>(a)(b)</sup><br>|  | 300 | 299813 |
| &nbsp;&nbsp;&nbsp; CONE Trust, Series 2024-DFW1, Class A, (1-mo. <br> CME Term SOFR + 1.64%), 5.39%, 08/15/41<sup>(a)(b)</sup><br>|  | 190 | 189704 |
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, Series 2019-C17, <br> Class A4, 2.76%, 09/15/52<br>|  | 1000 | 947275 |
| &nbsp;&nbsp;&nbsp; DBC Mortgage Trust, Series 2025-DBC, Class A, (1-<br> mo. CME Term SOFR + 1.35%), 5.10%, <br> 11/15/42<sup>(a)(b)</sup><br>|  | 385 | 385297 |
| &nbsp;&nbsp;&nbsp; DK Trust, Series 2025-LXP, Class A, (1-mo. CME Term <br> SOFR + 1.59%), 5.33%, 08/15/37<sup>(a)(b)</sup><br>|  | 96 | 96149 |
| ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.80%, 06/10/39<sup>(a)(b)</sup> |  | 730 | 733833 |
| &nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.80%, 06/10/39<sup>(a)(b)</sup> |  | 730 | 733833 |
| &nbsp;&nbsp;&nbsp; EQT Trust, Series 2024-EXTR, Class A, 5.33%, <br> 07/05/41<sup>(a)(b)</sup><br>|  | 645 | 660042 |
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, Series 2025-ESH, <br> Class B, (1-mo. CME Term SOFR + 1.60%), 5.35%, <br> 10/15/42<sup>(a)(b)</sup><br>|  | 295 | 295461 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class B, (1-mo. CME Term <br> SOFR + 2.79%), 6.54%, 03/15/28<sup>(a)(b)</sup><br>|  | 415 | 417053 |
| &nbsp;&nbsp;&nbsp; Series 2024-RVR, Class A, 5.20%, 08/10/41<sup>(a)(b)</sup> |  | 120 | 121885 |
| &nbsp;&nbsp;&nbsp; Houston Galleria Mall Trust, Series 2025-HGLR, <br> Class A, 5.46%, 02/05/45<sup>(a)(b)</sup><br>|  | 110 | 113981 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust, Series 2025-SPRL, <br> Class A, 5.47%, 01/13/40<sup>(a)(b)</sup><br>|  | 280 | 290301 |
| &nbsp;&nbsp;&nbsp; INCREF LLC, Series 2025-FL1, Class A, (1-mo. CME <br> Term SOFR + 1.73%), 5.46%, 10/19/42<sup>(a)(b)</sup><br>|  | 465 | 465908 |
| &nbsp;&nbsp;&nbsp; INT Commercial Mortgage Trust, Series 2025-PLAZA, <br> Class A, 4.88%, 11/05/37<sup>(a)(b)</sup><br>|  | 100 | 100285 |
| &nbsp;&nbsp;&nbsp; INTOWN Mortgage Trust, Series 2025-STAY, Class A, <br> (1-mo. CME Term SOFR + 1.35%), 5.10%, <br> 03/15/42<sup>(a)(b)</sup><br>|  | 299 | 299373 |
| &nbsp;&nbsp;&nbsp; INV Mortgage Trust, Series 2024-IND, Class A, (1-mo. <br> CME Term SOFR + 1.74%), 5.49%, 11/15/41<sup>(a)(b)</sup><br>|  | 160 | 158803 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-JP6, Class A3, 3.11%, 07/15/50 |  | 301 | 296617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BKWD, Class A, (1-mo. CME Term <br> SOFR + 1.61%), 5.37%, 09/15/29<sup>(a)(b)</sup><br>|  | 93 | 90377 |
| &nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.45%, 01/05/39<sup>(a)(b)</sup> |  | 100 | 82305 |
| &nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.17%, 11/09/39<sup>(a)(b)</sup> |  | 270 | 272714 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; LBA Trust, Series 2024-7IND, Class A, (1-mo. CME <br> Term SOFR + 1.44%), 5.19%, 10/15/41<sup>(a)(b)</sup><br>| USD  | 250 | $250357 |
| &nbsp;&nbsp;&nbsp; MCR Mortgage Trust, Series 2024-HF1, Class A, (1-<br> mo. CME Term SOFR + 1.79%), 5.54%, <br> 12/15/41<sup>(a)(b)</sup><br>|  | 90 | 90409 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2024-NSTB, <br> Class A, 3.90%, 09/24/57<sup>(a)(b)</sup><br>|  | 131 | 128804 |
| NCMF Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-MFS, Class A, 4.88%, 06/10/33<sup>(a)(b)</sup> |  | 422 | 423519 |
| &nbsp;&nbsp;&nbsp; Series 2025-MFS, Class B, 5.51%, 06/10/33<sup>(a)(b)</sup> |  | 256 | 258567 |
| &nbsp;&nbsp;&nbsp; NY Commercial Mortgage Trust, Series 2025-299P, <br> Class A, 5.66%, 02/10/47<sup>(a)(b)</sup><br>|  | 210 | 220712 |
| NYC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-11X, Class A, (1-mo. CME Term SOFR <br> + 1.74%), 5.49%, 10/15/40<sup>(a)(b)</sup><br>|  | 215 | 215669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3BP, Class A, (1-mo. CME Term SOFR <br> + 1.21%), 4.96%, 02/15/42<sup>(a)(b)</sup><br>|  | 179 | 177549 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust, Series 2025-PRM5, Class A, 4.47%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 376 | 375860 |
| &nbsp;&nbsp;&nbsp; SCG Commercial Mortgage Trust, Series 2025-DLFN, <br> Class B, (1-mo. CME Term SOFR + 1.50%), 5.25%, <br> 03/15/35<sup>(a)(b)</sup><br>|  | 100 | 99688 |
| &nbsp;&nbsp;&nbsp; SG Commercial Mortgage Securities Trust, <br> Series 2016-C5, Class A3, 2.78%, 10/10/48<br>|  | 962 | 959476 |
| &nbsp;&nbsp;&nbsp; TCO Commercial Mortgage Trust, Series 2024-DPM, <br> Class A, (1-mo. CME Term SOFR + 1.24%), 4.99%, <br> 12/15/39<sup>(a)(b)</sup><br>|  | 185 | 185401 |
| &nbsp;&nbsp;&nbsp; TEXAS Commercial Mortgage Trust, Series 2025-<br> TWR, Class A, (1-mo. CME Term SOFR + 1.29%), <br> 5.04%, 04/15/42<sup>(a)(b)</sup><br>|  | 327 | 327414 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-C32, Class A4, 3.56%, 01/15/59 |  | 31 | 30691 |
| &nbsp;&nbsp;&nbsp; Series 2016-C33, Class A4, 3.43%, 03/15/59 |  | 204 | 203812 |
| &nbsp;&nbsp;&nbsp; Series 2016-LC24, Class A3, 2.68%, 10/15/49 |  | 700 | 694815 |
| &nbsp;&nbsp;&nbsp; Series 2021-C60, Class ASB, 2.13%, 08/15/54 |  | 834 | 789777 |
| &nbsp;&nbsp;&nbsp; Series 2024-5C2, Class A3, 5.92%, 11/15/57<sup>(b)</sup> |  | 90 | 94740 |
| &nbsp;&nbsp;&nbsp; WEST Trust, Series 2025-ROSE, Class A, 5.28%, <br> 04/10/35<sup>(a)(b)</sup><br>|  | 331 | 336123 |
| &nbsp;&nbsp;&nbsp; WHARF Commercial Mortgage Trust, Series 2025-DC, <br> Class B, 5.54%, 07/15/40<sup>(a)(b)</sup><br>|  | 100 | 102339 |
|  |  |  | 31145766 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust, Series 2016-C6, <br> Class XA, 1.75%, 01/15/49<sup>(b)</sup><br>|  | 349 | 3 |
| **Total Non-Agency Mortgage-Backed Securities — 15.3%** <br>**(Cost: $59,407,882)** | **Total Non-Agency Mortgage-Backed Securities — 15.3%** <br>**(Cost: $59,407,882)** | **Total Non-Agency Mortgage-Backed Securities — 15.3%** <br>**(Cost: $59,407,882)** | 59566222 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 1.2%** | **Agency Obligations — 1.2%** | **Agency Obligations — 1.2%** | **Agency Obligations — 1.2%** |
| Federal Farm Credit Banks Funding Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.17%, 10/29/29 |  | 700 | 663572 |
| &nbsp;&nbsp;&nbsp; 1.30%, 02/03/31 |  | 770 | 673490 |
| &nbsp;&nbsp;&nbsp; 1.48%, 11/26/32 |  | 1000 | 841213 |
| &nbsp;&nbsp;&nbsp; 1.68%, 09/17/35 |  | 2080 | 1641902 |
| Federal Home Loan Banks, 2.06%, 09/27/29 |  | 1000 | 944001 |
|  |  |  | 4764178 |
| **Collateralized Mortgage Obligations — 2.9%** | **Collateralized Mortgage Obligations — 2.9%** | **Collateralized Mortgage Obligations — 2.9%** | **Collateralized Mortgage Obligations — 2.9%** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-21, Class CA, 3.50%, 04/25/45 |  | 13 | 12942 |
| &nbsp;&nbsp;&nbsp; Series 2019-73, Class P, 3.00%, 03/25/48 |  | 350 | 339606 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-79, Class JA, 1.50%, 11/25/50 | USD  | 353 | $327286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-91, Class FA, (SOFR (30-day) + <br> 1.20%), 5.07%, 12/25/54<sup>(b)</sup><br>|  | 1093 | 1096725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-94, Class FB, (SOFR (30-day) + <br> 1.42%), 5.29%, 12/25/54<sup>(b)</sup><br>|  | 247 | 249418 |
| &nbsp;&nbsp;&nbsp; Series 2025-69, Class E, 5.00%, 06/25/51 |  | 2327 | 2349176 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 3959, Class MA, 4.50%, 11/15/41 |  | 26 | 26132 |
| &nbsp;&nbsp;&nbsp; Series 4274, Class PN, 3.50%, 10/15/35 |  | 31 | 30545 |
| &nbsp;&nbsp;&nbsp; Series 4390, Class CA, 3.50%, 06/15/50 |  | 5 | 4912 |
| &nbsp;&nbsp;&nbsp; Series 4459, Class BN, 3.00%, 08/15/43 |  | 213 | 200635 |
| &nbsp;&nbsp;&nbsp; Series 4494, Class KA, 3.75%, 10/15/42 |  | 7 | 6923 |
| &nbsp;&nbsp;&nbsp; Series 4752, Class PL, 3.00%, 09/15/46 |  | 235 | 227321 |
| &nbsp;&nbsp;&nbsp; Series 4777, Class CB, 3.50%, 10/15/45 |  | 114 | 113480 |
| &nbsp;&nbsp;&nbsp; Series 4941, Class MB, 3.00%, 07/25/49 |  | 215 | 195210 |
| &nbsp;&nbsp;&nbsp; Series 5000, Class MA, 2.00%, 06/25/44 |  | 166 | 156762 |
| &nbsp;&nbsp;&nbsp; Series 5006, Class KA, 2.00%, 06/25/45 |  | 492 | 455343 |
| &nbsp;&nbsp;&nbsp; Series 5105, Class LA, 1.50%, 04/15/44 |  | 476 | 464962 |
| &nbsp;&nbsp;&nbsp; Series 5249, Class HA, 4.00%, 09/25/49 |  | 1837 | 1828660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5478, Class FH, (SOFR (30-day) + 1.45%), <br> 5.32%, 04/25/54<sup>(b)</sup><br>|  | 751 | 757770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5480, Class FA, (SOFR (30-day) + 1.45%), <br> 5.32%, 03/25/54<sup>(b)</sup><br>|  | 742 | 748053 |
| &nbsp;&nbsp;&nbsp; Freddie Mac Seasoned Credit Risk Transfer Trust, <br> Series 2018-3, Class MA, 3.50%, 08/25/57<sup>(b)</sup><br>|  | 821 | 805761 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-136, Class GB, 3.00%, 03/20/47 |  | 307 | 295793 |
| &nbsp;&nbsp;&nbsp; Series 2020-127, Class LP, 1.50%, 06/20/50 |  | 359 | 292735 |
|  |  |  | 10986150 |
| **Mortgage-Backed Securities — 4.3%** | **Mortgage-Backed Securities — 4.3%** | **Mortgage-Backed Securities — 4.3%** | **Mortgage-Backed Securities — 4.3%** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/31 |  | 845 | 800832 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 - 12/01/36 |  | 1002 | 963389 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 - 09/01/35 |  | 4155 | 4049247 |
| &nbsp;&nbsp;&nbsp; 3.03%, 12/01/27 |  | 1223 | 1204271 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/37 |  | 431 | 423297 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/32 - 08/01/49 |  | 3651 | 3573075 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/26 - 05/01/38 |  | 328 | 331269 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 |  | 952 | 978970 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 |  | 141 | 146242 |
| &nbsp;&nbsp;&nbsp; 5.81%, 06/01/31 |  | 1362 | 1414958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.57%), 6.48%, 07/01/44<sup>(b)</sup><br>|  | 85 | 88668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.59%), 6.55%, 06/01/45<sup>(b)</sup><br>|  | 50 | 52273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.69%), 6.60%, 07/01/43<sup>(b)</sup><br>|  | 105 | 109560 |
| Freddie Mac Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 - 03/01/37 |  | 372 | 353811 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 - 02/01/36 |  | 601 | 582993 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 - 11/01/38 |  | 374 | 366920 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 - 06/01/37 |  | 988 | 981207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.62%), 6.54%, 03/01/45<sup>(b)</sup><br>|  | 74 | 76490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks <br> Term 1 Year + 1.62%), 6.62%, 05/01/45<sup>(b)</sup><br>|  | 206 | 215847 |
|  |  |  | 16713319 |
| **Total U.S. Government Sponsored Agency Securities — 8.4%** <br>**(Cost: $32,645,612)** | **Total U.S. Government Sponsored Agency Securities — 8.4%** <br>**(Cost: $32,645,612)** | **Total U.S. Government Sponsored Agency Securities — 8.4%** <br>**(Cost: $32,645,612)** | 32463647 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
| U.S. Treasury Notes |  |  |  |
| &nbsp;&nbsp;&nbsp; 0.75%, 05/31/26 - 08/31/26 | USD  | 20685 | $20322518 |
| &nbsp;&nbsp;&nbsp; 2.13%, 05/31/26 |  | 950 | 944310 |
| &nbsp;&nbsp;&nbsp; 4.38%, 08/15/26 |  | 1500 | 1507099 |
| &nbsp;&nbsp;&nbsp; 0.88%, 09/30/26 |  | 20000 | 19605366 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/30/26 |  | 800 | 799415 |
| &nbsp;&nbsp;&nbsp; 1.13%, 10/31/26 |  | 6000 | 5879298 |
| &nbsp;&nbsp;&nbsp; 3.75%, 04/15/28 - 05/15/28 |  | 2840 | 2855083 |
| &nbsp;&nbsp;&nbsp; 3.63%, 05/31/28 |  | 1600 | 1604188 |
| &nbsp;&nbsp;&nbsp; 3.88%, 06/15/28 |  | 5300 | 5345547 |
| &nbsp;&nbsp;&nbsp; 1.00%, 07/31/28 |  | 4055 | 3804730 |
| &nbsp;&nbsp;&nbsp; 2.88%, 08/15/28 |  | 5700 | 5608488 |
| **Total U.S. Treasury Obligations — 17.6%** <br>**(Cost: $68,092,455)** | **Total U.S. Treasury Obligations — 17.6%** <br>**(Cost: $68,092,455)** | **Total U.S. Treasury Obligations — 17.6%** <br>**(Cost: $68,092,455)** | 68276042 |
| **Total Long-Term Investments — 98.1%** <br>**(Cost: $378,176,656)** | **Total Long-Term Investments — 98.1%** <br>**(Cost: $378,176,656)** | **Total Long-Term Investments — 98.1%** <br>**(Cost: $378,176,656)** | 380714313 |

---

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

---

| | | |
|:---|:---|:---|
|  | <br>*Shares*<br>|  |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 1.3%** | **Money Market Funds — 1.3%** | **Money Market Funds — 1.3%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Treasury Securities Cash Management, <br> Institutional Class, 3.64%<sup>(f)</sup><br>| 5257200 | 5257200 |
| **Total Short-Term Securities — 1.3%** <br>**(Cost: $5,257,200)** | **Total Short-Term Securities — 1.3%** <br>**(Cost: $5,257,200)** | 5257200 |
| **Total Investments — 99.4%** <br>**(Cost: $383,433,856)** | **Total Investments — 99.4%** <br>**(Cost: $383,433,856)** | 385971513 |
| **Other Assets Less Liabilities — 0.6%** | **Other Assets Less Liabilities — 0.6%** | 2294431 |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $388265944 |

---

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

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

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

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

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

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp; *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 828 | 03/31/26 | &nbsp;&nbsp;&nbsp;&nbsp; $172877 | &nbsp;&nbsp;&nbsp;&nbsp; $135211 |
| &nbsp;&nbsp;&nbsp; 30-Day Federal Funds | 47 | 07/31/26 | &nbsp;&nbsp;&nbsp;&nbsp; 18941 | &nbsp;&nbsp;&nbsp;&nbsp; 11801 |
| &nbsp;&nbsp;&nbsp; 30-Day Federal Funds | 47 | 08/31/26 | &nbsp;&nbsp;&nbsp;&nbsp; 18954 | &nbsp;&nbsp;&nbsp;&nbsp; 14299 |
| &nbsp;&nbsp;&nbsp; 3-month SOFR | 77 | 12/15/26 | &nbsp;&nbsp;&nbsp;&nbsp; 18643 | &nbsp;&nbsp;&nbsp;&nbsp; 19900 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 181211 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

**Futures Contracts (continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp; *Number of*<br> *Contracts*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Expiration*<br> *Date*<br>| &nbsp;&nbsp;&nbsp; *Notional*<br> *Amount*<br> &nbsp;&nbsp;&nbsp;&nbsp;*(000)*<br>| &nbsp;&nbsp;&nbsp; *Value/*<br> *Unrealized*<br> *Appreciation*<br> &nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro-Schatz | 3 | 03/06/26 | &nbsp;&nbsp;&nbsp;&nbsp; $376 | &nbsp;&nbsp;&nbsp;&nbsp; $350 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 23 | 03/20/26 | &nbsp;&nbsp;&nbsp;&nbsp; 2659 | &nbsp;&nbsp;&nbsp;&nbsp; 21841 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 48 | 03/20/26 | &nbsp;&nbsp;&nbsp;&nbsp; 5397 | &nbsp;&nbsp;&nbsp;&nbsp; 38510 |
| &nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 50 | 03/20/26 | &nbsp;&nbsp;&nbsp;&nbsp; 5751 | &nbsp;&nbsp;&nbsp;&nbsp; 7338 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 438 | 03/31/26 | &nbsp;&nbsp;&nbsp;&nbsp; 47875 | &nbsp;&nbsp;&nbsp;&nbsp; 3808 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 71847 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $253058 |

---

**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 | 20081 | EUR | 17000 | Wells Fargo Bank N.A. | 03/18/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $30 |

---

**Fair Value Hierarchy as of Period End**

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

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

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp; $87291307 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $87291307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds  | &nbsp;&nbsp; — | &nbsp;&nbsp; 132557701 | &nbsp;&nbsp; — | &nbsp;&nbsp; 132557701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 559394 | &nbsp;&nbsp; — | &nbsp;&nbsp; 559394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 59566222 | &nbsp;&nbsp; — | &nbsp;&nbsp; 59566222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 32463647 | &nbsp;&nbsp; — | &nbsp;&nbsp; 32463647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 68276042 | &nbsp;&nbsp; — | &nbsp;&nbsp; 68276042 |
| &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; 5257200 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 5257200 |
|  | &nbsp;&nbsp; $5257200 | &nbsp;&nbsp; $380714313 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $385971513 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Short Duration Taxable Total Return Series**

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Derivative Financial Instruments<sup>(a)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp; $30 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; 253058 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 253058 |
|  | &nbsp;&nbsp; $253058 | &nbsp;&nbsp; $30 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $253088 |

---

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

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

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

---

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

---

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

---

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

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

- **a. Name of Series:** BATS: Short Duration Taxable Total Return Series

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

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

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

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

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

**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:** $389897343.86

**Total Liabilities:** $1823534.44

**Net Assets:** $388073809.42

**Cash Not Reported:** $1373621.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 8749.19000000 | **1-Year:** 16284.31000000 | **5-Year:** 44976.38000000 | **10-Year:** 2180.31000000 | **30-Year:** 5895.83000000

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

- **3-Month:** 1883.61000000 | **1-Year:** 26.01000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000003893 | 0.28%                | 0.49%                | 0.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $335436.25               | $-374371.84                                |
| Month 2  | $110757.08               | $492785.93                                 |
| Month 3  | $38107.87                | $-209177.66                                |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                        | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -497 | NC      | $27.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       828 | NC      | $135211.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    771000 | PA      | $778529.90    | 0.20%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD5 Mortgage Trust                                                      | CUSIP: 12515HBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252711 | PA      | $251032.13    | 0.06%             | 2050-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79737.38     | 0.02%             | 2031-10-22      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                | Ford Credit Auto Owner Trust 2022-B                                             | CUSIP: 34534LAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248837 | PA      | $248867.99    | 0.06%             | 2027-08-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | HOMES 2023-NQM2 Trust                                                           | CUSIP: 43761KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572821 | PA      | $573910.53    | 0.15%             | 2068-02-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Lt              | Benefit Street Partners CLO X Ltd                                               | CUSIP: 08181LBJ5<br>LEI: 549300MYLNCW81S1Y182 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250834.03    | 0.06%             | 2038-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-AIRC                                          | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421288 | PA      | $422073.47    | 0.11%             | 2041-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B1RK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12978 | PA      | $12942.38     | 0.00%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHSE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751342 | PA      | $757769.82    | 0.20%             | 2054-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967KY6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    530000 | PA      | $526904.02    | 0.14%             | 2026-10-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    941000 | PA      | $965608.28    | 0.25%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DT3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    406000 | PA      | $408502.71    | 0.11%             | 2030-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                       | Uber Technologies Inc                                                           | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    715000 | PA      | $712355.01    | 0.18%             | 2031-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     93000 | PA      | $96124.20     | 0.02%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2023-B                                         | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516631 | PA      | $526976.80    | 0.14%             | 2056-10-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer Ltd                        | FS RIALTO                                                                       | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98075 | PA      | $97657.13     | 0.03%             | 2038-05-16      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                | Enbridge Inc                                                                    | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    174000 | PA      | $176401.99    | 0.05%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1532304.07   | 0.39%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2025-5MW                                         | CUSIP: 088921AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378000 | PA      | $381903.83    | 0.10%             | 2042-10-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz              | SFS Auto Receivables Securitization Trust 2025-1                                | CUSIP: 81885BAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $454779.09    | 0.12%             | 2030-07-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2019-ATR2                                     | CUSIP: 16159GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120144 | PA      | $109594.94    | 0.03%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    821000 | PA      | $827911.47    | 0.21%             | 2028-01-24      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    243000 | PA      | $234827.92    | 0.06%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust               | Alen 2021-ACEN Mortgage Trust                                                   | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $399920.51    | 0.10%             | 2034-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    225000 | PA      | $227700.71    | 0.06%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVAB              | GreatAmerica Leasing Receivables Funding LLC                                    | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |    180000 | PA      | $182123.89    | 0.05%             | 2029-04-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    715000 | PA      | $705878.82    | 0.18%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-C Trust                                     | CUSIP: 83390UAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164316 | PA      | $154936.77    | 0.04%             | 2046-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                    | Vantage Data Centers Issuer LLC                                                 | CUSIP: 92212KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166000 | PA      | $164405.19    | 0.04%             | 2055-11-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-              | AutoNation Finance Trust 2025-1                                                 | CUSIP: 05330QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $55503.92     | 0.01%             | 2029-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    430000 | PA      | $445402.11    | 0.11%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    969000 | PA      | $998603.39    | 0.26%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1407601.57   | 0.36%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner               | Toyota Auto Receivables 2023-C Owner Trust                                      | CUSIP: 89231FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213783 | PA      | $215050.21    | 0.06%             | 2028-04-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2024-A                                                      | CUSIP: 18978FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376037 | PA      | $379234.36    | 0.10%             | 2029-06-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd                         | Elmwood CLO III Ltd                                                             | CUSIP: 29002HAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    425000 | PA      | $425993.18    | 0.11%             | 2037-07-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300M2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73719 | PA      | $76489.88     | 0.02%             | 2045-03-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2022-ATH1                                                                  | CUSIP: 12660BAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188533 | PA      | $184202.52    | 0.05%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                         | LYB International Finance III LLC                                               | CUSIP: 50249AAQ6<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105389.57    | 0.03%             | 2031-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-G                                | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43695 | PA      | $42658.55     | 0.01%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2025-C                                           | CUSIP: 44935JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479000 | PA      | $480001.78    | 0.12%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166020 | PA      | $156762.04    | 0.04%             | 2044-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    175000 | PA      | $185585.10    | 0.05%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                 | Southern Co/The                                                                 | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    641000 | PA      | $665262.65    | 0.17%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2022-B                                                      | CUSIP: 12663JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183269 | PA      | $183191.86    | 0.05%             | 2027-11-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61748UAK8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    225000 | PA      | $224927.55    | 0.06%             | 2029-10-18      | Fixed         | 4.13%                 | 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        |    215000 | PA      | $215668.74    | 0.06%             | 2040-10-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                            | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    336000 | PA      | $342878.20    | 0.09%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138W1LP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6292 | PA      | $6199.62      | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust              | ARES Trust 2025-IND3                                                            | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300187.38    | 0.08%             | 2042-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                     | BMW Vehicle Owner Trust 2023-A                                                  | CUSIP: 05592XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266966 | PA      | $268576.92    | 0.07%             | 2028-02-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mor              | TCO Commercial Mortgage Trust 2024-DPM                                          | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $185401.04    | 0.05%             | 2039-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    230000 | PA      | $225802.69    | 0.06%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAT6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157988.63    | 0.04%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2016-C3                                     | CUSIP: 17325GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31448 | PA      | $31391.07     | 0.01%             | 2049-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                            | Flatiron CLO 23 LLC                                                             | CUSIP: 33883DAQ7<br>LEI: 254900WPX2H2R5L2RO76 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250386.50    | 0.06%             | 2036-04-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Trust 2025-PJ10                                   | CUSIP: 36273MBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366845 | PA      | $367649.70    | 0.09%             | 2056-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120856.08    | 0.03%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitiz              | SFS Auto Receivables Securitization Trust 2025-2                                | CUSIP: 78398HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656000 | PA      | $661847.32    | 0.17%             | 2030-12-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-2                                               | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    899767 | PA      | $899238.14    | 0.23%             | 2068-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    938000 | PA      | $968810.89    | 0.25%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XFQD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99109 | PA      | $96733.38     | 0.02%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    525000 | PA      | $529174.87    | 0.14%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    918000 | PA      | $932141.64    | 0.24%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                    | Public Service Enterprise Group Inc                                             | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    212000 | PA      | $216781.23    | 0.06%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DX4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    151000 | PA      | $150816.53    | 0.04%             | 2028-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr              | SoFi Professional Loan Program 2020-ATrust                                      | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109606 | PA      | $106040.54    | 0.03%             | 2046-05-15      | Fixed         | 2.54%                 | 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        |    308438 | PA      | $311648.04    | 0.08%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-H                                | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512739 | PA      | $479958.09    | 0.12%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C29                                                  | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $657755.65    | 0.17%             | 2057-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    813000 | PA      | $808953.77    | 0.21%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1214281.92   | 0.31%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-B                                | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265800 | PA      | $243511.46    | 0.06%             | 2069-07-15      | Fixed         | 0.94%                 | 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        |    320930 | PA      | $321555.73    | 0.08%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    652443 | PA      | $646218.93    | 0.17%             | 2053-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EPT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49788 | PA      | $52273.23     | 0.01%             | 2045-06-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAY5<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    480000 | PA      | $493711.96    | 0.13%             | 2030-01-30      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program 201              | ELFI Graduate Loan Program 2023-A LLC                                           | CUSIP: 28628DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343260 | PA      | $359169.47    | 0.09%             | 2048-02-04      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1914949.16   | 0.49%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                      | Morgan Stanley Bank NA                                                          | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    675000 | PA      | $687409.30    | 0.18%             | 2029-01-12      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                      | Federal Home Loan Banks                                                         | CUSIP: 3130AH6Y4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $944000.76    | 0.24%             | 2029-09-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                            | Trinitas CLO XIX Ltd                                                            | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    363165 | PA      | $362890.33    | 0.09%             | 2033-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-2                                               | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200201 | PA      | $192679.62    | 0.05%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2025-660F                                        | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $305949.40    | 0.08%             | 2042-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                    | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    600000 | PA      | $585948.85    | 0.15%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2023-FUN                                      | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $417053.21    | 0.11%             | 2028-03-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160226.41    | 0.04%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    630000 | PA      | $646736.90    | 0.17%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBS4<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    225000 | PA      | $213583.55    | 0.06%             | 2028-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XLNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430700 | PA      | $423296.94    | 0.11%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18335000 | PA      | $17999563.56  | 4.64%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                      | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     12000 | PA      | $11564.40     | 0.00%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM4 Trust                                                             | CUSIP: 67120QAA4<br>LEI: 254900IAVXYLOCPK6W54 | Long             | ABS-MBS          | CORP              | US        |    287873 | PA      | $289842.83    | 0.07%             | 2055-02-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2024-1                                                 | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241152 | PA      | $246614.73    | 0.06%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     71000 | PA      | $70415.68     | 0.02%             | 2026-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132D9NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121768 | PA      | $117811.11    | 0.03%             | 2038-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                   | LBA Trust 2024-7IND                                                             | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250203 | PA      | $250357.07    | 0.06%             | 2041-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2024-REV1                                          | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1288000 | PA      | $1320838.98   | 0.34%             | 2036-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WAV0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    285000 | PA      | $285714.84    | 0.07%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116497 | PA      | $114861.75    | 0.03%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1372000 | PA      | $1284320.16   | 0.33%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2024-HYB1                                                | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343368 | PA      | $344339.03    | 0.09%             | 2063-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2024-5C6 Mortgage Trust                                                     | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $339365.63    | 0.09%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                   | Chesapeake Funding II LLC                                                       | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    309941 | PA      | $313619.47    | 0.08%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2019-C17 Commercial Mortgage Trust                                        | CUSIP: 12597BAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $947275.00    | 0.24%             | 2052-09-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    143000 | PA      | $138677.95    | 0.04%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust Series 2025-11                                | CUSIP: 16162QBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545132 | PA      | $547323.36    | 0.14%             | 2056-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    407000 | PA      | $405251.48    | 0.10%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                  | Pfizer Inc                                                                      | CUSIP: 717081FD0<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    295000 | PA      | $296366.35    | 0.08%             | 2030-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -48 | NC      | $38510.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OMERS FINANCE TRUST                         | OMERS Finance Trust                                                             | CUSIP: 68218TAA9<br>LEI: 529900M039WCPES03P17 | Long             | DBT              | NUSS              | CA        |    550000 | PA      | $559390.57    | 0.14%             | 2030-03-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                  | 1345T 2025-AOA                                                                  | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260808.89    | 0.07%             | 2042-06-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ACRA Trust 2024-NQM1                        | ACRA Trust 2024-NQM1                                                            | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331127 | PA      | $332561.81    | 0.09%             | 2064-10-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    868000 | PA      | $868339.87    | 0.22%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun              | American Express Credit Account Master Trust                                    | CUSIP: 02582JKV1<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   1901000 | PA      | $1925662.05   | 0.50%             | 2030-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                     | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253424.39    | 0.07%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QJF2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $565031.42    | 0.15%             | 2031-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-NQM2 Trust                                                            | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78901 | PA      | $79889.99     | 0.02%             | 2069-06-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                     | Fidelity National Information Services Inc                                      | CUSIP: 31620MBR6<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    349000 | PA      | $347307.92    | 0.09%             | 2026-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    265000 | PA      | $263142.35    | 0.07%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2023-AFC3 Trust                                                           | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    931339 | PA      | $936466.61    | 0.24%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-MF                                            | CUSIP: 05612EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123964 | PA      | $124078.26    | 0.03%             | 2039-02-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    320000 | PA      | $319530.65    | 0.08%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                            | Crown Castle Inc                                                                | CUSIP: 22822VAV3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    559000 | PA      | $549755.38    | 0.14%             | 2026-07-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-4                                                | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231336 | PA      | $227381.38    | 0.06%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCB5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140914.02    | 0.04%             | 2030-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne              | PRET 2025-RPL2 Trust                                                            | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92769 | PA      | $90709.45     | 0.02%             | 2064-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-LIFE                                                              | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $511311.75    | 0.13%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4JH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24341 | PA      | $24068.90     | 0.01%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust Series 2025-NQM4                                       | CUSIP: 46660HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664202 | PA      | $664687.79    | 0.17%             | 2066-03-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-9                                               | CUSIP: 92490EAA1<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |    288540 | PA      | $288877.37    | 0.07%             | 2070-10-27      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | GM Financial Consumer Automobile Receivables Trust 2025-4                       | CUSIP: 36273EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1198000 | PA      | $1198956.84   | 0.31%             | 2031-02-18      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust                                                       | CUSIP: 89171DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147264 | PA      | $146812.32    | 0.04%             | 2053-10-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1251196.20   | 0.32%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    474000 | PA      | $492538.93    | 0.13%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EL4Y7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   1000000 | PA      | $841213.37    | 0.22%             | 2032-11-26      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2024-B                                                    | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58312 | PA      | $58731.81     | 0.02%             | 2033-04-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-3 LLC                                           | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202817.50    | 0.05%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    195000 | PA      | $184971.63    | 0.05%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2025-REV2                                          | CUSIP: 34536BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870000 | PA      | $1885409.92   | 0.49%             | 2038-02-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| BMW Vehicle Owner Trust                     | BMW Vehicle Owner Trust 2025-A                                                  | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $505028.65    | 0.13%             | 2029-09-25      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137F4TS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113847 | PA      | $113480.25    | 0.03%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                       | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBP8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    335000 | PA      | $344893.86    | 0.09%             | 2030-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    420000 | PA      | $410901.14    | 0.11%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2025-B                                                    | CUSIP: 00193GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1062000 | PA      | $1069584.06   | 0.28%             | 2034-03-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2023-NQM2                                         | CUSIP: 59981CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369320 | PA      | $369510.04    | 0.10%             | 2067-12-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    390000 | PA      | $398327.61    | 0.10%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    277000 | PA      | $279151.86    | 0.07%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599EH4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     68000 | PA      | $69240.46     | 0.02%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WNZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4235 | PA      | $4170.46      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2023-2 Mortgage Loan Trust                                                 | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |    102492 | PA      | $103007.23    | 0.03%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                      | SLM Student Loan Trust 2013-4                                                   | CUSIP: 78448AAA1<br>LEI: 5493004WA7G168XIR344 | Long             | ABS-O            | CORP              | US        |    112005 | PA      | $110724.95    | 0.03%             | 2043-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2025-A                                           | CUSIP: 44935CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    366000 | PA      | $368710.27    | 0.10%             | 2029-10-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential               | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65553 | PA      | $64211.98     | 0.02%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1011953.16   | 0.26%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2022-3 Mortgage Loan Trust                                                 | CUSIP: 12659YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98206 | PA      | $96654.64     | 0.02%             | 2067-02-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    555000 | PA      | $582377.38    | 0.15%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC              | ELFI Graduate Loan Program 2022-A LLC                                           | CUSIP: 28628CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373115 | PA      | $368628.26    | 0.09%             | 2047-08-26      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38380HHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307125 | PA      | $295793.34    | 0.08%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    947000 | PA      | $977087.62    | 0.25%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2024-V12 Mortgage Trust                                               | CUSIP: 081915AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1150795.91   | 0.30%             | 2057-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management | Dreyfus Treasury Securities Cash Management                                     | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |   5165257 | NS      | $5165256.56   | 1.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35171 | PA      | $34708.34     | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | 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        |    155251 | PA      | $155817.98    | 0.04%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housin              | Pagaya AI Technology in Housing Trust 2023-1                                    | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $482333.49    | 0.12%             | 2040-10-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2025-1                                     | CUSIP: 891950AA5<br>LEI: 254900QVX5SBHB37FT67 | Long             | ABS-O            | CORP              | US        |   1195000 | PA      | $1218951.74   | 0.31%             | 2038-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-A                                           | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    963501 | PA      | $971747.49    | 0.25%             | 2029-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                    | Cheniere Corpus Christi Holdings LLC                                            | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    341000 | PA      | $344297.64    | 0.09%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                        | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367158 | PA      | $371356.09    | 0.10%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PEY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432000 | PA      | $436896.03    | 0.11%             | 2028-10-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                      | John Deere Owner Trust 2024                                                     | CUSIP: 47800RAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981000 | PA      | $989596.31    | 0.26%             | 2028-11-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    694000 | PA      | $676387.45    | 0.17%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                           | Eversource Energy                                                               | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149160.00    | 0.04%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AU0<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    748000 | PA      | $748735.62    | 0.19%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    235000 | PA      | $242232.28    | 0.06%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    178000 | PA      | $178035.77    | 0.05%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137B5VK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30844 | PA      | $30545.20     | 0.01%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | New Residential Mortgage Loan Trust 2020-1                                      | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237369 | PA      | $224009.97    | 0.06%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-3 LLC                                           | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66000 | PA      | $67533.88     | 0.02%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2016-C6 Commercial Mortgage Trust                                         | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    349547 | PA      | $3.50         | 0.00%             | 2049-01-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    775000 | PA      | $774869.68    | 0.20%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Tr              | Bunker Hill Loan Depositary Trust 2019-3                                        | CUSIP: 12062BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76628 | PA      | $76191.86     | 0.02%             | 2059-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Loan Trust 2020-A                                     | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    651041 | PA      | $649488.47    | 0.17%             | 2068-11-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                  | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93082 | PA      | $90377.10     | 0.02%             | 2029-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    110000 | PA      | $111157.83    | 0.03%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2018-MTG1                                     | CUSIP: 585498AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678567 | PA      | $622898.79    | 0.16%             | 2048-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    516000 | PA      | $511907.52    | 0.13%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EMPE6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    770000 | PA      | $673489.69    | 0.17%             | 2031-02-03      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C5                                      | CUSIP: 05492JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181336 | PA      | $178632.52    | 0.05%             | 2052-11-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2024-UNIV                                        | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100062.43    | 0.03%             | 2041-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2023-INV2 Trust                                                             | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121684 | PA      | $122879.29    | 0.03%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FVBQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492043 | PA      | $455342.69    | 0.12%             | 2045-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2023-A LLC                                            | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    346510 | PA      | $352571.96    | 0.09%             | 2055-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157405 | PA      | $147108.60    | 0.04%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    282000 | PA      | $280683.45    | 0.07%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2025-EWEST                                                           | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $259999.53    | 0.07%             | 2042-06-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1771000 | PA      | $1785376.18   | 0.46%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECH2<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    470000 | PA      | $467726.70    | 0.12%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCK5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142244.36    | 0.04%             | 2030-07-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8B91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247880 | PA      | $237209.02    | 0.06%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5700000 | PA      | $5608488.27   | 1.45%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    435000 | PA      | $414653.43    | 0.11%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    245000 | PA      | $248258.52    | 0.06%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FQTC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215414 | PA      | $195210.19    | 0.05%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | Carmax Auto Owner Trust 2022-3                                                  | CUSIP: 14318MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116960 | PA      | $116955.81    | 0.03%             | 2027-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AV0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    185000 | PA      | $187967.87    | 0.05%             | 2029-03-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    861000 | PA      | $859319.68    | 0.22%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377611 | PA      | $368863.53    | 0.10%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    720000 | PA      | $738216.22    | 0.19%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                   | BPR Commercial Mortgage Trust 2025-STAR                                         | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200728.52    | 0.05%             | 2042-11-05      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                   | ALA Trust 2025-OANA                                                             | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299000 | PA      | $300120.71    | 0.08%             | 2040-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140GNMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225385 | PA      | $219437.49    | 0.06%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | GM Financial Consumer Automobile Receivables Trust 2022-2                       | CUSIP: 362585AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597740 | PA      | $596615.27    | 0.15%             | 2028-04-17      | Fixed         | 3.25%                 | 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        |    272223 | PA      | $274861.23    | 0.07%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5300000 | PA      | $5345546.88   | 1.38%             | 2028-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                  | Affirm Asset Securitization Trust 2025-X2                                       | CUSIP: 00835DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304533 | PA      | $304823.19    | 0.08%             | 2030-10-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                    | Foundation Finance Trust 2025-1                                                 | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275298 | PA      | $278598.40    | 0.07%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Higley Park Clo Ltd                         | Higley Park Clo Ltd                                                             | CUSIP: 43128QAE9<br>LEI: 213800CD95HT8UXDOH68 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $401604.92    | 0.10%             | 2038-07-24      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                    | OHA Credit Partners XVI                                                         | CUSIP: 67115LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    420000 | PA      | $421467.61    | 0.11%             | 2037-10-18      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust                         | Cali 2024-Sun                                                                   | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260321.20    | 0.07%             | 2041-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT           | EURO-SCHATZ                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -3 | NC      | $349.67       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CNH Equipment Trust                         | CNH Equipment Trust 2024-C                                                      | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203000 | PA      | $203668.89    | 0.05%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    738000 | PA      | $751212.78    | 0.19%             | 2030-02-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Card issuance Trus              | WF Card Issuance Trust                                                          | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1902000 | PA      | $1927180.20   | 0.50%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $189319.06    | 0.05%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDG2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    477000 | PA      | $485738.23    | 0.13%             | 2028-02-04      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C11 Mortgage Trust                                                     | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $227970.16    | 0.06%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2025-ESH                                            | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $295460.64    | 0.08%             | 2042-10-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-BRBK                                          | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201109 | PA      | $202104.91    | 0.05%             | 2041-10-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $411067.08    | 0.11%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4055000 | PA      | $3804730.47   | 0.98%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner               | Toyota Auto Receivables 2022-B Owner Trust                                      | CUSIP: 89238FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    446278 | PA      | $445221.92    | 0.11%             | 2027-08-16      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-2                                                | CUSIP: 89175VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222418 | PA      | $220458.51    | 0.06%             | 2058-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2023-6                                                 | CUSIP: 03464UAA4<br>LEI: 254900QAUT3NUZVCSB04 | Long             | ABS-MBS          | CORP              | US        |    130224 | PA      | $131227.29    | 0.03%             | 2067-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAX1<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162013.40    | 0.04%             | 2029-07-29      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |     91000 | PA      | $90497.55     | 0.02%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1263000 | PA      | $1286541.25   | 0.33%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2022-A                                         | CUSIP: 78450FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453010 | PA      | $428326.74    | 0.11%             | 2054-11-16      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BY3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    133000 | PA      | $135214.12    | 0.03%             | 2028-04-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2022-B                                         | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469294 | PA      | $459362.31    | 0.12%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCS2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    245000 | PA      | $240113.83    | 0.06%             | 2029-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                    | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743HFW7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |     29000 | PA      | $29439.73     | 0.01%             | 2028-02-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Tr              | BA Credit Card Trust                                                            | CUSIP: 05522RDJ4<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   1383000 | PA      | $1404666.49   | 0.36%             | 2029-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    159000 | PA      | $154142.70    | 0.04%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2022-2                                                      | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382402 | PA      | $334646.34    | 0.09%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2024-A                                                    | CUSIP: 00218KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110094 | PA      | $110760.20    | 0.03%             | 2032-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-B                                | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183528 | PA      | $176258.10    | 0.05%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 054989AA6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    414000 | PA      | $447769.72    | 0.12%             | 2030-08-02      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                 | ELM Trust 2024-ELM                                                              | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $733832.87    | 0.19%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust                                                      | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149825 | PA      | $151152.47    | 0.04%             | 2072-03-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    188000 | PA      | $190450.99    | 0.05%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    215000 | PA      | $215780.58    | 0.06%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2020-1NV                                                | CUSIP: 33851YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349399 | PA      | $334553.40    | 0.09%             | 2050-03-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1002000 | PA      | $1016926.18   | 0.26%             | 2028-07-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137AHGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25851 | PA      | $26131.69     | 0.01%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    404000 | PA      | $405635.57    | 0.10%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWA95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76299 | PA      | $75987.00     | 0.02%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    914000 | PA      | $912328.72    | 0.24%             | 2027-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FE3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325461 | PA      | $326071.22    | 0.08%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    531000 | PA      | $528648.72    | 0.14%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                | Ford Credit Auto Owner Trust 2023-A                                             | CUSIP: 344928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77723 | PA      | $77925.46     | 0.02%             | 2028-02-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2025-NQM4                                       | CUSIP: 10570QAE1<br>LEI: 25490082TY9NA9XBGW19 | Long             | ABS-MBS          | CORP              | US        |    328252 | PA      | $331734.39    | 0.09%             | 2065-02-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PET8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030000 | PA      | $1033526.62   | 0.27%             | 2028-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                          | Ally Financial Inc                                                              | CUSIP: 02005NBZ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $184570.15    | 0.05%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                  | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139905 | PA      | $140109.10    | 0.04%             | 2030-04-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362000 | PA      | $1414958.18   | 0.36%             | 2031-06-01      | Fixed         | 5.81%                 | 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        |    239357 | PA      | $241561.75    | 0.06%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    488000 | PA      | $478810.15    | 0.12%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    827000 | PA      | $868659.65    | 0.22%             | 2028-12-01      | Fixed         | 6.10%                 | 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        |     45529 | PA      | $37874.05     | 0.01%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362219 | PA      | $353878.05    | 0.09%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-6                                                | CUSIP: 89176LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154671 | PA      | $153954.54    | 0.04%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-C11 Mortgage Trust                                                     | CUSIP: 05613XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $195874.06    | 0.05%             | 2058-02-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017CH0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     38000 | PA      | $37602.29     | 0.01%             | 2026-11-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                 | Citibank NA                                                                     | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    375000 | PA      | $385765.94    | 0.10%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    689000 | PA      | $677347.32    | 0.17%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    708000 | PA      | $723103.08    | 0.19%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AY9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    316000 | PA      | $326067.56    | 0.08%             | 2029-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                        | Cross 2025-H2 Mortgage Trust                                                    | CUSIP: 22758PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293924 | PA      | $295551.73    | 0.08%             | 2070-03-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    111000 | PA      | $110365.93    | 0.03%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-3                                               | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295880 | PA      | $284856.54    | 0.07%             | 2067-02-25      | Variable      | 4.13%                 | 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        |    130508 | PA      | $128804.41    | 0.03%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note              | Navistar Financial Dealer Note Master Owner Trust                               | CUSIP: 63938PBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $391849.50    | 0.10%             | 2029-04-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    470000 | PA      | $490528.47    | 0.13%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-C60                                  | CUSIP: 95003DBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834000 | PA      | $789776.65    | 0.20%             | 2054-08-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                            | COLT 2025-4 Mortgage Loan Trust                                                 | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |    431289 | PA      | $436412.77    | 0.11%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBN4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    738000 | PA      | $721962.76    | 0.19%             | 2027-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EMAG7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   2080000 | PA      | $1641901.46   | 0.42%             | 2035-09-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2023-C                                         | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109523 | PA      | $112452.13    | 0.03%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2025-5C9 Mortgage Trust                                                     | CUSIP: 096933AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154697 | PA      | $162166.00    | 0.04%             | 2058-04-15      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                  | 1345T 2025-AOA                                                                  | CUSIP: 68271CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147000 | PA      | $147350.33    | 0.04%             | 2042-06-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    758000 | PA      | $757896.50    | 0.20%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus              | CFCRE Commercial Mortgage Trust 2016-C6                                         | CUSIP: 12532AAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $813666.98    | 0.21%             | 2049-11-10      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    590000 | PA      | $590459.20    | 0.15%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | Homes 2024-Nqm2 Trust                                                           | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |    407877 | PA      | $411352.86    | 0.11%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBU6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    368000 | PA      | $370934.48    | 0.10%             | 2030-08-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1                            | CUSIP: 03881BAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439283 | PA      | $426641.78    | 0.11%             | 2053-05-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $572114.37    | 0.15%             | 2030-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-PAT                                                               | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250000.00    | 0.06%             | 2041-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1119000 | PA      | $1155035.30   | 0.30%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                     | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    610000 | PA      | $620617.41    | 0.16%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Summer Issuer, LLC                          | Summit Issuer LLC                                                               | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264000 | PA      | $264570.53    | 0.07%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                       | Arroyo Mortgage Trust 2022-2                                                    | CUSIP: 04285EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198062 | PA      | $197273.26    | 0.05%             | 2057-07-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     89000 | PA      | $84927.89     | 0.02%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABZ7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    260000 | PA      | $259149.44    | 0.07%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM6 Trust                                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |    239689 | PA      | $242003.40    | 0.06%             | 2065-03-25      | Variable      | 5.60%                 | 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        |    164931 | PA      | $166204.71    | 0.04%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-D                                | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219492 | PA      | $209686.49    | 0.05%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CE7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    152000 | PA      | $149528.39    | 0.04%             | 2028-03-02      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PGC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493000 | PA      | $497788.90    | 0.13%             | 2030-08-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    689000 | PA      | $700776.03    | 0.18%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JPMCC Commercial Mortgage Securities Trust 2017-JP6                             | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300619 | PA      | $296616.85    | 0.08%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | Gm Financial Consumer Automobile Receivables Trust 2025-3                       | CUSIP: 379957AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1245000 | PA      | $1255041.42   | 0.32%             | 2030-08-16      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                          | Expand Energy Corp                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    907000 | PA      | $919324.81    | 0.24%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FRJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100250 | PA      | $97556.45     | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | 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        |    196434 | PA      | $198234.65    | 0.05%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727001 | PA      | $1687051.83   | 0.43%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132CWVQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337901 | PA      | $320077.65    | 0.08%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    505000 | PA      | $518451.36    | 0.13%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    600000 | PA      | $611755.27    | 0.16%             | 2029-01-05      | Fixed         | 4.85%                 | 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        |    120197 | PA      | $120201.63    | 0.03%             | 2062-08-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1904863 | PA      | $1861880.21   | 0.48%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96063.74     | 0.02%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-4 LLC                                           | CUSIP: 29374MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $50791.08     | 0.01%             | 2031-06-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2021-INV2 Trust                                                             | CUSIP: 552732AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200666 | PA      | $184560.28    | 0.05%             | 2056-11-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QABC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22610 | PA      | $21876.21     | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1202692.76   | 0.31%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2023-NQM6 Trust                                                             | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314731 | PA      | $316226.58    | 0.08%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    807000 | PA      | $830868.90    | 0.21%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                   | Anchorage Capital CLO 7 Ltd                                                     | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |    865000 | PA      | $868176.28    | 0.22%             | 2037-04-28      | Floating      | 5.42%                 | 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        |    356703 | PA      | $355373.86    | 0.09%             | 2057-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                 | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $30.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBS1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     98000 | PA      | $99614.61     | 0.03%             | 2028-02-04      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                        | Chase Issuance Trust                                                            | CUSIP: 161571HT4<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2705220.41   | 0.70%             | 2028-09-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $799414.58    | 0.21%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Porsche Financial Auto Securit              | Porsche Financial Auto Securitization Trust 2024-1                              | CUSIP: 73328EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2163000 | PA      | $2170882.19   | 0.56%             | 2030-01-22      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECU3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    349000 | PA      | $365029.40    | 0.09%             | 2029-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QSCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141347 | PA      | $146242.10    | 0.04%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    365000 | PA      | $375612.91    | 0.10%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                        | WEST Trust 2025-ROSE                                                            | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    331000 | PA      | $336123.35    | 0.09%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T              | EFMT 2025-INV2                                                                  | CUSIP: 281914AA9<br>LEI: 254900ZO1GLQXE3JWX68 | Long             | ABS-MBS          | CORP              | US        |    387321 | PA      | $390260.04    | 0.10%             | 2070-05-26      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    349000 | PA      | $370445.46    | 0.10%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-C                                           | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1622000 | PA      | $1634785.90   | 0.42%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2016-12 Ltd                                                             | CUSIP: 67092RBC1<br>LEI: 254900U8BS6KLMI9K654 | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $260774.31    | 0.07%             | 2037-10-18      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                         | Dominion Energy Inc                                                             | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    229000 | PA      | $235282.62    | 0.06%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                    | Federal Farm Credit Banks Funding Corp                                          | CUSIP: 3133EK4C7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    700000 | PA      | $663572.24    | 0.17%             | 2029-10-29      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-LC24                                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    699571 | PA      | $694815.43    | 0.18%             | 2049-10-15      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    902000 | PA      | $865875.20    | 0.22%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBU8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    195000 | PA      | $191131.40    | 0.05%             | 2027-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-4 LLC                                           | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    182000 | PA      | $183861.53    | 0.05%             | 2028-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                           | L3Harris Technologies Inc                                                       | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     28000 | PA      | $28404.82     | 0.01%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR8                                                                 | CUSIP: 065923AY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $230404.59    | 0.06%             | 2057-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2024-RCF1 LLC                                                              | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77713 | PA      | $76832.24     | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QGV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253113 | PA      | $241161.94    | 0.06%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                               | AppLovin Corp                                                                   | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   2118000 | PA      | $2172485.83   | 0.56%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-3                                               | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531187 | PA      | $531079.84    | 0.14%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                            | FirstEnergy Corp                                                                | CUSIP: 337932AP2<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    108000 | PA      | $97780.81     | 0.03%             | 2030-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                      | Canyon CLO 2021-4 Ltd                                                           | CUSIP: 13877PAQ0<br>LEI: 254900V38Q76ALAJY818 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250393.65    | 0.06%             | 2034-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2021-A                                         | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555344 | PA      | $549952.04    | 0.14%             | 2053-01-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                        | Cross 2025-H3 Mortgage Trust                                                    | CUSIP: 22757EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603207 | PA      | $611324.20    | 0.16%             | 2070-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                      | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCL2<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    445000 | PA      | $450287.92    | 0.12%             | 2027-09-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J5SL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51101 | PA      | $49409.74     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    935000 | PA      | $953519.57    | 0.25%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                      | COAST Commercial Mortgage Trust 2023-2HTL                                       | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299812.68    | 0.08%             | 2036-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| EQT Trust 2024-EXTR                         | EQT Trust 2024-EXTR                                                             | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $660042.43    | 0.17%             | 2041-07-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136B7PP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350276 | PA      | $339606.05    | 0.09%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2024-NQM1                                       | CUSIP: 10570FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508770 | PA      | $512215.90    | 0.13%             | 2063-12-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    672000 | PA      | $665332.62    | 0.17%             | 2026-11-18      | Fixed         | 2.90%                 | 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        |     90283 | PA      | $89649.03     | 0.02%             | 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        |    197000 | PA      | $202292.19    | 0.05%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    533000 | PA      | $533519.70    | 0.14%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C33                                  | CUSIP: 95000LAZ6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    204308 | PA      | $203811.66    | 0.05%             | 2059-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    351000 | PA      | $353824.23    | 0.09%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    440000 | PA      | $437108.08    | 0.11%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                   | College Ave Student Loans 2021-B LLC                                            | CUSIP: 19425AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140139 | PA      | $138347.57    | 0.04%             | 2052-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                   | ALA Trust 2025-OANA                                                             | CUSIP: 009920AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211000 | PA      | $211527.25    | 0.05%             | 2040-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2016-2                                                | CUSIP: 89172PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132353 | PA      | $131019.92    | 0.03%             | 2055-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BR8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    216000 | PA      | $219338.57    | 0.06%             | 2027-04-04      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                               | Stellantis NV                                                                   | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $237387.17    | 0.06%             | 2028-11-19      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2023-NQM6                                       | CUSIP: 10569DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278923 | PA      | $280763.96    | 0.07%             | 2063-09-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                | Dell Equipment Finance Trust 2025-1                                             | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337000 | PA      | $340810.22    | 0.09%             | 2031-02-24      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-BIO                                                               | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626000 | PA      | $624641.96    | 0.16%             | 2041-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    124000 | PA      | $127847.58    | 0.03%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2024-2                                                 | CUSIP: 46657TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62639 | PA      | $63361.38     | 0.02%             | 2054-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                            | Ryder System Inc                                                                | CUSIP: 78355HKT5<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    370000 | PA      | $365190.62    | 0.09%             | 2027-03-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2025-5C33                                                  | CUSIP: 072924AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $263195.13    | 0.07%             | 2058-03-15      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2022-B                                | CUSIP: 63942PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664914 | PA      | $654415.60    | 0.17%             | 2070-10-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    952000 | PA      | $954946.23    | 0.25%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And L              | BAY 2025-LIVN Mortgage Trust                                                    | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $386268.35    | 0.10%             | 2035-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable              | Westlake Automobile Receivables Trust 2025-P1                                   | CUSIP: 96043LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216000 | PA      | $217995.60    | 0.06%             | 2029-06-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivabl              | Santander Drive Auto Receivables Trust 2023-5                                   | CUSIP: 80286PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276217 | PA      | $276992.14    | 0.07%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2025-11                                                | CUSIP: 03466FAC1<br>LEI: 254900U7QMG1IM2AZ079 | Long             | ABS-MBS          | CORP              | US        |    303999 | PA      | $304417.15    | 0.08%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo I Ltd                                                              | CUSIP: 96467FBJ8<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |    410000 | PA      | $409826.20    | 0.11%             | 2037-01-24      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    555000 | PA      | $532771.35    | 0.14%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-5C31                                                  | CUSIP: 07336YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390000 | PA      | $406553.51    | 0.10%             | 2057-12-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                    | OZLM XXII Ltd                                                                   | CUSIP: 67111VAE6<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |    179511 | PA      | $179556.86    | 0.05%             | 2031-01-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                         | Synchrony Financial                                                             | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    115000 | PA      | $119850.26    | 0.03%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    690000 | PA      | $702912.45    | 0.18%             | 2029-01-24      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD5 Mortgage Trust                                                      | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $518172.59    | 0.13%             | 2050-08-15      | Fixed         | 3.43%                 | 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        |    701783 | PA      | $706481.18    | 0.18%             | 2055-05-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Trust 2015-2                                                 | CUSIP: 599808BG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242299 | PA      | $240733.01    | 0.06%             | 2057-09-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                     | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    605000 | PA      | $606890.10    | 0.16%             | 2028-11-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    310000 | PA      | $319927.45    | 0.08%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan               | NEW Residential Mortgage Loan Trust 2025-Nqm2                                   | CUSIP: 64831XAC2<br>LEI: 2138006ZAYPD4ZHQYX81 | Long             | ABS-MBS          | CORP              | US        |    242309 | PA      | $244971.48    | 0.06%             | 2065-04-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    686000 | PA      | $685309.14    | 0.18%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    400000 | PA      | $410606.27    | 0.11%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                 | INV 2024-IND Mortgage Trust                                                     | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $158802.88    | 0.04%             | 2041-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                 | Netflix Inc                                                                     | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    215000 | PA      | $226046.41    | 0.06%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BDX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4920 | PA      | $4912.36      | 0.00%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169362 | PA      | $165739.67    | 0.04%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 3132A9SW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183943 | PA      | $180043.69    | 0.05%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC Trust 2015-3                                                               | CUSIP: 12649XAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62927 | PA      | $59139.43     | 0.02%             | 2045-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                        | Verizon Master Trust                                                            | CUSIP: 92348KCH4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |    266000 | PA      | $272358.76    | 0.07%             | 2031-12-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2023-2                                 | CUSIP: 36268DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1904000 | PA      | $1998250.86   | 0.51%             | 2036-08-11      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust/Ford Credit                                        | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715000 | PA      | $734768.03    | 0.19%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Act              | Prodigy Finance CM2021-1 DAC                                                    | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |     28517 | PA      | $28445.80     | 0.01%             | 2051-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execut              | Capital One Multi-Asset Execution Trust                                         | CUSIP: 14041NFV8<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1978557.80   | 0.51%             | 2028-08-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97122 | PA      | $95627.01     | 0.02%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2024-2                                 | CUSIP: 379925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    824000 | PA      | $837430.21    | 0.22%             | 2037-03-11      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2023-B                                           | CUSIP: 44933XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    747519 | PA      | $752762.95    | 0.19%             | 2028-04-17      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BKUK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6933 | PA      | $6922.89      | 0.00%             | 2042-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBR5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    270000 | PA      | $269173.22    | 0.07%             | 2030-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr              | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82508 | PA      | $72632.19     | 0.02%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    680000 | PA      | $687632.08    | 0.18%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    521000 | PA      | $518626.76    | 0.13%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                              | Pikes Peak CLO 14 2023 Ltd                                                      | CUSIP: 72134CAL5<br>LEI: 213800AO7LGLGDRRY278 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250912.65    | 0.06%             | 2038-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H8L66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1836587 | PA      | $1828660.23   | 0.47%             | 2049-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FUGE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94837 | PA      | $91250.76     | 0.02%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    876000 | PA      | $877891.14    | 0.23%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                    | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    101000 | PA      | $101678.85    | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137BHTC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213153 | PA      | $200635.31    | 0.05%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-AIRC                                          | CUSIP: 12433CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308944 | PA      | $310474.99    | 0.08%             | 2041-08-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1246000 | PA      | $1249971.13   | 0.32%             | 2028-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                          | Realty Income Corp                                                              | CUSIP: 756109AW4<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     52000 | PA      | $50534.06     | 0.01%             | 2029-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    907000 | PA      | $910594.08    | 0.23%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38382HX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359326 | PA      | $292734.38    | 0.08%             | 2050-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     97000 | PA      | $96982.74     | 0.02%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CY0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    320000 | PA      | $327032.33    | 0.08%             | 2030-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    874000 | PA      | $875755.30    | 0.23%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    722000 | PA      | $697498.60    | 0.18%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RBK4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    126000 | PA      | $126054.13    | 0.03%             | 2027-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $508245.97    | 0.13%             | 2049-11-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | FED FUND 30DAY                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        47 | NC      | $13319.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| APTIV SWISS HOLDINGS LTD                    | Aptiv Swiss Holdings Ltd                                                        | CUSIP: 03837AAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    440000 | PA      | $448228.75    | 0.12%             | 2029-09-13      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                 | Paychex Inc                                                                     | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    555000 | PA      | $571380.49    | 0.15%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AB3<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    190000 | PA      | $192560.43    | 0.05%             | 2028-04-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                    | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |    601000 | PA      | $602811.27    | 0.16%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19605366.20  | 5.05%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    295000 | PA      | $295373.77    | 0.08%             | 2030-10-15      | Fixed         | 4.73%                 | 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        |     65332 | PA      | $60878.44     | 0.02%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                  | PRM5 Trust 2025-PRM5                                                            | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376000 | PA      | $375859.79    | 0.10%             | 2033-03-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104876 | PA      | $109560.50    | 0.03%             | 2043-07-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                            | Duke Energy Corp                                                                | CUSIP: 26441CBE4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107372.91    | 0.03%             | 2029-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WGZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3790 | PA      | $3713.42      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    334000 | PA      | $340217.20    | 0.09%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                           | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |         3 | PA      | $3.04         | 0.00%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                       | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    390000 | PA      | $402555.88    | 0.10%             | 2031-01-25      | Fixed         | 5.50%                 | 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        |    112992 | PA      | $113933.56    | 0.03%             | 2065-09-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    433000 | PA      | $470304.17    | 0.12%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                        | Chase Issuance Trust                                                            | CUSIP: 161571HW7<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $300403.49    | 0.08%             | 2031-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2023-1                                     | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1023123.90   | 0.26%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-ROIC                                                              | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511007 | PA      | $510368.60    | 0.13%             | 2030-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2020-EXP3 Trust                                                             | CUSIP: 67448WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383401 | PA      | $382281.46    | 0.10%             | 2060-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $240284.43    | 0.06%             | 2055-04-15      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2024-C                                         | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960126 | PA      | $985105.39    | 0.25%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAX7<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    650000 | PA      | $651533.34    | 0.17%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BN7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    423000 | PA      | $443749.61    | 0.11%             | 2028-10-06      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES              | Mercedes-Benz Auto Receivables Trust 2023-2                                     | CUSIP: 58769FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512026 | PA      | $518876.90    | 0.13%             | 2028-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-1 LLC                                           | CUSIP: 29375PAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223364 | PA      | $225031.96    | 0.06%             | 2030-03-20      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                            | Ryder System Inc                                                                | CUSIP: 78355HKW8<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $133448.76    | 0.03%             | 2028-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    375000 | PA      | $379536.59    | 0.10%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHW7<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   1785000 | PA      | $1791064.00   | 0.46%             | 2028-05-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2019-C                                | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83606 | PA      | $82768.58     | 0.02%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    493000 | PA      | $478248.79    | 0.12%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1406000 | PA      | $1395185.99   | 0.36%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                 | Netflix Inc                                                                     | CUSIP: 64110LAV8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    280000 | PA      | $287063.39    | 0.07%             | 2030-06-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    255000 | PA      | $258176.13    | 0.07%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAK1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    275000 | PA      | $276433.20    | 0.07%             | 2027-07-27      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                 | Equinix Inc                                                                     | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    235000 | PA      | $213139.29    | 0.05%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1049156.66   | 0.27%             | 2029-09-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     94000 | PA      | $97321.22     | 0.03%             | 2030-01-24      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2019-B                                         | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298139 | PA      | $298294.95    | 0.08%             | 2037-06-15      | Floating      | 4.86%                 | 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        |    425000 | PA      | $421250.14    | 0.11%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                        | Verizon Master Trust                                                            | CUSIP: 92348KDM2<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1042000 | PA      | $1057257.90   | 0.27%             | 2030-11-20      | Fixed         | 4.62%                 | 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        |    173243 | PA      | $173410.69    | 0.04%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2021-1                                     | CUSIP: 89237MAA7<br>LEI: 54930055QDKD6LCRW256 | Long             | ABS-O            | CORP              | US        |    572000 | PA      | $569496.76    | 0.15%             | 2034-02-27      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    320000 | PA      | $313779.81    | 0.08%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429520 | PA      | $410484.09    | 0.11%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418D2X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844714 | PA      | $800831.64    | 0.21%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2023-1                                         | CUSIP: 68269JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $154872.53    | 0.04%             | 2038-06-14      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                        | Chase Issuance Trust                                                            | CUSIP: 161571HZ0<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   1728000 | PA      | $1744794.78   | 0.45%             | 2030-07-15      | Fixed         | 4.16%                 | 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        |    372213 | PA      | $374641.82    | 0.10%             | 2070-02-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                            | Symphony CLO 40 Ltd                                                             | CUSIP: 871989AP4<br>LEI: 25490001HYY3IX1I5Z32 | Long             | ABS-CBDO         | CORP              | BM        |    645000 | PA      | $647397.47    | 0.17%             | 2038-01-05      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138EQHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85263 | PA      | $88667.59     | 0.02%             | 2044-07-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-1 LLC                                           | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $50956.38     | 0.01%             | 2030-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-OMG                                                               | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257000 | PA      | $257160.24    | 0.07%             | 2042-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-HF1 Mortgage Trust                                                     | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90240 | PA      | $90408.69     | 0.02%             | 2041-12-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                         | Southern California Edison Co                                                   | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     77000 | PA      | $79684.59     | 0.02%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BTK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247344 | PA      | $249418.26    | 0.06%             | 2054-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    585000 | PA      | $596637.13    | 0.15%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2021-C                                                | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246714 | PA      | $246073.59    | 0.06%             | 2062-04-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    460000 | PA      | $456792.53    | 0.12%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr              | GoodLeap Sustainable Home Solutions Trust 2022-2                                | CUSIP: 38237KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36404 | PA      | $32405.84     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2024-5C2                                  | CUSIP: 95003UAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $94739.96     | 0.02%             | 2057-11-15      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1604187.50   | 0.41%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                   | Kubota Credit Owner Trust 2025-1                                                | CUSIP: 50117FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193178 | PA      | $193951.88    | 0.05%             | 2027-12-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHX5<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $281123.14    | 0.07%             | 2028-05-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG                  | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $272714.34    | 0.07%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                 | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269577 | PA      | $241514.18    | 0.06%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1351000 | PA      | $1346418.99   | 0.35%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-CNYN                                                              | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95272 | PA      | $95360.13     | 0.02%             | 2041-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                 | Exelon Corp                                                                     | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    270000 | PA      | $277602.77    | 0.07%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2020-2                                                 | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383589 | PA      | $365994.32    | 0.09%             | 2065-01-26      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-A                                | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41241 | PA      | $37891.88     | 0.01%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PFD3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    530000 | PA      | $528392.18    | 0.14%             | 2031-10-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                    | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    343000 | PA      | $359961.56    | 0.09%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Bank of America Auto Trust                  | BofA Auto Trust 2025-1                                                          | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253000 | PA      | $254676.35    | 0.07%             | 2029-11-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM4                        | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516898 | PA      | $520913.61    | 0.13%             | 2070-06-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2023-NQM1 Trust                                                             | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620291 | PA      | $618356.30    | 0.16%             | 2062-11-25      | Variable      | 6.12%                 | 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        |     66042 | PA      | $66783.34     | 0.02%             | 2030-11-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2025-FPM                                                             | CUSIP: 05556HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $192429.78    | 0.05%             | 2040-10-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2024-RVR                                      | CUSIP: 36272JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $121884.78    | 0.03%             | 2041-08-10      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                      | John Deere Owner Trust 2023-B                                                   | CUSIP: 477920AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293902 | PA      | $295709.62    | 0.08%             | 2028-03-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCE8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    361000 | PA      | $376858.50    | 0.10%             | 2028-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                  | Humana Inc                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    290000 | PA      | $299826.57    | 0.08%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    766000 | PA      | $776161.53    | 0.20%             | 2029-05-09      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                  | INCREF 2025-FL1 LLC                                                             | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    465000 | PA      | $465908.19    | 0.12%             | 2042-10-19      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300MXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206388 | PA      | $215846.54    | 0.06%             | 2045-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137H0A40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476071 | PA      | $464961.92    | 0.12%             | 2044-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FHZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13647 | PA      | $13148.64     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2023-A                                           | CUSIP: 448979AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171767 | PA      | $171912.56    | 0.04%             | 2027-04-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QSCC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69480 | PA      | $69844.68     | 0.02%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securit              | SG Commercial Mortgage Securities Trust 2016-C5                                 | CUSIP: 78419CAC8<br>LEI: 549300SZQW4U3UN4A157 | Long             | ABS-MBS          | CORP              | US        |    962083 | PA      | $959476.42    | 0.25%             | 2048-10-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    485000 | PA      | $484803.48    | 0.12%             | 2030-10-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2025-V18 Mortgage Trust                                               | CUSIP: 08164EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $277567.13    | 0.07%             | 2058-10-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2350000 | PA      | $2322953.99   | 0.60%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LBD0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    380000 | PA      | $382494.15    | 0.10%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3                   | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    820775 | PA      | $805760.72    | 0.21%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                   | Amgen Inc                                                                       | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    482000 | PA      | $481605.03    | 0.12%             | 2029-08-18      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                 | Rad CLO 18 Ltd                                                                  | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    490000 | PA      | $491331.33    | 0.13%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1092000 | PA      | $1119612.41   | 0.29%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2024-1                                       | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103000 | PA      | $104991.79    | 0.03%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    235000 | PA      | $233857.00    | 0.06%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAX0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400308.00    | 0.10%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                         | M&T Equipment 2025-LEAF1 Notes                                                  | CUSIP: 55340QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $85409.02     | 0.02%             | 2027-12-16      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140XMXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183819 | PA      | $174913.07    | 0.05%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2025-NQM1 Trust                                                            | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217504 | PA      | $219317.69    | 0.06%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    257000 | PA      | $261871.79    | 0.07%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    166000 | PA      | $173151.91    | 0.04%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                      | Morgan Stanley Bank NA                                                          | CUSIP: 61690U8A1<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    915000 | PA      | $923564.33    | 0.24%             | 2028-01-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2017-1                                            | CUSIP: 59981HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68741 | PA      | $68213.31     | 0.02%             | 2058-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 31307WTN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633704 | PA      | $631372.73    | 0.16%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner T              | Honda Auto Receivables 2023-4 Owner Trust                                       | CUSIP: 438123AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664044 | PA      | $671291.04    | 0.17%             | 2028-06-21      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | FED FUND 30DAY                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        47 | NC      | $10822.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | GM Financial Consumer Automobile Receivables Trust 2022-3                       | CUSIP: 36265WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887000 | PA      | $886087.54    | 0.23%             | 2027-12-16      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138MGNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4929 | PA      | $4857.90      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance T              | Regional Management Issuance Trust 2024-2                                       | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100775.97    | 0.03%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun              | American Express Credit Account Master Trust                                    | CUSIP: 02582JKF6<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $423126.91    | 0.11%             | 2031-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                  | MMAF Equipment Finance LLC 2024-A                                               | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    745000 | PA      | $770211.17    | 0.20%             | 2049-07-13      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                            | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    230000 | PA      | $229082.38    | 0.06%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                       | Applied Materials Inc                                                           | CUSIP: 038222AT2<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |    240000 | PA      | $238781.11    | 0.06%             | 2031-01-15      | Fixed         | 4.00%                 | 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        |    450666 | PA      | $451967.63    | 0.12%             | 2065-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $5879298.30   | 1.51%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                  | NCMF Trust 2025-MFS                                                             | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422000 | PA      | $423519.50    | 0.11%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2023-2                                               | CUSIP: 92539DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154721 | PA      | $154607.80    | 0.04%             | 2068-03-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $516163.35    | 0.13%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2025-NQM2 Trust                                                             | CUSIP: 55287MAA7<br>LEI: 254900SDE8K3K1E63161 | Long             | ABS-MBS          | CORP              | US        |    318735 | PA      | $321410.93    | 0.08%             | 2070-05-27      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    165000 | PA      | $168415.27    | 0.04%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57813 | PA      | $57463.15     | 0.01%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    417000 | PA      | $434441.33    | 0.11%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                        | Westpac Banking Corp                                                            | CUSIP: 96122WAQ3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1205000 | PA      | $1215648.48   | 0.31%             | 2028-05-22      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                              | Ohio Edison Co                                                                  | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    131000 | PA      | $133962.51    | 0.03%             | 2029-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Home Lending Mortgage Trust 2025-3                                        | CUSIP: 16160MAX1<br>LEI: 529900HBZNCZRSLIS225 | Long             | ABS-MBS          | CORP              | US        |    486646 | PA      | $486817.43    | 0.13%             | 2056-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    350000 | PA      | $332245.49    | 0.09%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                      | RR 21 Ltd                                                                       | CUSIP: 78110TAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    260000 | PA      | $260853.32    | 0.07%             | 2039-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    950000 | PA      | $973383.02    | 0.25%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 9128286X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $944310.07    | 0.24%             | 2026-05-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $116997.29    | 0.03%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LBB4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    890000 | PA      | $978972.41    | 0.25%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128MENT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34063 | PA      | $33733.15     | 0.01%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1719000 | PA      | $1704040.42   | 0.44%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-12                                                 | CUSIP: 33853GAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566013 | PA      | $558021.07    | 0.14%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                     | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $239657.46    | 0.06%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                  | MMAF Equipment Finance LLC 2024-A                                               | CUSIP: 55318CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149650 | PA      | $152085.48    | 0.04%             | 2031-07-14      | Fixed         | 4.95%                 | 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        |    100000 | PA      | $100284.92    | 0.03%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR11                                                                | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $204976.71    | 0.05%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                         | Consumers Energy Co                                                             | CUSIP: 210518DY9<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    270000 | PA      | $272974.83    | 0.07%             | 2031-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2022-1                                               | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121117 | PA      | $113861.79    | 0.03%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2023-REV1                                          | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $1407551.70   | 0.36%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    411000 | PA      | $395241.52    | 0.10%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                   | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    510000 | PA      | $507843.85    | 0.13%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AS MILEAGE PLAN IP LTD                      | AS Mileage Plan IP Ltd                                                          | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    545000 | PA      | $548782.64    | 0.14%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272BK3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    254000 | PA      | $260548.58    | 0.07%             | 2028-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                  | Progress Residential 2021-SFR10 Trust                                           | CUSIP: 74333WAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434280 | PA      | $413084.00    | 0.11%             | 2040-12-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCW2<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    413000 | PA      | $419739.08    | 0.11%             | 2029-11-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66356 | PA      | $64796.18     | 0.02%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                    | Angel Oak Mortgage Trust 2025-7                                                 | CUSIP: 03466TAA5<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |    734636 | PA      | $741829.32    | 0.19%             | 2070-06-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                 | Point Broadband Funding LLC                                                     | CUSIP: 73052AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116000 | PA      | $116847.66    | 0.03%             | 2055-07-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| RYDER SYSTEM INC                            | Ryder System Inc                                                                | CUSIP: 78355HLD9<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66347.76     | 0.02%             | 2029-12-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GCAT                                        | GCAT 2025-NQM6 Trust                                                            | CUSIP: 36831QAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222470 | PA      | $222616.26    | 0.06%             | 2070-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CT1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    290000 | PA      | $290316.16    | 0.07%             | 2030-11-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    778000 | PA      | $765065.70    | 0.20%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-TAIL                                                              | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $184999.98    | 0.05%             | 2035-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $328803.25    | 0.08%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135CS3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    375000 | PA      | $376147.51    | 0.10%             | 2028-11-20      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                  | Verus Securitization Trust 2025-3                                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |    599370 | PA      | $605506.79    | 0.16%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                 | PNC Bank NA                                                                     | CUSIP: 69353RFY9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1061542.31   | 0.27%             | 2027-05-13      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    555000 | PA      | $552163.88    | 0.14%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137FCPN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234557 | PA      | $227320.85    | 0.06%             | 2046-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2023-REV2                                          | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675000 | PA      | $1731241.98   | 0.45%             | 2036-02-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2023-NQM2 Trust                                                            | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98288 | PA      | $98754.99     | 0.03%             | 2068-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                  | NCMF Trust 2025-MFS                                                             | CUSIP: 62887TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256000 | PA      | $258566.76    | 0.07%             | 2033-06-10      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                | Ford Credit Auto Owner Trust 2024-A                                             | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1787023 | PA      | $1802194.18   | 0.46%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-VLT4                                                              | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $379881.06    | 0.10%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119DD8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    310000 | PA      | $308828.18    | 0.08%             | 2030-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                 | Exelon Corp                                                                     | CUSIP: 30161NBJ9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    253000 | PA      | $258476.88    | 0.07%             | 2028-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                              | CUSIP: 3137HHKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    741808 | PA      | $748052.86    | 0.19%             | 2054-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                          | Steel Dynamics Inc                                                              | CUSIP: 858119BU3<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    390000 | PA      | $389551.99    | 0.10%             | 2028-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CART                                        | CONE Trust 2024-DFW1                                                            | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $189703.85    | 0.05%             | 2041-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAW7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    330000 | PA      | $331012.76    | 0.09%             | 2030-11-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2024-UNIV                                        | CUSIP: 08861RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $70108.27     | 0.02%             | 2041-11-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140J8XV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952017 | PA      | $978970.10    | 0.25%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2022-INV2                                     | CUSIP: 58549JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377348 | PA      | $329280.45    | 0.08%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                   | Amgen Inc                                                                       | CUSIP: 031162CJ7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    346000 | PA      | $343318.14    | 0.09%             | 2026-08-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-PAT                                                               | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100405.93    | 0.03%             | 2041-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1440000 | PA      | $1447481.25   | 0.37%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRU              | SoFi Consumer Loan Program 2025-2 Trust                                         | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660987 | PA      | $664798.95    | 0.17%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2023-2 LLC                                           | CUSIP: 29375NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279720 | PA      | $281275.17    | 0.07%             | 2030-04-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138AN4X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2698 | PA      | $2698.67      | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAA1<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |     66525 | PA      | $65785.84     | 0.02%             | 2029-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CZ0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    642000 | PA      | $654323.04    | 0.17%             | 2028-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2025-2 LLC                                           | CUSIP: 29375TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342000 | PA      | $345535.08    | 0.09%             | 2029-06-20      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-B2                                     | CUSIP: 17327FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $532411.99    | 0.14%             | 2051-03-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Commercial Mortgage Trust 2025-3BP                                          | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179000 | PA      | $177549.01    | 0.05%             | 2042-02-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-OPO                 | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $82304.51     | 0.02%             | 2039-01-05      | Variable      | 3.45%                 | 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        |    236030 | PA      | $236465.55    | 0.06%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                         | Consumers Energy Co                                                             | CUSIP: 210518DW3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    129000 | PA      | $131095.05    | 0.03%             | 2029-05-30      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400760.73    | 0.10%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Tru              | OneMain Financial Issuance Trust 2019-2                                         | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    402000 | PA      | $396312.79    | 0.10%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    145000 | PA      | $144024.44    | 0.04%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2023-DSC1                                            | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308774 | PA      | $305231.14    | 0.08%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458494 | PA      | $447974.21    | 0.12%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $393761.17    | 0.10%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                                | CUSIP: 31329KQJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175715 | PA      | $173121.84    | 0.04%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2023-XL3                                           | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343684 | PA      | $344002.76    | 0.09%             | 2040-12-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                         | Affirm Master Trust Series 2025-3                                               | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    765000 | PA      | $767396.67    | 0.20%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 31418CPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140992 | PA      | $138958.29    | 0.04%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                | Hudson Yards 2025-SPRL Mortgage Trust                                           | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $290301.12    | 0.07%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8EP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329955 | PA      | $325765.32    | 0.08%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receiva              | GM Financial Revolving Receivables Trust 2024-1                                 | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284000 | PA      | $292057.65    | 0.08%             | 2036-12-11      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140X5AA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    986175 | PA      | $952380.75    | 0.25%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCW9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    126000 | PA      | $125904.17    | 0.03%             | 2030-10-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140H7JU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28773 | PA      | $28116.46     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2025-NQM1 Trust                                                             | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |    474099 | PA      | $476776.80    | 0.12%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                | Dell Equipment Finance Trust 2025-1                                             | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $265932.19    | 0.07%             | 2027-07-22      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-B                                           | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1338000 | PA      | $1352964.06   | 0.35%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                      | Morgan Stanley Bank NA                                                          | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    765000 | PA      | $775667.18    | 0.20%             | 2028-07-14      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                       | Uber Technologies Inc                                                           | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1125138.38   | 0.29%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2025-1                                                | CUSIP: 64035EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $614985.67    | 0.16%             | 2033-10-25      | Floating      | 4.91%                 | 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        |    327888 | PA      | $309912.97    | 0.08%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    825000 | PA      | $816713.60    | 0.21%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVAB              | GreatAmerica Leasing Receivables Funding LLC Series 2024-2                      | CUSIP: 39154GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120228 | PA      | $120720.47    | 0.03%             | 2027-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus              | WHARF Commercial Mortgage Trust 2025-DC                                         | CUSIP: 92987LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102338.55    | 0.03%             | 2040-07-15      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                                              | CUSIP: 69335PFE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141457.95    | 0.04%             | 2029-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -23 | NC      | $21841.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                    | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    141000 | PA      | $142091.21    | 0.04%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WFNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71674 | PA      | $70463.12     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                | NY Commercial Mortgage Trust 2025-299P                                          | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $220711.53    | 0.06%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-C32                                  | CUSIP: 94989YAZ6<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |     30762 | PA      | $30690.72     | 0.01%             | 2059-01-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2025-NQM3 Trust                                                             | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |    143463 | PA      | $144873.04    | 0.04%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                         | Global Payments Inc                                                             | CUSIP: 37940XAW2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    150000 | PA      | $150167.25    | 0.04%             | 2030-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                            | FirstEnergy Corp                                                                | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    295000 | PA      | $275052.23    | 0.07%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138WJJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354730 | PA      | $343567.72    | 0.09%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   2178000 | PA      | $2182579.18   | 0.56%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2022-IND                                                               | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429039 | PA      | $429434.36    | 0.11%             | 2037-04-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag              | PRPM 2023-NQM3 Trust                                                            | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322310 | PA      | $325443.46    | 0.08%             | 2068-11-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2025-FPM                                                             | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161000 | PA      | $162826.53    | 0.04%             | 2040-10-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QAUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257934 | PA      | $258124.02    | 0.07%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                 | Houston Galleria Mall Trust 2025-HGLR                                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $113980.70    | 0.03%             | 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        |    238644 | PA      | $228546.62    | 0.06%             | 2067-01-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| TEXAS ELECTRIC MKT STABL                    | Texas Electric Market Stabilization Funding N LLC                               | CUSIP: 88240TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270431 | PA      | $269441.77    | 0.07%             | 2034-08-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140QQAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256060 | PA      | $258725.36    | 0.07%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                        | SCG Commercial Mortgage Trust 2025-DLFN                                         | CUSIP: 78398EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99687.77     | 0.03%             | 2035-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BTYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093001 | PA      | $1096724.59   | 0.28%             | 2054-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1464672.18   | 0.38%             | 2029-10-21      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                       | Uber Technologies Inc                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    410000 | PA      | $412560.63    | 0.11%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    152000 | PA      | $150088.15    | 0.04%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner               | Nissan Auto Receivables 2023-A Owner Trust                                      | CUSIP: 65480WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742628 | PA      | $744737.11    | 0.19%             | 2027-11-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109BF7<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $59385.85     | 0.02%             | 2026-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receiva              | Capital One Prime Auto Receivables Trust 2022-2                                 | CUSIP: 14043GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283230 | PA      | $283126.64    | 0.07%             | 2027-05-17      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                              | Merck & Co Inc                                                                  | CUSIP: 58933YBX2<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    230000 | PA      | $229278.91    | 0.06%             | 2031-03-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                  | MFA 2023-NQM3 Trust                                                             | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291181 | PA      | $292753.88    | 0.08%             | 2068-07-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCG3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    164000 | PA      | $168782.11    | 0.04%             | 2029-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    551000 | PA      | $548676.95    | 0.14%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor              | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5                        | CUSIP: 61777QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578888 | PA      | $585355.76    | 0.15%             | 2069-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD 2024-WRHS Mortgage Trust                                                   | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278099 | PA      | $278185.96    | 0.07%             | 2039-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | Bravo Residential Funding Trust 2025-Nqm3                                       | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |    126654 | PA      | $127729.92    | 0.03%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | GM Financial Consumer Automobile Receivables Trust 2022-1                       | CUSIP: 380146AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141754 | PA      | $141315.86    | 0.04%             | 2028-04-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced S              | HOMES 2023-NQM1 Trust                                                           | CUSIP: 43761JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    636137 | PA      | $634753.83    | 0.16%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    415000 | PA      | $413298.81    | 0.11%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    495000 | PA      | $490505.90    | 0.13%             | 2030-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    930000 | PA      | $927783.47    | 0.24%             | 2031-10-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                   | Chesapeake Funding II LLC                                                       | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    148432 | PA      | $150000.51    | 0.04%             | 2035-10-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-F                                | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311538 | PA      | $295576.33    | 0.08%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                | Navient Education Loan Trust 2025-A                                             | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299063 | PA      | $302285.88    | 0.08%             | 2055-07-15      | Fixed         | 5.02%                 | 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        |    279660 | PA      | $281695.52    | 0.07%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                    | Viper Energy Partners LLC                                                       | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |   1285000 | PA      | $1299738.95   | 0.33%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | GM Financial Consumer Automobile Receivables Trust 2024-4                       | CUSIP: 38014AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103000 | PA      | $1111270.74   | 0.29%             | 2029-08-16      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3536 | PA      | $3477.45      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3138LLQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1223222 | PA      | $1204270.56   | 0.31%             | 2027-12-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                       | INTOWN 2025-STAY Mortgage Trust                                                 | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299000 | PA      | $299373.51    | 0.08%             | 2042-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus              | Residential Mortgage Loan Trust 2019-3                                          | CUSIP: 76119NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207864 | PA      | $206309.34    | 0.05%             | 2059-09-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 96949LAD7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     95000 | PA      | $94619.08     | 0.02%             | 2027-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    457000 | PA      | $454426.80    | 0.12%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BCPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353003 | PA      | $327286.27    | 0.08%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        77 | NC      | $19899.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAZ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    881000 | PA      | $911642.00    | 0.23%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBQ5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    399000 | PA      | $421380.71    | 0.11%             | 2028-11-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1397000 | PA      | $1442369.60   | 0.37%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite              | DK Trust 2025-LXP                                                               | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96000 | PA      | $96148.72     | 0.02%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Bank5                                       | BANK5 2024-5YR10                                                                | CUSIP: 06604AAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $1004730.38   | 0.26%             | 2057-10-15      | Fixed         | 5.30%                 | 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        |    385000 | PA      | $385297.34    | 0.10%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    696000 | PA      | $706942.55    | 0.18%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                 | ELM Trust 2024-ELM                                                              | CUSIP: 26860XAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $733832.87    | 0.19%             | 2039-06-10      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    304000 | PA      | $311456.43    | 0.08%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2025-10                                                  | CUSIP: 81750CBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557790 | PA      | $557820.68    | 0.14%             | 2055-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -50 | NC      | $7338.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 720 East CLO Ltd.                           | 720 East CLO 2023-I Ltd                                                         | CUSIP: 81785EAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    265000 | PA      | $265931.74    | 0.07%             | 2038-04-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                         | American Tower Corp                                                             | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    229000 | PA      | $234485.13    | 0.06%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-INV3 Trust                                                             | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165327 | PA      | $144258.61    | 0.04%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trus              | TEXAS Commercial Mortgage Trust 2025-TWR                                        | CUSIP: 88231WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $327414.15    | 0.08%             | 2042-04-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1507099.43   | 0.39%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term               | GM Financial Consumer Automobile Receivables Trust 2023-4                       | CUSIP: 379930AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471479 | PA      | $476229.95    | 0.12%             | 2028-08-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                               | CUSIP: 3136BWC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2327091 | PA      | $2349175.61   | 0.61%             | 2051-06-25      | Fixed         | 5.00%                 | 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        |     45023 | PA      | $42264.94     | 0.01%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017CR8<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    770000 | PA      | $761776.59    | 0.20%             | 2027-05-04      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust              | BSTN Commercial Mortgage Trust 2025-HUB                                         | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150593.28    | 0.04%             | 2041-04-13      | Variable      | 4.90%                 | 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